LTPZ Options History — February 2016 In February 2016, LTPZ traded between $62.14 and $64.24. ATM implied volatility averaged 54.4%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 43.8% (HV 20d: 10.7%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.
Notable Days 2016-02-01 : Highest Volume — 1 contracts2016-02-09 : Largest IV spike — 347.5% change2016-02-09 : Highest IV Rank — 92.2%2016-02-03 : Largest Expected Move — 28.3%Monthly Statistics Metric Avg Min Max Open Close Price $63.22 $62.14 $64.24 $62.26 $64.23 Max Pain $62.00 $62.00 $62.00 $62.00 $62.00 ATM IV 54.4% 15.7% 124.2% 59.8% 21.2% Expected Move 14.6% 4.5% 28.3% 17.1% 6.1% HV 20d 10.7% 8.8% 12.2% 10.4% 12.2% HV 60d 12.1% 11.5% 12.8% 11.5% 12.8% IV Rank 35.1% 3.5% 92.2% 39.4% 7.9% IV Percentile 73.7% 22.6% 99.6% 87.7% 56.7% Term Structure -19.5% -43.3% 4.9% -43.3% -6.4% VWIV 50.1% 13.9% 105.2% 13.9% 105.2% Skew 25d -2.7% -91.0% 21.5% -91.0% -0.4% Skew 10d -4.3% -91.0% 21.5% -91.0% -1.8% Call IV 25d 56.4% 13.0% 104.0% 104.0% 13.0% Put IV 25d 53.7% 12.6% 123.8% 13.0% 12.6% Bid-Ask Spread % 161.55 92.49 193.62 148.47 156.73 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -300 -1.3K 0 0 0 Net DEX 1.4K 0 2.9K 0 0 Net VEX -2 -5 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.7 0 1 1 0 Total OI 0.65 0 1 0 0
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 2016-02-01 $62.26 $0.00 59.8% 17.1% 10.4% 39.4% 13.9% -91.0% -43.3% 0 0 0 0.00 148.47 0 1 0 0 2016-02-02 $62.96 $62.00 36.2% 10.4% 10.8% 20.2% 31.2% 1.1% -1.8% -313 2.7K -5 0.00 164.87 0 1 0 1 2016-02-03 $63.32 $62.00 98.6% 28.3% 10.7% 71.2% 105.2% 21.5% -35.8% -117 2.7K -5 0.00 183.76 0 1 0 1 2016-02-04 $63.27 $0.00 17.5% 5.2% 10.4% 4.9% 0.0% 0.3% -2.7% -565 1.6K -4 0.00 92.49 0 1 0 1 2016-02-05 $63.02 $0.00 36.3% 8.9% 10.2% 20.2% 0.0% -3.2% -11.1% -350 2.4K -5 0.00 149.64 0 1 0 1 2016-02-08 $63.40 $0.00 27.8% 6.0% 10.2% 13.3% 0.0% -1.9% -0.4% -456 2.3K -4 0.00 141.16 0 1 0 1 2016-02-09 $63.19 $0.00 124.2% 19.3% 8.9% 92.2% 0.0% -3.4% -32.8% -100 2.7K -4 0.00 174.27 0 1 0 1 2016-02-10 $63.75 $0.00 15.7% 4.5% 8.8% 3.5% 0.0% 0.5% 4.9% -588 1.1K -2 0.00 115.87 0 1 0 1 2016-02-11 $64.24 $0.00 62.8% 18.0% 8.9% 42.0% 0.0% 0.9% -30.7% -112 2.6K -4 0.00 185.28 0 1 0 1 2016-02-12 $63.43 $0.00 69.3% 19.9% 9.7% 47.2% 0.0% 3.4% -34.5% -104 2.6K -3 0.00 176.80 0 1 0 1 2016-02-16 $62.60 $0.00 69.1% 19.8% 11.0% 47.1% 0.0% -10.9% -36.2% -904 2.2K -2 0.00 188.40 0 1 0 1 2016-02-17 $62.14 $0.00 76.5% 21.9% 11.4% 53.2% 0.0% 5.7% -38.0% -1.1K 2.9K -2 0.00 177.47 0 1 0 1 2016-02-18 $62.61 $0.00 72.4% 20.7% 11.6% 49.7% 0.0% 5.3% -39.6% -1.3K 1.7K -1 0.00 193.62 0 1 0 1 2016-02-19 $62.68 $0.00 30.1% 8.6% 11.1% 15.2% 0.0% -5.5% -10.6% 0 0 0 0.00 142.60 0 1 0 1 2016-02-22 $62.94 $0.00 77.8% 22.3% 11.1% 54.2% 0.0% 9.3% -16.7% 0 0 0 0.00 182.79 0 0 0 0 2016-02-23 $63.40 $0.00 78.1% 22.4% 11.3% 54.4% 0.0% 5.1% -25.1% 0 0 0 0.00 185.58 0 0 0 0 2016-02-24 $63.40 $0.00 82.1% 23.5% 11.2% 57.7% 0.0% 11.6% -24.2% 0 0 0 0.00 182.95 0 0 0 0 2016-02-25 $64.07 $0.00 16.7% 4.8% 11.6% 4.2% 0.0% -1.7% -0.3% 0 0 0 0.00 128.48 0 0 0 0 2016-02-26 $63.57 $0.00 16.9% 4.8% 12.1% 4.4% 0.0% -0.4% -3.9% 0 0 0 0.00 159.84 0 0 0 0 2016-02-29 $64.23 $0.00 21.2% 6.1% 12.2% 7.9% 0.0% -0.4% -6.4% 0 0 0 0.00 156.73 0 0 0 0
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