LTPZ Options History — November 2015 In November 2015, LTPZ traded between $60.32 and $62.13. ATM implied volatility averaged 42.2%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 33.4% (HV 20d: 8.7%). Max pain ranged from $71.00 to $71.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.
Notable Days 2015-11-02 : Highest Volume — 11 contracts2015-11-17 : Largest IV spike — 213.5% change2015-11-30 : Highest IV Rank — 100.0%2015-11-30 : Largest Expected Move — 26.2%Monthly Statistics Metric Avg Min Max Open Close Price $61.29 $60.32 $62.13 $62.02 $62.13 Max Pain $71.00 $71.00 $71.00 $71.00 $71.00 ATM IV 42.2% 12.1% 91.5% 50.0% 91.5% Expected Move 11.0% 3.5% 26.2% 14.3% 26.2% HV 20d 8.7% 6.9% 9.5% 9.1% 6.9% HV 60d 14.2% 12.8% 15.2% 15.2% 12.8% IV Rank 51.4% 2.0% 100.0% 66.8% 100.0% IV Percentile 84.0% 3.2% 100.0% 95.2% 100.0% Term Structure -12.5% -34.1% 4.5% -17.3% -34.1% VWIV 41.7% 32.8% 54.2% 35.9% 51.2% Skew 25d 2.2% -14.8% 34.3% 5.1% -12.3% Skew 10d -13.2% -58.6% 32.0% 5.1% -12.3% Call IV 25d 40.8% 11.7% 120.2% 54.0% 120.2% Put IV 25d 43.0% 10.3% 107.9% 59.1% 107.9% Bid-Ask Spread % 155.24 128.91 190.22 167.16 190.22 Gamma HHI 0.78 0.54 1.00 0.75 1.00 Net GEX -959 -1.3K -1 -1.3K -1.0K Net DEX 58.0K 44.2K 62.5K 57.5K 44.2K Net VEX -32 -54 0 -54 -48 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 7.7 0 11 11 0 Total OI 10.7 10 11 11 10
Daily Data (20 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 2015-11-02 $62.02 $0.00 50.0% 14.3% 9.1% 66.8% 0.0% 5.1% -17.3% -1.3K 57.5K -54 0.00 167.16 0 11 0 11 2015-11-03 $61.63 $0.00 33.0% 9.5% 9.0% 37.9% 0.0% 31.9% -9.9% -868 62.5K -23 0.00 145.69 0 11 0 11 2015-11-04 $61.54 $0.00 50.9% 14.6% 8.9% 68.3% 0.0% 2.6% -22.1% -1.3K 57.2K -50 0.00 174.41 0 11 0 11 2015-11-05 $61.03 $71.00 52.2% 10.6% 9.2% 70.5% 35.9% -0.7% -13.4% -1.2K 57.6K -48 0.00 148.13 0 11 0 11 2015-11-06 $60.65 $71.00 37.5% 6.1% 9.5% 45.6% 0.0% -14.8% 4.5% -12 60.6K 0 0.00 128.91 0 0 0 10 2015-11-09 $60.44 $71.00 64.2% 10.6% 9.2% 90.9% 0.0% -2.8% -27.8% -159 60.1K -3 0.00 144.29 0 0 0 10 2015-11-10 $60.41 $71.00 31.7% 4.8% 9.1% 35.7% 44.6% 34.3% -3.3% -1.1K 58.8K -38 0.00 146.68 0 11 0 11 2015-11-11 $60.32 $71.00 35.3% 10.1% 8.7% 41.5% 41.1% 0.3% -12.0% -934 59.9K -31 0.00 155.65 0 11 0 11 2015-11-12 $60.57 $71.00 33.6% 9.6% 8.8% 38.6% 32.8% -2.0% -15.0% -1.1K 57.1K -44 0.00 154.12 0 11 0 11 2015-11-13 $60.73 $71.00 33.7% 9.6% 8.8% 38.7% 39.2% -0.5% -14.8% -1.1K 57.8K -38 0.00 157.15 0 11 0 11 2015-11-16 $60.52 $71.00 12.1% 3.5% 8.6% 2.0% 0.0% 25.9% -0.5% -1 60.5K 0 0.00 145.55 0 0 0 10 2015-11-17 $60.83 $71.00 38.1% 10.9% 8.8% 46.2% 44.0% -1.3% -12.2% -1.1K 58.9K -35 0.00 149.70 0 11 0 11 2015-11-18 $61.13 $71.00 39.1% 11.2% 8.7% 47.9% 42.7% -0.9% -16.9% -1.1K 59.6K -30 0.00 149.81 0 11 0 11 2015-11-19 $61.70 $71.00 43.9% 12.6% 8.7% 56.1% 33.2% -2.6% -16.3% -1.3K 56.8K -43 0.00 158.69 0 11 0 11 2015-11-20 $61.81 $71.00 38.4% 11.0% 8.8% 46.7% 39.8% 6.6% -14.4% -1.2K 59.2K -34 0.00 154.90 0 11 0 11 2015-11-23 $62.05 $71.00 38.7% 11.1% 8.8% 47.2% 0.0% -2.8% -12.2% -1.0K 56.3K -28 0.00 168.75 0 0 0 10 2015-11-24 $62.05 $71.00 41.0% 11.8% 8.8% 51.3% 0.0% -2.2% -2.6% -1.2K 54.9K -29 0.00 158.07 0 0 0 10 2015-11-25 $62.09 $71.00 38.8% 11.1% 8.5% 47.4% 54.2% -5.7% -0.9% -1.2K 60.0K -30 0.00 149.96 0 11 0 11 2015-11-27 $62.11 $71.00 39.6% 11.4% 7.8% 48.9% 51.2% -14.7% -9.7% -1.1K 61.0K -25 0.00 156.93 0 11 0 11 2015-11-30 $62.13 $71.00 91.5% 26.2% 6.9% 100.0% 0.0% -12.3% -34.1% -1.0K 44.2K -48 0.00 190.22 0 0 0 10
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