LTPZ Options History — July 2016

In July 2016, LTPZ traded between $70.05 and $72.18. ATM implied volatility averaged 15.3%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.6% (HV 20d: 13.6%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.09.

Notable Days

2016-07-11: Highest Volume — 30 contracts
2016-07-05: Largest IV spike — 15.5% change
2016-07-06: Highest IV Rank — 5.5%
2016-07-06: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.99	$70.05	$72.18	$70.95	$71.98
Max Pain	$72.81	$70.00	$73.00	$70.00	$73.00
ATM IV	15.3%	13.8%	18.0%	14.9%	13.8%
Expected Move	4.4%	4.0%	4.8%	4.3%	4.0%
HV 20d	13.6%	12.2%	15.1%	12.9%	12.7%
HV 60d	11.8%	11.3%	12.3%	11.9%	11.3%
IV Rank	3.3%	2.1%	5.5%	2.9%	2.1%
IV Percentile	36.4%	23.0%	50.8%	34.9%	23.0%
Term Structure	-0.1%	-0.9%	0.3%	0.2%	0.3%
VWIV	15.2%	13.8%	16.1%	15.8%	13.8%
Skew 25d	-0.1%	-0.8%	1.0%	1.0%	-0.1%
Skew 10d	0.4%	-2.4%	1.6%	1.4%	1.1%
Call IV 25d	15.3%	13.8%	16.9%	14.8%	13.8%
Put IV 25d	15.2%	13.7%	16.5%	15.9%	13.7%
Bid-Ask Spread %	68.26	49.75	110.56	110.56	83.33
Gamma HHI	0.29	0.24	0.40	0.40	0.28
Net GEX	640	-3.0K	3.7K	-2.1K	3.5K
Net DEX	-34.9K	-51.7K	-21.7K	-21.7K	-51.7K
Net VEX	-153	-199	-114	-130	-114
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	1.60	3.33	3.33	1.60
Total Volume	27.1	26	30	26	26
Total OI	27.9	27	31	27	27

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
2016-07-01	$70.95	$70.00	14.9%	4.3%	12.9%	2.9%	15.8%	1.0%	0.2%	-2.1K	-21.7K	-130	3.33	110.56	6	20	7	20
2016-07-05	$71.80	$0.00	17.2%	4.7%	13.2%	4.8%	0.0%	-0.6%	-0.2%	-2.3K	-27.6K	-141	3.33	61.85	6	20	7	20
2016-07-06	$72.00	$0.00	18.0%	4.8%	13.2%	5.5%	0.0%	-0.4%	-0.2%	-2.0K	-28.5K	-139	3.33	67.23	6	20	7	20
2016-07-07	$71.76	$0.00	15.7%	4.6%	13.3%	3.6%	0.0%	0.2%	-0.3%	-2.1K	-28.2K	-136	3.33	62.42	6	20	7	20
2016-07-08	$72.18	$0.00	14.9%	4.4%	13.3%	3.0%	15.3%	-0.4%	0.1%	-1.5K	-32.9K	-115	2.50	63.40	8	20	7	20
2016-07-11	$71.67	$73.00	15.5%	4.4%	13.8%	3.5%	15.3%	0.0%	-0.2%	-637	-36.7K	-134	2.00	77.29	10	20	9	20
2016-07-12	$70.71	$73.00	15.6%	4.4%	14.6%	3.6%	15.5%	-0.6%	-0.2%	-3.0K	-27.5K	-199	2.00	58.32	10	20	11	20
2016-07-13	$71.40	$73.00	15.4%	4.4%	14.4%	3.4%	15.7%	-0.3%	-0.0%	-972	-40.1K	-174	2.00	70.14	10	20	11	20
2016-07-14	$70.77	$73.00	16.0%	4.6%	14.9%	3.9%	16.1%	-0.8%	-0.3%	-2.4K	-31.5K	-178	2.00	49.75	10	20	11	20
2016-07-15	$70.38	$73.00	15.3%	4.4%	15.1%	3.3%	15.5%	0.5%	-0.1%	1.9K	-33.9K	-192	2.00	54.81	10	20	11	20
2016-07-18	$70.44	$73.00	14.8%	4.2%	14.6%	2.9%	15.5%	-0.2%	0.2%	2.1K	-35.1K	-180	1.60	52.43	10	16	11	16
2016-07-19	$70.45	$73.00	14.7%	4.2%	14.1%	2.8%	15.6%	-0.4%	0.3%	2.5K	-37.0K	-167	1.60	58.70	10	16	11	16
2016-07-20	$70.24	$73.00	15.0%	4.3%	14.0%	3.1%	15.0%	0.4%	-0.8%	2.4K	-33.5K	-170	1.60	60.25	10	16	11	16
2016-07-21	$70.05	$73.00	15.0%	4.3%	14.1%	3.1%	14.9%	0.1%	-0.3%	2.2K	-33.0K	-171	1.60	62.45	10	16	11	16
2016-07-22	$70.14	$73.00	14.0%	4.0%	14.1%	2.2%	14.8%	0.0%	0.2%	2.7K	-35.3K	-161	1.60	61.43	10	16	11	16
2016-07-25	$70.05	$73.00	14.7%	4.2%	13.3%	2.8%	15.4%	-0.1%	0.2%	2.6K	-35.0K	-153	1.60	71.11	10	16	11	16
2016-07-26	$70.28	$73.00	14.8%	4.2%	12.2%	2.9%	14.9%	0.0%	-0.5%	2.7K	-36.5K	-152	1.60	72.96	10	16	11	16
2016-07-27	$71.19	$73.00	14.9%	4.3%	12.6%	3.0%	14.4%	0.3%	-0.9%	3.7K	-45.2K	-124	1.60	94.04	10	16	11	16
2016-07-28	$71.45	$73.00	14.9%	4.3%	12.5%	3.0%	15.0%	-0.4%	-0.4%	3.5K	-47.2K	-127	1.60	72.85	10	16	11	16
2016-07-29	$71.98	$73.00	13.8%	4.0%	12.7%	2.1%	13.8%	-0.1%	0.3%	3.5K	-51.7K	-114	1.60	83.33	10	16	11	16