LTPZ Options History — October 2016

In October 2016, LTPZ traded between $69.07 and $71.41. ATM implied volatility averaged 13.5%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.9% (HV 20d: 11.7%). Max pain ranged from $73.00 to $73.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.15.

Notable Days

2016-10-03: Highest Volume — 30 contracts
2016-10-12: Largest IV spike — 11.4% change
2016-10-31: Highest IV Rank — 3.1%
2016-10-31: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.86	$69.07	$71.41	$71.41	$69.57
Max Pain	$73.00	$73.00	$73.00	$73.00	$73.00
ATM IV	13.5%	12.6%	15.1%	13.0%	15.1%
Expected Move	3.9%	3.6%	4.3%	3.7%	4.3%
HV 20d	11.7%	8.9%	15.5%	15.2%	11.0%
HV 60d	12.6%	11.7%	13.2%	12.8%	11.8%
IV Rank	1.9%	1.1%	3.1%	1.4%	3.1%
IV Percentile	30.9%	7.9%	54.8%	19.0%	54.8%
Term Structure	0.2%	-0.4%	1.8%	1.1%	-0.4%
VWIV	11.9%	8.9%	13.7%	13.2%	8.9%
Skew 25d	0.7%	-0.4%	1.4%	-0.4%	0.8%
Skew 10d	1.0%	-0.6%	6.5%	-0.6%	5.3%
Call IV 25d	13.5%	12.2%	15.2%	13.1%	15.2%
Put IV 25d	14.3%	12.8%	16.0%	12.8%	16.0%
Bid-Ask Spread %	58.50	39.56	83.23	79.36	61.93
Gamma HHI	0.32	0.21	0.75	0.75	0.25
Net GEX	3.7K	1.2K	17.7K	17.7K	1.3K
Net DEX	-13.8K	-51.1K	-6.8K	-51.1K	-8.5K
Net VEX	-126	-231	-101	-231	-103
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.07	0.33	0.07	0.33
Total Volume	23.714	8	30	30	8
Total OI	23.714	8	30	30	8

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
2016-10-03	$71.41	$73.00	13.0%	3.7%	15.2%	1.4%	13.2%	-0.4%	1.1%	17.7K	-51.1K	-231	0.07	79.36	28	2	28	2
2016-10-04	$70.12	$73.00	13.1%	3.8%	15.5%	1.5%	13.7%	0.3%	1.8%	9.9K	-25.2K	-176	0.07	77.42	28	2	28	2
2016-10-05	$69.83	$73.00	12.6%	3.6%	15.5%	1.1%	8.9%	0.7%	1.3%	6.8K	-17.4K	-150	0.07	83.23	28	2	28	2
2016-10-06	$69.86	$0.00	12.9%	4.1%	14.5%	1.4%	0.0%	1.1%	-0.0%	7.0K	-18.1K	-149	0.07	39.56	28	2	28	2
2016-10-07	$69.98	$0.00	13.1%	4.1%	12.9%	1.5%	0.0%	0.3%	-0.2%	6.6K	-16.8K	-146	0.07	43.40	28	2	28	2
2016-10-10	$69.62	$0.00	13.2%	4.1%	13.0%	1.6%	0.0%	0.7%	0.0%	3.6K	-11.1K	-124	0.07	45.25	28	2	28	2
2016-10-11	$69.52	$0.00	12.6%	4.0%	11.6%	1.1%	0.0%	1.0%	-0.3%	2.9K	-10.8K	-122	0.07	43.35	28	2	28	2
2016-10-12	$69.30	$0.00	14.1%	4.0%	11.6%	2.3%	0.0%	0.7%	0.3%	2.5K	-9.6K	-117	0.07	45.17	28	2	28	2
2016-10-13	$69.54	$0.00	13.7%	3.9%	11.3%	2.0%	0.0%	0.5%	-0.1%	2.3K	-9.8K	-118	0.07	50.18	28	2	28	2
2016-10-14	$69.15	$0.00	14.4%	4.1%	11.3%	2.6%	0.0%	0.8%	-0.1%	1.5K	-7.8K	-112	0.07	51.89	28	2	28	2
2016-10-17	$69.86	$0.00	14.2%	4.1%	11.6%	2.4%	0.0%	1.0%	0.1%	2.7K	-11.1K	-116	0.07	51.33	28	2	28	2
2016-10-18	$69.99	$0.00	14.0%	4.0%	11.6%	2.2%	0.0%	0.8%	-0.2%	1.7K	-10.8K	-115	0.07	48.25	28	2	28	2
2016-10-19	$69.86	$0.00	13.8%	3.9%	10.8%	2.1%	0.0%	0.9%	0.1%	1.5K	-11.0K	-113	0.07	50.49	28	2	28	2
2016-10-20	$70.13	$0.00	13.7%	3.9%	10.0%	2.0%	0.0%	0.7%	-0.3%	1.5K	-11.2K	-112	0.07	56.09	28	2	28	2
2016-10-21	$70.24	$0.00	12.9%	3.7%	8.9%	1.4%	0.0%	1.0%	-0.0%	1.6K	-11.3K	-112	0.07	65.22	28	2	28	2
2016-10-24	$69.90	$0.00	12.8%	3.7%	8.9%	1.2%	0.0%	1.1%	0.4%	1.5K	-9.7K	-107	0.33	70.88	6	2	6	2
2016-10-25	$70.49	$0.00	13.4%	3.8%	9.4%	1.8%	0.0%	0.8%	-0.2%	1.6K	-11.8K	-109	0.33	75.66	6	2	6	2
2016-10-26	$70.37	$0.00	13.7%	3.9%	9.3%	2.0%	0.0%	0.9%	-0.4%	1.6K	-12.1K	-109	0.33	66.00	6	2	6	2
2016-10-27	$69.35	$0.00	13.9%	4.0%	10.5%	2.2%	0.0%	0.5%	0.1%	1.3K	-7.5K	-103	0.33	67.47	6	2	6	2
2016-10-28	$69.07	$0.00	14.1%	4.0%	10.5%	2.3%	0.0%	1.4%	0.3%	1.2K	-6.8K	-101	0.33	56.43	6	2	6	2
2016-10-31	$69.57	$0.00	15.1%	4.3%	11.0%	3.1%	0.0%	0.8%	-0.4%	1.3K	-8.5K	-103	0.33	61.93	6	2	6	2