LTPZ Options History — August 2015 In August 2015, LTPZ traded between $61.86 and $64.77. ATM implied volatility averaged 22.3%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 9.7% (HV 20d: 12.6%). Max pain ranged from $65.00 to $73.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 18.00.
Notable Days 2015-08-04 : Highest Volume — 19 contracts2015-08-24 : Largest IV spike — 162.2% change2015-08-24 : Highest IV Rank — 100.0%2015-08-27 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $63.84 $61.86 $64.77 $64.66 $62.94 Max Pain $71.86 $65.00 $73.00 $65.00 $73.00 ATM IV 22.3% 13.1% 46.6% 14.6% 45.8% Expected Move 6.4% 4.0% 13.4% 4.2% 13.1% HV 20d 12.6% 9.5% 17.0% 12.7% 17.0% HV 60d 16.7% 16.1% 17.7% 17.6% 16.2% IV Rank 59.9% 35.5% 100.0% 47.2% 97.8% IV Percentile 62.2% 34.1% 100.0% 48.4% 99.6% Term Structure -2.8% -16.5% 1.3% 0.5% -16.5% VWIV 24.1% 10.2% 44.2% 14.6% 44.2% Skew 25d 0.1% -6.4% 10.8% 0.0% -6.4% Skew 10d -2.2% -17.8% 8.9% 0.7% -17.8% Call IV 25d 25.5% 13.7% 63.0% 14.6% 63.0% Put IV 25d 25.6% 14.1% 61.9% 14.6% 56.6% Bid-Ask Spread % 78.89 40.50 159.86 67.69 159.86 Gamma HHI 0.36 0.30 0.55 0.34 0.42 Net GEX -2.0K -3.0K -866 -1.8K -2.7K Net DEX 94.3K 79.1K 101.3K 92.6K 85.1K Net VEX -121 -173 -85 -122 -150 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 18.00 18.00 18.00 18.00 18.00 Total Volume 16 0 19 0 18 Total OI 18.524 17 19 18 18
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-08-03 $64.66 $65.00 14.6% 4.2% 12.7% 47.2% 0.0% 0.0% 0.5% -1.8K 92.6K -122 0.00 67.69 0 0 1 17 2015-08-04 $64.18 $65.00 13.9% 4.0% 12.6% 42.1% 14.6% 0.5% 1.3% -1.8K 96.9K -120 18.00 53.62 1 18 1 18 2015-08-05 $63.41 $65.00 14.1% 4.0% 13.1% 43.4% 13.7% 0.4% 0.3% -1.5K 99.2K -104 18.00 55.13 1 18 1 18 2015-08-06 $63.73 $73.00 14.4% 4.4% 10.1% 45.3% 17.9% 0.1% 0.4% -1.6K 98.6K -106 18.00 42.65 1 18 1 18 2015-08-07 $64.52 $73.00 13.1% 4.1% 9.5% 35.5% 15.0% 0.1% 0.9% -1.7K 96.1K -129 18.00 51.10 1 18 1 18 2015-08-10 $63.92 $73.00 14.1% 4.2% 10.2% 43.1% 16.2% -0.4% 0.8% -1.5K 99.5K -103 18.00 43.83 1 18 1 18 2015-08-11 $64.77 $73.00 14.1% 4.2% 11.0% 43.4% 0.0% -0.3% 0.9% -1.5K 93.7K -113 0.00 40.50 0 0 1 17 2015-08-12 $64.09 $73.00 15.2% 4.4% 11.5% 51.6% 16.6% -0.7% 0.6% -1.6K 97.6K -112 18.00 45.16 1 18 1 18 2015-08-13 $63.94 $73.00 15.2% 4.4% 11.3% 52.0% 18.1% -0.2% 0.7% -1.5K 98.7K -111 18.00 46.10 1 18 1 18 2015-08-14 $64.37 $73.00 14.5% 4.2% 11.5% 46.8% 16.7% -0.7% 1.0% -1.3K 98.5K -109 18.00 45.25 1 18 1 18 2015-08-17 $64.25 $73.00 14.8% 4.2% 11.5% 48.8% 17.2% -0.5% 1.0% -1.3K 98.6K -107 18.00 46.81 1 18 1 18 2015-08-18 $63.53 $73.00 15.0% 4.3% 12.3% 50.4% 10.2% -0.7% 0.6% -1.9K 101.3K -94 18.00 57.18 1 18 1 18 2015-08-19 $64.02 $73.00 14.8% 4.2% 12.2% 48.8% 0.0% -0.5% 0.7% -2.1K 98.8K -85 0.00 50.29 0 0 0 17 2015-08-20 $64.43 $73.00 15.2% 4.4% 12.4% 51.8% 12.4% -0.4% 0.7% -866 97.3K -108 18.00 52.18 1 18 1 18 2015-08-21 $64.43 $73.00 16.3% 4.7% 12.4% 59.8% 18.4% -0.6% 0.3% -2.6K 98.9K -113 18.00 48.55 1 18 1 18 2015-08-24 $63.79 $73.00 42.6% 12.2% 12.7% 100.0% 36.7% 10.8% -4.8% -3.0K 80.0K -173 0.00 152.28 0 18 0 18 2015-08-25 $63.05 $73.00 41.9% 12.0% 13.2% 98.0% 42.6% 1.4% -13.9% -2.9K 83.3K -159 0.00 150.09 0 18 0 18 2015-08-26 $61.86 $73.00 40.0% 11.5% 14.7% 92.4% 42.9% -2.4% -14.0% -2.5K 79.1K -166 0.00 149.56 0 18 0 18 2015-08-27 $63.15 $73.00 46.6% 13.4% 16.6% 100.0% 44.0% -2.6% -16.0% -2.6K 91.1K -132 0.00 146.91 0 18 0 18 2015-08-28 $63.62 $73.00 31.4% 9.0% 16.8% 60.3% 36.0% 4.6% -3.3% -2.5K 94.6K -128 0.00 151.92 0 18 0 18 2015-08-31 $62.94 $73.00 45.8% 13.1% 17.0% 97.8% 44.2% -6.4% -16.5% -2.7K 85.1K -150 0.00 159.86 0 18 0 18
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