LTPZ Options History — December 2015 In December 2015, LTPZ traded between $60.17 and $62.83. ATM implied volatility averaged 70.0%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 57.0% (HV 20d: 13.0%). Max pain ranged from $71.00 to $71.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days.
Notable Days 2015-12-02 : Highest Volume — 11 contracts2015-12-11 : Largest IV spike — 519.6% change2015-12-01 : Highest IV Rank — 100.0%2015-12-31 : Largest Expected Move — 30.4%Monthly Statistics Metric Avg Min Max Open Close Price $61.28 $60.17 $62.83 $62.83 $60.86 Max Pain $71.00 $71.00 $71.00 $71.00 $71.00 ATM IV 70.0% 11.5% 106.0% 92.9% 106.0% Expected Move 19.1% 3.3% 30.4% 26.6% 30.4% HV 20d 13.0% 7.7% 15.8% 7.9% 15.3% HV 60d 12.2% 11.1% 13.3% 12.8% 11.1% IV Rank 63.9% 0.0% 100.0% 100.0% 100.0% IV Percentile 87.9% 0.0% 100.0% 100.0% 100.0% Term Structure -28.8% -80.9% 35.5% -36.2% -52.9% VWIV 80.1% 80.1% 80.1% 80.1% 80.1% Skew 25d 1.7% -48.8% 93.6% -6.9% -3.1% Skew 10d 3.2% -48.8% 93.6% -6.9% -3.1% Call IV 25d 71.4% 11.3% 125.4% 120.4% 115.8% Put IV 25d 73.1% 10.6% 116.1% 113.5% 112.7% Bid-Ask Spread % 168.20 143.74 193.33 190.34 180.04 Gamma HHI 0.91 0.61 1.00 1.00 1.00 Net GEX -605 -1.4K 0 -1.1K 0 Net DEX 35.7K 0 65.0K 43.8K 0 Net VEX -13 -50 0 -46 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 6 0 11 0 0 Total OI 6.909 0 11 10 0
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 2015-12-01 $62.83 $71.00 92.9% 26.6% 7.9% 100.0% 0.0% -6.9% -36.2% -1.1K 43.8K -46 0.00 190.34 0 0 0 10 2015-12-02 $62.56 $71.00 99.8% 28.6% 7.7% 100.0% 80.1% -9.4% -35.8% -1.2K 46.7K -50 0.00 168.34 0 11 0 11 2015-12-03 $61.20 $0.00 104.1% 18.4% 11.2% 100.0% 0.0% 3.3% -29.0% -1.1K 45.5K -47 0.00 169.08 0 11 0 11 2015-12-04 $61.91 $0.00 63.4% 11.2% 11.5% 56.3% 0.0% -44.6% -23.3% -525 63.4K -5 0.00 160.05 0 11 0 11 2015-12-07 $62.17 $0.00 64.6% 17.8% 11.2% 57.6% 0.0% 6.7% -23.4% -1.2K 48.7K -32 0.00 193.33 0 0 0 10 2015-12-08 $62.01 $0.00 78.7% 19.7% 11.2% 72.7% 0.0% 7.7% -27.9% -1.4K 55.0K -27 0.00 164.74 0 11 0 11 2015-12-09 $61.75 $0.00 68.8% 19.7% 11.4% 61.6% 0.0% 0.9% -25.3% -1.1K 47.3K -37 0.00 166.53 0 11 0 11 2015-12-10 $61.60 $0.00 11.5% 3.3% 11.4% 0.0% 0.0% -48.8% 1.4% -858 64.1K -3 0.00 167.75 0 11 0 11 2015-12-11 $61.94 $0.00 71.3% 20.4% 11.4% 64.6% 0.0% 5.2% -20.4% -908 63.6K -3 0.00 161.69 0 11 0 11 2015-12-14 $60.60 $0.00 75.9% 21.8% 14.0% 69.5% 0.0% 0.6% -32.9% -1.2K 51.5K -21 0.00 166.36 0 11 0 11 2015-12-15 $60.52 $0.00 76.0% 21.8% 14.0% 69.6% 0.0% -3.3% -35.1% -1.2K 64.5K -2 0.00 165.81 0 11 0 11 2015-12-16 $60.17 $0.00 77.3% 22.2% 14.0% 71.0% 0.0% -6.8% -38.6% -1.0K 65.0K -1 0.00 169.50 0 11 0 11 2015-12-17 $60.93 $0.00 44.6% 12.8% 14.6% 35.8% 0.0% -10.8% -6.5% -534 64.0K -1 0.00 143.74 0 11 0 11 2015-12-18 $61.34 $0.00 16.4% 4.7% 14.4% 5.3% 0.0% -3.1% -0.0% 0 61.3K 0 0.00 147.84 0 11 0 11 2015-12-21 $60.88 $0.00 17.1% 4.9% 14.6% 6.1% 0.0% 51.2% 35.5% 0 0 0 0.00 162.52 0 0 0 0 2015-12-22 $60.64 $0.00 84.2% 24.1% 14.6% 78.5% 0.0% 5.3% -28.2% 0 0 0 0.00 179.83 0 0 0 0 2015-12-23 $60.35 $0.00 84.5% 24.2% 14.6% 78.8% 0.0% -4.1% -29.6% 0 0 0 0.00 183.95 0 0 0 0 2015-12-24 $61.04 $0.00 86.9% 24.9% 15.3% 81.4% 0.0% -0.5% -23.2% 0 0 0 0.00 151.32 0 0 0 0 2015-12-28 $61.41 $0.00 53.5% 15.3% 15.5% 45.3% 0.0% 4.7% -73.9% 0 0 0 0.00 172.82 0 0 0 0 2015-12-29 $60.82 $0.00 100.0% 28.7% 15.8% 95.6% 0.0% -0.7% -46.9% 0 0 0 0.00 185.76 0 0 0 0 2015-12-30 $60.54 $0.00 63.1% 18.1% 15.2% 55.8% 0.0% 93.6% -80.9% 0 0 0 0.00 149.03 0 0 0 0 2015-12-31 $60.86 $0.00 106.0% 30.4% 15.3% 100.0% 0.0% -3.1% -52.9% 0 0 0 0.00 180.04 0 0 0 0
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