LTPZ Options History — August 2016

In August 2016, LTPZ traded between $69.57 and $71.81. ATM implied volatility averaged 13.1%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.3% (HV 20d: 12.8%). Max pain ranged from $66.00 to $73.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.29.

Notable Days

2016-08-25: Highest Volume — 49 contracts
2016-08-02: Largest IV spike — 7.3% change
2016-08-02: Highest IV Rank — 3.0%
2016-08-02: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.08	$69.57	$71.81	$70.81	$71.81
Max Pain	$66.91	$66.00	$73.00	$73.00	$66.00
ATM IV	13.1%	12.2%	14.9%	13.9%	12.5%
Expected Move	3.7%	3.5%	4.3%	4.0%	3.6%
HV 20d	12.8%	9.4%	14.0%	12.4%	9.4%
HV 60d	12.3%	11.9%	12.6%	11.9%	12.3%
IV Rank	1.5%	0.8%	3.0%	2.1%	1.0%
IV Percentile	12.7%	3.2%	34.5%	23.8%	5.6%
Term Structure	0.7%	-1.0%	1.5%	-0.0%	0.9%
VWIV	29.5%	8.6%	69.1%	14.3%	69.1%
Skew 25d	0.7%	-0.1%	1.4%	0.6%	1.4%
Skew 10d	0.1%	-6.1%	5.0%	0.5%	1.8%
Call IV 25d	12.7%	11.7%	14.1%	13.5%	11.7%
Put IV 25d	13.4%	12.4%	15.0%	14.2%	13.2%
Bid-Ask Spread %	106.17	77.19	132.36	77.24	128.35
Gamma HHI	0.45	0.30	0.74	0.31	0.74
Net GEX	6.0K	2.5K	14.5K	3.5K	13.2K
Net DEX	-57.8K	-116.4K	-32.0K	-42.5K	-78.4K
Net VEX	-153	-333	-64	-124	-319
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.48	2.00	1.60	0.48
Total Volume	28.391	0	49	26	49
Total OI	32.043	25	50	27	44

Daily Data (23 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
2016-08-01	$70.81	$73.00	13.9%	4.0%	12.4%	2.1%	14.3%	0.6%	-0.0%	3.5K	-42.5K	-124	1.60	77.24	10	16	11	16
2016-08-02	$69.57	$73.00	14.9%	4.3%	13.0%	3.0%	17.3%	0.9%	-1.0%	2.5K	-32.0K	-147	1.60	91.01	10	16	11	16
2016-08-03	$69.97	$73.00	13.9%	4.0%	13.2%	2.1%	8.6%	0.7%	0.1%	2.7K	-34.0K	-138	1.60	77.69	10	16	11	16
2016-08-04	$70.82	$66.00	13.9%	3.9%	14.0%	2.1%	14.0%	0.4%	0.7%	3.3K	-42.5K	-121	1.60	87.19	10	16	11	16
2016-08-05	$70.47	$66.00	13.1%	3.8%	13.9%	1.5%	12.7%	0.2%	1.1%	3.4K	-41.8K	-116	1.60	93.64	10	16	11	16
2016-08-08	$70.72	$66.00	13.5%	3.8%	13.8%	1.9%	13.5%	0.8%	1.1%	3.6K	-43.2K	-107	1.60	77.19	10	16	11	16
2016-08-09	$71.30	$66.00	13.6%	3.8%	13.3%	1.9%	11.0%	0.2%	1.4%	4.0K	-48.0K	-96	1.60	95.23	10	16	11	16
2016-08-10	$71.37	$66.00	12.8%	3.7%	12.8%	1.3%	17.2%	0.3%	1.0%	4.4K	-48.8K	-92	1.60	109.83	10	16	11	16
2016-08-11	$70.96	$66.00	13.1%	3.7%	12.6%	1.5%	12.9%	0.4%	1.0%	3.7K	-46.2K	-92	1.60	128.93	10	16	11	16
2016-08-12	$71.53	$66.00	12.7%	3.6%	12.7%	1.2%	45.6%	0.9%	0.9%	3.9K	-49.0K	-83	1.60	110.95	10	16	11	16
2016-08-15	$71.16	$66.00	13.1%	3.7%	12.9%	1.5%	18.2%	-0.1%	1.4%	3.9K	-47.1K	-84	1.60	108.53	10	16	11	16
2016-08-16	$70.60	$66.00	13.5%	3.9%	13.2%	1.8%	10.0%	0.3%	0.8%	3.0K	-43.4K	-87	1.60	100.16	10	16	11	16
2016-08-17	$71.05	$66.00	13.0%	3.7%	13.3%	1.4%	0.0%	0.5%	1.0%	3.1K	-46.4K	-80	0.00	124.07	0	0	11	16
2016-08-18	$71.28	$66.00	12.5%	3.6%	13.3%	1.0%	0.0%	0.3%	1.4%	2.9K	-48.1K	-75	0.00	91.96	0	0	11	16
2016-08-19	$71.05	$66.00	12.2%	3.5%	13.4%	0.8%	11.9%	1.0%	1.5%	3.1K	-45.8K	-79	1.60	90.98	10	16	11	16
2016-08-22	$71.57	$66.00	12.7%	3.6%	13.6%	1.1%	53.4%	1.2%	0.1%	2.6K	-49.8K	-69	2.00	115.63	8	16	9	16
2016-08-23	$71.80	$66.00	12.3%	3.5%	13.6%	0.8%	55.3%	0.9%	0.6%	2.5K	-51.0K	-64	0.53	124.18	30	16	9	16
2016-08-24	$71.53	$66.00	12.4%	3.6%	12.9%	1.0%	0.0%	0.2%	-0.0%	13.8K	-103.4K	-286	0.00	126.96	0	0	31	16
2016-08-25	$71.27	$66.00	13.2%	3.8%	12.9%	1.6%	59.3%	0.8%	0.1%	13.5K	-96.1K	-278	0.48	116.49	33	16	31	16
2016-08-26	$71.04	$66.00	12.7%	3.6%	12.6%	1.2%	13.1%	1.4%	0.7%	13.6K	-102.1K	-331	0.48	113.06	33	16	34	16
2016-08-29	$71.69	$66.00	12.8%	3.7%	11.6%	1.3%	65.0%	1.4%	0.7%	14.5K	-116.4K	-333	0.48	120.20	33	16	34	16
2016-08-30	$71.51	$66.00	12.2%	3.5%	9.5%	0.8%	67.7%	1.1%	1.2%	12.8K	-72.5K	-310	0.48	132.36	33	16	28	16
2016-08-31	$71.81	$66.00	12.5%	3.6%	9.4%	1.0%	69.1%	1.4%	0.9%	13.2K	-78.4K	-319	0.48	128.35	33	16	28	16