LTPZ Options History — May 2016

In May 2016, LTPZ traded between $66.04 and $67.54. ATM implied volatility averaged 13.1%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.2% (HV 20d: 11.9%). Max pain ranged from $66.00 to $66.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 10.21.

Notable Days

2016-05-31: Highest Volume — 25 contracts
2016-05-31: Largest IV spike — 11.4% change
2016-05-03: Highest IV Rank — 2.2%
2016-05-03: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.53	$66.04	$67.54	$66.06	$66.10
Max Pain	$66.00	$66.00	$66.00	$66.00	$66.00
ATM IV	13.1%	11.3%	14.0%	13.2%	12.6%
Expected Move	3.8%	3.2%	4.0%	3.8%	3.6%
HV 20d	11.9%	10.3%	13.1%	12.8%	10.3%
HV 60d	12.9%	12.5%	13.3%	13.3%	12.5%
IV Rank	1.5%	0.0%	2.2%	1.5%	1.1%
IV Percentile	8.4%	0.4%	16.7%	7.5%	3.2%
Term Structure	0.9%	-0.0%	2.0%	0.7%	0.5%
VWIV	12.9%	10.7%	14.0%	13.4%	10.7%
Skew 25d	-0.4%	-1.3%	0.3%	-0.1%	-0.3%
Skew 10d	-0.5%	-4.6%	4.9%	-2.4%	1.1%
Call IV 25d	13.5%	11.8%	14.4%	13.9%	12.8%
Put IV 25d	13.1%	11.4%	14.1%	13.8%	12.5%
Bid-Ask Spread %	96.30	78.70	154.71	84.94	111.18
Gamma HHI	0.50	0.39	0.63	0.40	0.63
Net GEX	-3.1K	-5.9K	-1.3K	-1.4K	-4.0K
Net DEX	18.1K	5.5K	29.3K	8.9K	26.2K
Net VEX	-140	-200	-60	-67	-185
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.21	1.27	15.00	4.00	1.27
Total Volume	12.35	5	25	5	25
Total OI	11.3	5	16	5	15

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
2016-05-02	$66.06	$66.00	13.2%	3.8%	12.8%	1.5%	13.4%	-0.1%	0.7%	-1.4K	8.9K	-67	4.00	84.94	1	4	1	4
2016-05-03	$66.30	$66.00	14.0%	4.0%	12.6%	2.2%	14.0%	0.3%	-0.0%	-1.4K	8.2K	-66	4.00	89.40	1	4	1	4
2016-05-04	$66.42	$66.00	13.2%	3.8%	12.4%	1.6%	13.4%	-1.3%	0.5%	-1.5K	8.2K	-66	4.00	88.01	1	4	1	4
2016-05-05	$67.02	$0.00	13.4%	4.0%	12.4%	1.7%	0.0%	-0.3%	0.8%	-1.4K	6.4K	-64	4.00	84.04	1	4	1	4
2016-05-06	$66.41	$0.00	12.2%	3.8%	12.6%	0.7%	0.0%	-0.3%	1.0%	-1.6K	7.7K	-65	4.00	102.65	1	4	1	4
2016-05-09	$66.45	$0.00	12.2%	3.8%	12.4%	0.7%	0.0%	-0.8%	0.9%	-1.9K	7.9K	-63	4.00	78.70	1	4	1	4
2016-05-10	$66.85	$0.00	13.5%	3.9%	11.8%	1.8%	0.0%	-1.1%	0.6%	-2.3K	6.7K	-60	4.00	79.05	1	4	1	4
2016-05-11	$67.10	$0.00	13.6%	3.9%	11.8%	1.9%	0.0%	-0.1%	0.6%	-1.3K	5.5K	-62	15.00	91.41	1	15	1	4
2016-05-12	$67.03	$0.00	13.6%	3.9%	11.7%	1.9%	0.0%	-0.5%	0.8%	-4.6K	23.6K	-196	15.00	89.31	1	15	1	15
2016-05-13	$67.54	$0.00	13.7%	3.9%	11.7%	1.9%	0.0%	0.1%	0.9%	-3.8K	20.1K	-185	15.00	91.52	1	15	1	15
2016-05-16	$67.36	$0.00	13.6%	3.9%	11.8%	1.9%	0.0%	-0.6%	1.0%	-4.0K	21.4K	-183	15.00	103.94	1	15	1	15
2016-05-18	$66.26	$0.00	13.8%	4.0%	13.1%	2.0%	0.0%	-0.1%	1.1%	-5.0K	29.3K	-200	15.00	88.63	1	15	1	15
2016-05-19	$66.27	$0.00	13.6%	3.9%	12.2%	1.8%	0.0%	-0.2%	1.3%	-5.9K	28.3K	-198	15.00	84.01	1	15	1	15
2016-05-20	$66.20	$0.00	13.0%	3.7%	12.1%	1.4%	0.0%	-0.8%	2.0%	-3.6K	26.4K	-196	15.00	93.94	1	15	1	15
2016-05-23	$66.16	$0.00	13.2%	3.8%	12.1%	1.5%	0.0%	-0.2%	0.8%	-3.7K	26.7K	-194	14.00	103.32	1	14	1	14
2016-05-24	$66.04	$0.00	12.8%	3.7%	11.9%	1.2%	0.0%	0.2%	0.7%	-3.8K	27.0K	-193	14.00	100.97	1	14	1	14
2016-05-25	$66.10	$0.00	12.6%	3.6%	11.8%	1.1%	0.0%	0.1%	0.5%	-3.6K	26.3K	-192	14.00	88.26	1	14	1	14
2016-05-26	$66.53	$0.00	12.7%	3.6%	10.6%	1.1%	0.0%	-0.6%	0.4%	-3.6K	23.6K	-183	14.00	117.97	1	14	1	14
2016-05-27	$66.40	$0.00	11.3%	3.2%	10.4%	0.0%	0.0%	-0.4%	1.8%	-3.8K	24.4K	-181	14.00	154.71	1	14	1	14
2016-05-31	$66.10	$0.00	12.6%	3.6%	10.3%	1.1%	10.7%	-0.3%	0.5%	-4.0K	26.2K	-185	1.27	111.18	11	14	1	14