LTPZ Options History — June 2016

In June 2016, LTPZ traded between $65.95 and $69.58. ATM implied volatility averaged 15.1%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.2% (HV 20d: 9.9%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.19.

Notable Days

2016-06-08: Highest Volume — 27 contracts
2016-06-27: Largest IV spike — 16.1% change
2016-06-27: Highest IV Rank — 6.0%
2016-06-27: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.58	$65.95	$69.58	$65.95	$69.58
Max Pain	$67.50	$65.00	$70.00	$65.00	$70.00
ATM IV	15.1%	11.3%	18.6%	13.1%	14.6%
Expected Move	4.4%	3.7%	5.3%	3.8%	4.2%
HV 20d	9.9%	7.9%	11.9%	9.2%	11.8%
HV 60d	11.7%	10.5%	12.3%	12.3%	11.4%
IV Rank	3.1%	0.0%	6.0%	1.5%	2.7%
IV Percentile	29.9%	0.0%	50.4%	9.9%	31.3%
Term Structure	-0.2%	-1.6%	1.3%	0.2%	1.3%
VWIV	13.5%	11.5%	14.8%	11.5%	14.8%
Skew 25d	-1.3%	-3.3%	-0.0%	-0.4%	-0.6%
Skew 10d	-1.8%	-8.2%	1.0%	1.0%	-0.7%
Call IV 25d	15.8%	12.9%	19.1%	13.5%	15.1%
Put IV 25d	14.6%	12.3%	16.5%	13.1%	14.5%
Bid-Ask Spread %	72.35	44.55	119.03	119.03	101.36
Gamma HHI	0.42	0.28	0.76	0.30	0.28
Net GEX	2.2K	-4.6K	27.4K	4.4K	-3.7K
Net DEX	-17.3K	-45.4K	29.3K	-8.2K	-249
Net VEX	-196	-254	-168	-232	-206
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.19	1.27	16.00	1.27	3.33
Total Volume	24.545	17	27	25	26
Total OI	24.318	17	27	25	27

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
2016-06-01	$65.95	$65.00	13.1%	3.8%	9.2%	1.5%	11.5%	-0.4%	0.2%	4.4K	-8.2K	-232	1.27	119.03	11	14	11	14
2016-06-02	$66.39	$0.00	13.1%	3.8%	9.5%	1.4%	0.0%	-0.4%	0.8%	4.7K	-18.0K	-220	1.27	44.55	11	14	11	14
2016-06-03	$67.15	$0.00	12.3%	3.8%	10.3%	0.8%	0.0%	-0.1%	0.7%	4.5K	-30.6K	-196	1.36	50.68	11	15	11	14
2016-06-06	$67.01	$0.00	12.1%	3.7%	9.8%	0.6%	0.0%	-0.4%	0.9%	4.5K	-27.3K	-204	1.36	46.29	11	15	11	15
2016-06-07	$67.40	$0.00	11.3%	3.7%	9.4%	0.0%	0.0%	-0.6%	0.9%	4.1K	-35.7K	-187	1.36	69.87	11	15	11	15
2016-06-08	$67.88	$0.00	13.0%	3.7%	9.7%	1.4%	0.0%	-0.2%	0.7%	2.8K	-44.0K	-168	1.45	73.52	11	16	11	15
2016-06-09	$68.07	$0.00	13.3%	3.8%	9.5%	1.7%	0.0%	-0.4%	0.5%	2.0K	-43.7K	-177	1.45	90.76	11	16	11	16
2016-06-10	$68.13	$0.00	14.0%	4.0%	9.4%	2.3%	0.0%	-1.1%	0.7%	3.2K	-45.4K	-173	1.45	67.89	11	16	11	16
2016-06-13	$67.69	$0.00	15.7%	4.5%	9.8%	3.6%	0.0%	-1.5%	-0.5%	2.8K	-37.9K	-181	1.45	62.12	11	16	11	16
2016-06-14	$67.23	$0.00	15.9%	4.6%	9.7%	3.8%	0.0%	-0.7%	-0.4%	4.1K	-30.1K	-195	1.45	61.28	11	16	11	16
2016-06-15	$67.72	$0.00	16.2%	4.6%	10.0%	4.0%	0.0%	-1.8%	-0.8%	3.6K	-40.2K	-174	1.45	71.67	11	16	11	16
2016-06-16	$67.68	$0.00	17.7%	5.1%	7.9%	5.3%	0.0%	-2.0%	-0.7%	3.0K	-42.2K	-182	1.45	72.57	11	16	11	16
2016-06-17	$67.08	$0.00	17.0%	4.9%	8.6%	4.7%	0.0%	-2.6%	-1.3%	27.4K	-29.8K	-178	1.45	59.08	11	16	11	16
2016-06-20	$66.56	$0.00	16.8%	4.8%	9.1%	4.5%	0.0%	-2.1%	-1.2%	-4.4K	27.0K	-184	16.00	50.91	1	16	1	16
2016-06-21	$66.23	$0.00	16.2%	4.6%	9.3%	4.0%	0.0%	-1.3%	-1.1%	-4.6K	29.3K	-190	16.00	46.60	1	16	1	16
2016-06-22	$66.61	$0.00	17.3%	5.0%	9.5%	5.0%	0.0%	-3.3%	-1.6%	-4.3K	26.5K	-181	2.67	47.73	6	16	1	16
2016-06-23	$66.75	$0.00	15.7%	4.5%	9.5%	3.6%	0.0%	-1.3%	-0.8%	-2.2K	10.0K	-254	2.67	75.02	6	16	7	16
2016-06-24	$67.77	$0.00	16.0%	4.6%	10.7%	3.9%	0.0%	-2.7%	0.1%	-1.5K	-819	-229	2.67	91.71	6	16	7	16
2016-06-27	$68.89	$0.00	18.6%	5.3%	11.9%	6.0%	0.0%	-2.2%	-1.3%	-733	-9.7K	-213	2.67	87.40	6	16	7	16
2016-06-28	$69.51	$0.00	17.2%	4.9%	11.9%	4.9%	0.0%	-1.9%	-1.5%	-334	-15.1K	-192	2.67	96.87	6	16	7	16
2016-06-29	$69.37	$0.00	15.6%	4.5%	11.9%	3.5%	14.2%	-0.0%	-0.3%	-236	-14.8K	-189	3.33	104.82	6	20	7	16
2016-06-30	$69.58	$70.00	14.6%	4.2%	11.8%	2.7%	14.8%	-0.6%	1.3%	-3.7K	-249	-206	3.33	101.36	6	20	7	20