LTPZ Options History — April 2016

In April 2016, LTPZ traded between $65.03 and $67.46. ATM implied volatility averaged 13.3%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.2% (HV 20d: 13.5%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 4.43.

Notable Days

2016-04-05: Highest Volume — 6 contracts
2016-04-12: Largest IV spike — 19.9% change
2016-04-12: Highest IV Rank — 4.4%
2016-04-07: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.39	$65.03	$67.46	$66.64	$66.90
Max Pain	$65.86	$63.00	$66.00	$63.00	$66.00
ATM IV	13.3%	11.3%	16.7%	11.3%	13.4%
Expected Move	3.8%	3.2%	4.1%	3.2%	3.8%
HV 20d	13.5%	10.4%	15.1%	15.0%	12.1%
HV 60d	12.6%	12.3%	13.1%	12.5%	13.0%
IV Rank	1.6%	0.0%	4.4%	0.0%	1.7%
IV Percentile	7.4%	0.0%	34.9%	0.0%	8.3%
Term Structure	0.6%	-0.6%	2.1%	2.1%	0.5%
VWIV	13.3%	10.7%	14.1%	10.7%	12.5%
Skew 25d	0.0%	-1.0%	1.2%	-0.9%	-0.3%
Skew 10d	-0.5%	-4.5%	1.5%	-1.4%	1.3%
Call IV 25d	13.6%	12.5%	14.6%	13.8%	13.1%
Put IV 25d	13.7%	12.8%	14.6%	12.8%	12.8%
Bid-Ask Spread %	83.30	68.88	146.20	146.20	92.18
Gamma HHI	0.35	0.28	0.39	0.37	0.38
Net GEX	-1.2K	-1.5K	-744	-1.1K	-1.3K
Net DEX	8.3K	3.5K	12.2K	7.4K	7.0K
Net VEX	-69	-75	-42	-42	-67
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.43	4.00	5.00	4.00	4.00
Total Volume	5.429	5	6	5	5
Total OI	5.333	4	6	4	5

Daily Data (21 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
2016-04-01	$66.64	$63.00	11.3%	3.2%	15.0%	0.0%	10.7%	-0.9%	2.1%	-1.1K	7.4K	-42	4.00	146.20	1	4	0	4
2016-04-04	$66.99	$66.00	12.6%	3.8%	14.4%	1.0%	13.3%	-0.4%	1.1%	-763	4.1K	-59	4.00	74.24	1	4	1	4
2016-04-05	$67.37	$66.00	13.0%	4.0%	13.8%	1.4%	13.9%	-0.6%	0.6%	-744	3.5K	-57	5.00	92.90	1	5	1	4
2016-04-06	$66.84	$66.00	12.9%	4.0%	14.2%	1.3%	13.5%	-0.8%	0.3%	-1.1K	7.8K	-75	5.00	80.01	1	5	1	5
2016-04-07	$67.46	$66.00	12.1%	4.1%	14.0%	0.6%	13.6%	-0.8%	0.5%	-981	6.3K	-74	5.00	89.32	1	5	1	5
2016-04-08	$67.08	$66.00	12.7%	3.8%	14.2%	1.1%	13.4%	0.2%	0.8%	-1.1K	7.1K	-75	5.00	76.07	1	5	1	5
2016-04-11	$66.62	$66.00	14.0%	4.0%	14.2%	2.2%	14.1%	0.1%	0.0%	-1.1K	8.0K	-74	5.00	82.76	1	5	1	5
2016-04-12	$65.85	$66.00	16.7%	3.7%	15.1%	4.4%	13.5%	-0.6%	1.6%	-1.2K	9.7K	-74	5.00	78.47	1	5	1	5
2016-04-13	$66.17	$66.00	13.5%	3.9%	14.6%	1.8%	13.6%	-0.1%	0.5%	-1.2K	8.9K	-74	5.00	70.46	1	5	1	5
2016-04-14	$66.03	$66.00	13.6%	3.9%	13.9%	1.9%	13.5%	0.6%	0.3%	-1.2K	9.3K	-73	5.00	68.88	1	5	1	5
2016-04-15	$66.55	$66.00	12.9%	3.7%	13.3%	1.3%	12.9%	0.1%	1.0%	-1.1K	8.0K	-73	5.00	76.02	1	5	1	5
2016-04-18	$66.62	$66.00	13.8%	3.9%	13.0%	2.0%	13.2%	0.3%	0.4%	-1.2K	8.0K	-72	4.00	73.04	1	4	1	4
2016-04-19	$66.90	$66.00	12.7%	3.6%	13.0%	1.1%	13.4%	0.4%	1.2%	-1.2K	7.2K	-71	4.00	85.47	1	4	1	4
2016-04-20	$66.03	$66.00	14.1%	4.0%	13.9%	2.2%	13.9%	0.6%	-0.6%	-1.2K	9.3K	-71	4.00	87.59	1	4	1	4
2016-04-21	$65.65	$66.00	13.7%	3.9%	13.8%	1.9%	13.6%	0.7%	0.8%	-1.3K	10.7K	-70	4.00	74.86	1	4	1	4
2016-04-22	$65.59	$66.00	13.5%	3.9%	13.5%	1.8%	13.4%	0.7%	0.5%	-1.3K	10.7K	-70	4.00	81.26	1	4	1	4
2016-04-25	$65.29	$66.00	13.3%	3.8%	13.6%	1.7%	13.1%	1.2%	0.4%	-1.3K	11.3K	-69	4.00	75.88	1	4	1	4
2016-04-26	$65.03	$66.00	13.1%	3.8%	10.4%	1.5%	13.1%	0.4%	0.6%	-1.3K	12.2K	-67	4.00	71.96	1	4	1	4
2016-04-27	$66.08	$66.00	13.0%	3.7%	11.9%	1.4%	12.9%	0.6%	0.4%	-1.5K	9.7K	-68	4.00	93.37	1	4	1	4
2016-04-28	$66.51	$66.00	13.7%	3.9%	11.9%	1.9%	13.3%	-1.0%	0.3%	-1.4K	8.3K	-68	4.00	78.43	1	4	1	4
2016-04-29	$66.90	$66.00	13.4%	3.8%	12.1%	1.7%	12.5%	-0.3%	0.5%	-1.3K	7.0K	-67	4.00	92.18	1	4	1	4