LTPZ Options History — January 2016

In January 2016, LTPZ traded between $60.25 and $62.42. ATM implied volatility averaged 53.3%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 41.1% (HV 20d: 12.2%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days.

Notable Days

  • 2016-01-06: Largest IV spike — 581.7% change
  • 2016-01-04: Highest IV Rank — 100.0%
  • 2016-01-29: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.11$60.25$62.42$61.24$62.42
ATM IV53.3%13.8%133.8%118.9%87.1%
Expected Move12.4%4.0%25.0%17.1%25.0%
HV 20d12.2%10.2%14.3%13.5%10.4%
HV 60d11.5%11.1%11.8%11.2%11.6%
IV Rank34.8%1.9%100.0%100.0%61.8%
IV Percentile73.9%2.4%100.0%100.0%96.8%
Term Structure-10.9%-31.3%3.3%-11.9%-31.3%
Skew 25d-2.8%-73.1%8.7%8.7%7.3%
Skew 10d-2.5%-73.1%9.2%8.7%7.3%
Call IV 25d42.7%14.9%96.0%60.1%96.0%
Put IV 25d39.9%13.2%103.3%68.8%103.3%
Bid-Ask Spread %148.6090.62194.67194.67182.71
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$61.24$0.00118.9%17.1%13.5%100.0%0.0%8.7%-11.9%0000.00194.670000
2016-01-05$61.00$0.0019.6%4.8%12.8%7.6%0.0%0.5%-0.1%0000.0090.620000
2016-01-06$61.54$0.00133.8%18.3%13.2%100.0%0.0%0.5%-16.7%0000.00175.660000
2016-01-07$61.10$0.0056.5%10.1%13.4%36.8%0.0%5.9%-9.8%0000.00155.330000
2016-01-08$61.00$0.0026.6%4.5%13.3%12.3%0.0%-2.9%1.8%0000.00105.140000
2016-01-11$60.25$0.0039.2%5.3%13.9%22.7%0.0%-7.0%0.5%0000.00165.200000
2016-01-12$60.85$0.0024.3%5.6%14.3%10.4%0.0%0.3%-5.3%0000.00113.400000
2016-01-13$61.29$0.0013.8%4.0%12.2%1.9%0.0%3.1%3.3%0000.00132.260000
2016-01-14$60.79$0.0066.1%18.9%12.6%44.6%0.0%0.3%-17.2%0000.00154.880000
2016-01-15$61.06$0.0067.4%19.3%12.5%45.7%0.0%3.9%-23.4%0000.00184.600000
2016-01-19$60.86$0.0072.2%20.7%11.7%49.6%0.0%3.0%-23.9%0000.00187.230000
2016-01-20$60.89$0.0033.3%9.6%11.4%17.8%0.0%-7.8%-11.7%0000.00145.410000
2016-01-21$60.45$0.0028.9%8.3%11.4%14.2%0.0%-3.5%-5.4%0000.00148.900000
2016-01-22$60.71$0.0018.2%5.2%11.5%5.5%0.0%2.6%0.1%0000.00104.410000
2016-01-25$60.98$0.0016.2%4.6%11.4%3.8%0.0%-0.8%-0.6%0000.00129.700000
2016-01-26$61.27$0.0086.0%24.6%10.8%60.9%0.0%-73.1%-25.1%0000.00167.650000
2016-01-27$61.55$0.0086.3%24.7%10.7%61.1%0.0%7.8%-30.6%0000.00169.400000
2016-01-28$61.85$0.0017.9%5.1%10.2%5.2%0.0%-1.4%0.3%0000.00116.330000
2016-01-29$62.42$0.0087.1%25.0%10.4%61.8%0.0%7.3%-31.3%0000.00182.710000