LTPZ Options History — September 2016

In September 2016, LTPZ traded between $68.66 and $72.36. ATM implied volatility averaged 13.7%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.4% (HV 20d: 13.3%). Max pain ranged from $66.00 to $73.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.30.

Notable Days

2016-09-15: Highest Volume — 51 contracts
2016-09-14: Largest IV drop — 22.8% change
2016-09-13: Highest IV Rank — 6.3%
2016-09-20: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.50	$68.66	$72.36	$71.43	$71.35
Max Pain	$72.33	$66.00	$73.00	$66.00	$73.00
ATM IV	13.7%	11.6%	19.0%	12.9%	13.2%
Expected Move	3.8%	3.3%	4.5%	3.7%	3.8%
HV 20d	13.3%	8.8%	15.7%	8.8%	15.3%
HV 60d	13.2%	12.3%	13.8%	12.3%	12.8%
IV Rank	2.0%	0.2%	6.3%	1.3%	1.6%
IV Percentile	23.7%	1.6%	60.3%	12.7%	24.2%
Term Structure	0.8%	-0.5%	2.1%	0.4%	1.2%
VWIV	19.2%	12.3%	76.7%	73.0%	12.8%
Skew 25d	0.8%	0.0%	1.7%	1.7%	0.2%
Skew 10d	0.1%	-3.8%	2.5%	2.5%	-3.6%
Call IV 25d	13.1%	11.4%	14.7%	11.4%	12.9%
Put IV 25d	13.9%	12.1%	15.8%	13.1%	13.1%
Bid-Ask Spread %	69.85	42.55	136.36	128.24	82.06
Gamma HHI	0.65	0.42	0.79	0.74	0.72
Net GEX	12.0K	6.3K	17.9K	13.5K	15.0K
Net DEX	-48.4K	-92.6K	-19.8K	-77.1K	-43.8K
Net VEX	-244	-317	-180	-315	-224
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.07	0.52	0.48	0.07
Total Volume	40.333	30	51	49	30
Total OI	37.619	30	46	44	30

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
2016-09-01	$71.43	$66.00	12.9%	3.7%	8.8%	1.3%	73.0%	1.7%	0.4%	13.5K	-77.1K	-315	0.48	128.24	33	16	28	16
2016-09-02	$71.10	$66.00	11.6%	3.3%	8.8%	0.2%	76.7%	0.2%	2.1%	13.0K	-69.1K	-303	0.48	136.36	33	16	28	16
2016-09-06	$72.14	$73.00	12.7%	3.7%	10.1%	1.2%	12.8%	0.7%	0.8%	15.1K	-89.7K	-317	0.48	42.55	33	16	28	16
2016-09-07	$72.36	$73.00	12.5%	3.7%	9.7%	1.1%	13.2%	0.2%	1.3%	15.1K	-92.6K	-311	0.48	44.24	33	16	28	16
2016-09-08	$71.17	$73.00	12.6%	3.8%	11.5%	1.1%	12.7%	0.8%	1.1%	13.5K	-68.8K	-289	0.48	45.70	33	16	28	16
2016-09-09	$69.87	$73.00	14.4%	4.0%	13.1%	2.5%	13.2%	0.1%	0.4%	10.2K	-45.7K	-236	0.52	66.00	33	17	28	16
2016-09-12	$70.02	$73.00	16.2%	4.0%	12.7%	4.0%	13.1%	1.0%	0.4%	10.4K	-42.5K	-251	0.52	45.47	33	17	28	17
2016-09-13	$68.89	$73.00	19.0%	4.2%	13.8%	6.3%	14.8%	0.9%	-0.1%	7.3K	-25.5K	-197	0.52	70.28	33	17	28	17
2016-09-14	$69.16	$73.00	14.7%	4.2%	13.7%	2.8%	14.3%	1.0%	0.0%	7.6K	-28.3K	-196	0.52	48.79	33	17	28	17
2016-09-15	$68.66	$73.00	14.2%	4.1%	13.6%	2.4%	14.0%	1.2%	1.0%	7.3K	-24.7K	-180	0.50	60.03	34	17	28	17
2016-09-16	$69.14	$73.00	14.4%	4.1%	13.8%	2.6%	14.3%	0.5%	0.6%	7.2K	-29.2K	-206	0.50	49.22	34	17	29	17
2016-09-19	$68.79	$73.00	14.4%	4.1%	13.9%	2.6%	14.9%	1.7%	0.2%	6.7K	-21.1K	-193	0.07	62.96	28	2	28	2
2016-09-20	$68.96	$73.00	15.6%	4.5%	13.6%	3.6%	15.0%	0.6%	-0.5%	6.3K	-19.8K	-191	0.07	65.77	28	2	28	2
2016-09-21	$69.80	$73.00	13.1%	3.8%	14.4%	1.5%	14.1%	0.0%	0.9%	8.4K	-26.2K	-211	0.07	77.91	28	2	28	2
2016-09-22	$70.64	$73.00	12.8%	3.7%	15.1%	1.3%	12.5%	1.1%	0.5%	13.3K	-42.3K	-241	0.07	68.30	28	2	28	2
2016-09-23	$71.50	$73.00	12.9%	3.7%	15.7%	1.3%	12.6%	1.0%	0.9%	15.7K	-55.7K	-269	0.07	65.55	28	2	28	2
2016-09-26	$71.17	$73.00	12.5%	3.6%	15.7%	1.0%	12.8%	0.8%	1.2%	16.2K	-50.6K	-252	0.07	66.64	28	2	28	2
2016-09-27	$71.48	$73.00	12.8%	3.7%	15.5%	1.3%	12.3%	0.8%	0.6%	16.4K	-52.4K	-247	0.07	72.99	28	2	28	2
2016-09-28	$71.55	$73.00	12.3%	3.5%	15.4%	0.9%	12.3%	0.8%	1.4%	17.9K	-58.8K	-262	0.07	82.13	28	2	28	2
2016-09-29	$71.33	$73.00	12.8%	3.7%	15.4%	1.2%	12.5%	0.7%	1.9%	17.0K	-52.2K	-243	0.07	85.75	28	2	28	2
2016-09-30	$71.35	$73.00	13.2%	3.8%	15.3%	1.6%	12.8%	0.2%	1.2%	15.0K	-43.8K	-224	0.07	82.06	28	2	28	2