LTPZ Options History — October 2015 In October 2015, LTPZ traded between $61.27 and $62.51. ATM implied volatility averaged 41.5%, placing in the 53.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 26.7% (HV 20d: 14.8%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days.
Notable Days 2015-10-01 : Highest Volume — 11 contracts2015-10-12 : Largest IV spike — 252.0% change2015-10-06 : Highest IV Rank — 100.0%2015-10-01 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $61.94 $61.27 $62.51 $61.82 $62.17 ATM IV 41.5% 14.0% 69.6% 54.9% 46.9% Expected Move 9.5% 3.1% 15.7% 15.7% 13.5% HV 20d 14.8% 9.7% 19.1% 18.9% 9.8% HV 60d 15.5% 15.3% 16.2% 16.2% 15.5% IV Rank 53.5% 6.6% 100.0% 87.5% 61.6% IV Percentile 86.5% 23.4% 100.0% 99.6% 94.8% Term Structure -10.1% -30.2% 2.2% -23.8% -14.6% Skew 25d 0.7% -13.3% 24.7% -2.2% 6.4% Skew 10d 0.6% -23.1% 24.7% -2.2% 6.4% Call IV 25d 37.4% 12.9% 66.6% 66.6% 49.1% Put IV 25d 38.1% 12.3% 64.3% 64.3% 55.5% Bid-Ask Spread % 154.53 102.73 192.59 171.00 160.74 Gamma HHI 0.74 0.51 1.00 0.72 0.76 Net GEX -1.3K -1.5K -837 -1.2K -1.4K Net DEX 57.0K 50.2K 62.9K 58.5K 55.6K Net VEX -57 -89 -21 -61 -60 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 10.5 0 11 11 11 Total OI 10.955 10 11 11 11
Daily Data (22 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 2015-10-01 $61.82 $0.00 54.9% 15.7% 18.9% 87.5% 0.0% -2.2% -23.8% -1.2K 58.5K -61 0.00 171.00 0 11 0 11 2015-10-02 $62.39 $0.00 14.0% 4.0% 19.1% 6.6% 0.0% -6.9% 2.2% -1.2K 61.4K -42 0.00 137.82 0 11 0 11 2015-10-05 $61.74 $0.00 18.9% 3.1% 19.0% 16.3% 0.0% -7.1% -0.2% -882 57.5K -36 0.00 192.59 0 0 0 10 2015-10-06 $62.19 $0.00 63.2% 9.7% 18.2% 100.0% 0.0% 4.4% -7.9% -1.4K 56.7K -68 0.00 151.28 0 11 0 11 2015-10-07 $62.01 $0.00 69.6% 10.5% 18.0% 100.0% 0.0% -13.3% -9.5% -1.4K 57.0K -64 0.00 126.65 0 11 0 11 2015-10-08 $61.71 $0.00 68.4% 9.3% 18.1% 98.0% 0.0% 5.1% -12.3% -1.5K 50.2K -89 0.00 169.59 0 11 0 11 2015-10-09 $61.66 $0.00 16.1% 3.3% 18.0% 9.2% 0.0% -4.3% 0.6% -915 62.5K -29 0.00 132.71 0 11 0 11 2015-10-12 $62.03 $0.00 56.6% 8.0% 18.1% 77.9% 0.0% 3.4% -3.7% -1.4K 57.7K -62 0.00 102.73 0 11 0 11 2015-10-13 $61.84 $0.00 59.4% 3.4% 16.4% 82.7% 0.0% -0.6% -2.7% -1.4K 54.7K -74 0.00 161.05 0 11 0 11 2015-10-14 $62.25 $0.00 37.4% 10.7% 16.4% 45.4% 0.0% 6.3% -7.7% -1.4K 53.2K -83 0.00 152.08 0 11 0 11 2015-10-15 $61.96 $0.00 18.4% 5.3% 15.8% 13.1% 0.0% -10.8% -6.6% -1.3K 59.8K -42 0.00 142.01 0 11 0 11 2015-10-16 $61.67 $0.00 38.2% 11.0% 15.2% 46.8% 0.0% 4.9% -9.5% -1.4K 54.9K -73 0.00 153.99 0 11 0 11 2015-10-19 $61.28 $0.00 38.2% 11.0% 13.1% 46.8% 0.0% 2.0% -9.2% -1.3K 55.0K -64 0.00 164.19 0 11 0 11 2015-10-20 $61.27 $0.00 40.8% 11.7% 13.1% 51.1% 0.0% 4.5% -10.7% -1.3K 56.0K -61 0.00 155.93 0 11 0 11 2015-10-21 $61.69 $0.00 16.7% 4.8% 12.8% 10.2% 0.0% -5.7% -2.9% -837 62.9K -21 0.00 147.57 0 11 0 11 2015-10-22 $62.23 $0.00 40.3% 11.6% 13.2% 50.4% 0.0% 1.6% -12.0% -1.4K 55.9K -63 0.00 160.06 0 11 0 11 2015-10-23 $62.17 $0.00 41.5% 11.9% 11.3% 52.4% 0.0% -1.1% -11.7% -1.4K 55.1K -65 0.00 150.94 0 11 0 11 2015-10-26 $62.35 $0.00 41.7% 12.0% 10.6% 52.7% 0.0% 1.1% -18.5% -1.5K 55.2K -62 0.00 166.63 0 11 0 11 2015-10-27 $62.51 $0.00 43.1% 12.4% 10.6% 55.1% 0.0% 24.7% -30.2% -1.2K 60.9K -39 0.00 157.87 0 11 0 11 2015-10-28 $62.15 $0.00 45.5% 13.0% 10.5% 59.1% 0.0% 2.5% -14.8% -1.4K 57.1K -53 0.00 167.01 0 11 0 11 2015-10-29 $61.56 $0.00 43.0% 12.3% 9.7% 54.8% 0.0% 0.8% -17.2% -1.3K 57.1K -53 0.00 175.30 0 11 0 11 2015-10-30 $62.17 $0.00 46.9% 13.5% 9.8% 61.6% 0.0% 6.4% -14.6% -1.4K 55.6K -60 0.00 160.74 0 11 0 11
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