LTPZ Options History — September 2015 In September 2015, LTPZ traded between $60.57 and $62.70. ATM implied volatility averaged 39.7%, placing in the 60.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 21.9% (HV 20d: 17.8%). Max pain ranged from $73.00 to $73.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2015-09-01 : Highest Volume — 18 contracts2015-09-28 : Largest IV spike — 267.3% change2015-09-01 : Highest IV Rank — 100.0%2015-09-30 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $61.62 $60.57 $62.70 $62.61 $60.88 Max Pain $73.00 $73.00 $73.00 $73.00 $73.00 ATM IV 39.7% 13.5% 61.2% 51.0% 54.8% Expected Move 10.7% 3.9% 15.7% 14.6% 15.7% HV 20d 17.8% 16.3% 19.9% 17.0% 18.2% HV 60d 16.2% 15.7% 17.1% 16.3% 15.8% IV Rank 60.9% 5.5% 100.0% 100.0% 87.2% IV Percentile 88.8% 22.6% 100.0% 100.0% 99.6% Term Structure -12.5% -28.6% 4.9% -19.6% -20.8% VWIV 49.5% 48.5% 50.6% 50.6% 48.5% Skew 25d 2.4% -7.6% 29.4% -0.3% -3.0% Skew 10d 1.7% -19.7% 28.6% -12.0% -3.0% Call IV 25d 44.5% 16.4% 68.3% 64.1% 68.3% Put IV 25d 46.8% 15.8% 65.3% 63.8% 65.3% Bid-Ask Spread % 153.29 117.05 183.25 149.33 156.02 Gamma HHI 0.57 0.38 0.83 0.41 0.77 Net GEX -1.6K -2.6K -712 -2.6K -1.4K Net DEX 79.9K 49.5K 106.4K 91.8K 54.9K Net VEX -84 -131 -33 -121 -76 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 13.619 0 18 18 11 Total OI 15.238 11 18 18 11
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 2015-09-01 $62.61 $73.00 51.0% 14.6% 17.0% 100.0% 50.6% -0.3% -19.6% -2.6K 91.8K -121 0.00 149.33 0 18 0 18 2015-09-02 $62.05 $73.00 51.2% 14.7% 16.7% 100.0% 48.5% -7.6% -26.2% -2.3K 88.6K -125 0.00 150.88 0 18 0 18 2015-09-03 $61.94 $0.00 53.1% 9.5% 16.6% 100.0% 0.0% 2.9% -10.0% -2.3K 86.5K -131 0.00 151.07 0 18 0 18 2015-09-04 $62.70 $0.00 30.6% 7.0% 16.6% 49.6% 0.0% -0.3% -2.3% -2.0K 96.1K -106 0.00 132.51 0 18 0 18 2015-09-08 $61.64 $0.00 61.2% 9.8% 17.3% 100.0% 0.0% -3.2% -13.7% -1.6K 95.8K -59 0.00 155.19 0 0 0 17 2015-09-09 $62.06 $0.00 35.9% 10.3% 16.7% 52.1% 0.0% 4.2% -12.1% -2.1K 93.9K -105 0.00 154.89 0 18 0 18 2015-09-10 $62.11 $0.00 36.8% 10.5% 16.4% 53.7% 0.0% 2.9% -3.3% -2.0K 94.7K -96 0.00 150.49 0 18 0 18 2015-09-11 $62.40 $0.00 35.6% 10.2% 16.5% 51.6% 0.0% 2.3% -12.4% -2.4K 87.6K -121 0.00 156.19 0 18 0 18 2015-09-14 $62.19 $0.00 15.2% 4.3% 16.3% 8.9% 0.0% 29.4% 4.9% -1.2K 104.4K -54 0.00 117.05 0 18 0 18 2015-09-15 $60.90 $0.00 35.3% 10.1% 17.7% 48.7% 0.0% -7.1% -14.8% -1.2K 96.2K -50 0.00 183.25 0 0 0 17 2015-09-16 $60.59 $0.00 40.4% 11.6% 17.4% 58.7% 0.0% 5.1% -17.0% -2.0K 89.4K -105 0.00 155.03 0 18 0 18 2015-09-17 $61.45 $0.00 28.8% 8.3% 18.0% 35.9% 0.0% 26.6% -0.5% -989 105.0K -35 0.00 152.43 0 18 0 18 2015-09-18 $62.27 $0.00 14.6% 4.2% 18.6% 7.8% 0.0% -1.1% -3.0% -1.0K 106.4K -36 0.00 129.34 0 18 0 18 2015-09-21 $60.91 $0.00 42.8% 12.3% 19.9% 63.5% 0.0% -1.7% -28.6% -1.5K 50.5K -100 0.00 157.59 0 11 0 11 2015-09-22 $60.97 $0.00 41.0% 11.8% 19.8% 60.0% 0.0% 0.0% -17.5% -1.4K 55.2K -78 0.00 151.99 0 11 0 11 2015-09-23 $61.56 $0.00 43.4% 12.4% 19.9% 64.7% 0.0% 4.1% -10.1% -1.4K 55.9K -78 0.00 174.88 0 11 0 11 2015-09-24 $61.67 $0.00 45.8% 13.1% 18.8% 69.4% 0.0% 0.5% -11.1% -1.5K 49.5K -103 0.00 172.94 0 11 0 11 2015-09-25 $60.57 $0.00 13.5% 3.9% 18.1% 5.5% 0.0% 0.4% -4.3% -712 62.4K -33 0.00 138.34 0 11 0 11 2015-09-28 $61.30 $0.00 49.4% 14.2% 18.5% 76.6% 0.0% -0.2% -15.8% -1.2K 57.6K -66 0.00 169.23 0 11 0 11 2015-09-29 $61.25 $0.00 53.3% 15.3% 18.2% 84.3% 0.0% -4.1% -24.2% -1.4K 54.7K -76 0.00 160.45 0 11 0 11 2015-09-30 $60.88 $0.00 54.8% 15.7% 18.2% 87.2% 0.0% -3.0% -20.8% -1.4K 54.9K -76 0.00 156.02 0 11 0 11
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