LTPZ Options History — March 2016 In March 2016, LTPZ traded between $62.73 and $66.73. ATM implied volatility averaged 15.6%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.4% (HV 20d: 13.2%). Max pain ranged from $63.00 to $63.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days.
Notable Days 2016-03-24 : Highest Volume — 4 contracts2016-03-09 : Largest IV drop — 45.9% change2016-03-08 : Highest IV Rank — 11.5%2016-03-01 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $64.48 $62.73 $66.73 $63.76 $66.73 Max Pain $63.00 $63.00 $63.00 $63.00 $63.00 ATM IV 15.6% 12.7% 25.6% 21.2% 13.6% Expected Move 4.2% 3.6% 6.1% 6.1% 3.9% HV 20d 13.2% 11.8% 15.2% 12.5% 15.1% HV 60d 12.0% 11.5% 12.8% 12.8% 12.6% IV Rank 3.4% 0.9% 11.5% 7.9% 1.7% IV Percentile 19.9% 0.8% 57.5% 56.7% 4.8% Term Structure 0.2% -8.0% 2.2% -8.0% -0.1% VWIV 13.3% 9.9% 16.8% 16.4% 10.4% Skew 25d -0.7% -6.6% 2.8% -6.6% -0.9% Skew 10d -0.6% -6.3% 27.8% -6.0% 27.8% Call IV 25d 14.5% 12.2% 18.4% 18.4% 13.9% Put IV 25d 13.8% 11.1% 17.2% 11.8% 13.0% Bid-Ask Spread % 138.87 79.43 164.31 155.12 140.81 Gamma HHI 0.78 0.38 1.00 1.00 0.38 Net GEX -543 -1.5K 0 0 -1.1K Net DEX 4.3K 0 10.8K 0 7.7K Net VEX -24 -47 0 0 -42 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 2 0 4 0 4 Total OI 1.818 0 4 0 4
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 2016-03-01 $63.76 $0.00 21.2% 6.1% 12.5% 7.9% 0.0% -6.6% -8.0% 0 0 0 0.00 155.12 0 0 0 0 2016-03-02 $64.17 $0.00 17.6% 5.1% 12.1% 5.0% 0.0% 2.8% -1.4% 0 0 0 0.00 159.17 0 0 0 0 2016-03-03 $64.60 $0.00 17.6% 3.9% 12.2% 5.0% 0.0% 0.5% 1.5% 0 0 0 0.00 134.72 0 0 0 0 2016-03-04 $63.95 $0.00 16.2% 3.7% 12.8% 3.8% 0.0% -1.4% 2.0% 0 0 0 0.00 137.82 0 1 0 0 2016-03-07 $63.40 $0.00 20.8% 3.8% 13.1% 7.6% 0.0% -3.9% 2.2% -229 3.1K -18 0.00 142.45 0 1 0 1 2016-03-08 $63.94 $0.00 25.6% 4.8% 13.3% 11.5% 0.0% 0.7% -2.4% -224 2.9K -18 0.00 136.69 0 1 0 1 2016-03-09 $63.55 $0.00 13.9% 4.0% 13.4% 1.9% 0.0% -0.8% 1.3% -224 3.0K -18 0.00 148.94 0 1 0 1 2016-03-10 $63.33 $0.00 14.1% 4.1% 13.1% 2.2% 0.0% 0.1% 1.0% -230 3.2K -18 0.00 131.81 0 1 0 1 2016-03-11 $62.91 $0.00 16.7% 4.8% 12.9% 4.2% 0.0% -2.2% 0.1% -221 3.2K -18 0.00 79.43 0 1 0 1 2016-03-14 $63.26 $0.00 17.5% 5.0% 12.3% 4.9% 0.0% 1.1% -1.0% -230 3.2K -18 0.00 85.14 0 1 0 1 2016-03-15 $62.73 $0.00 12.9% 3.7% 11.8% 1.1% 0.0% -0.7% 1.9% -237 3.3K -18 0.00 127.65 0 1 0 1 2016-03-16 $63.69 $0.00 15.5% 4.5% 12.6% 3.3% 16.4% 1.6% -0.5% -258 3.1K -18 0.00 162.53 0 2 0 1 2016-03-17 $64.58 $63.00 13.1% 3.8% 13.2% 1.3% 13.0% -0.4% 1.2% -802 4.3K -23 0.00 145.09 0 2 0 2 2016-03-18 $65.19 $63.00 12.8% 3.7% 13.5% 1.1% 15.8% 1.2% 1.2% -744 3.6K -22 0.00 144.96 0 3 0 2 2016-03-21 $65.00 $63.00 12.8% 3.7% 13.5% 1.0% 13.2% 0.3% 1.0% -970 7.1K -40 0.00 136.68 0 3 0 3 2016-03-22 $64.97 $63.00 12.7% 3.6% 13.4% 0.9% 9.9% -2.5% 1.2% -1.0K 7.0K -39 0.00 139.18 0 3 0 3 2016-03-23 $65.58 $63.00 12.7% 3.6% 13.7% 1.0% 16.8% -1.5% 0.9% -886 6.4K -38 0.00 144.02 0 3 0 3 2016-03-24 $65.12 $63.00 15.0% 4.3% 13.6% 2.9% 10.9% -1.8% 0.5% -1.0K 7.1K -39 0.00 140.76 0 4 0 3 2016-03-28 $65.13 $63.00 14.0% 4.0% 13.2% 2.1% 10.4% 0.2% 0.4% -1.5K 10.8K -47 0.00 160.70 0 4 0 4 2016-03-29 $66.69 $63.00 13.4% 3.8% 15.2% 1.5% 0.0% 0.9% 1.9% -1.0K 8.0K -43 0.00 164.31 0 4 0 4 2016-03-30 $66.29 $63.00 13.8% 4.0% 15.1% 1.9% 0.0% -2.3% 0.2% -1.0K 8.3K -43 0.00 137.19 0 4 0 4 2016-03-31 $66.73 $63.00 13.6% 3.9% 15.1% 1.7% 0.0% -0.9% -0.1% -1.1K 7.7K -42 0.00 140.81 0 4 0 4
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