LTPZ Options History — November 2016

In November 2016, LTPZ traded between $66.00 and $69.75. ATM implied volatility averaged 16.8%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.1% (HV 20d: 11.7%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.42.

Notable Days

2016-11-15: Highest Volume — 46 contracts
2016-11-14: Largest IV spike — 21.3% change
2016-11-17: Highest IV Rank — 5.9%
2016-11-17: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.38	$66.00	$69.75	$69.72	$66.65
Max Pain	$67.00	$67.00	$67.00	$67.00	$67.00
ATM IV	16.8%	15.2%	18.5%	15.5%	17.1%
Expected Move	4.7%	4.2%	5.3%	4.4%	4.9%
HV 20d	11.7%	8.9%	13.4%	9.0%	12.2%
HV 60d	12.4%	11.7%	12.9%	11.8%	12.4%
IV Rank	4.6%	3.3%	5.9%	3.4%	4.8%
IV Percentile	66.5%	55.2%	74.6%	56.0%	70.2%
Term Structure	-0.6%	-1.6%	1.9%	-0.7%	-1.0%
VWIV	17.0%	15.0%	18.8%	15.0%	18.4%
Skew 25d	1.2%	0.1%	2.5%	0.6%	1.6%
Skew 10d	2.1%	-0.7%	6.0%	-0.2%	5.8%
Call IV 25d	16.2%	14.7%	20.4%	15.4%	16.9%
Put IV 25d	17.5%	15.1%	22.0%	16.0%	18.5%
Bid-Ask Spread %	80.52	47.74	153.79	57.40	121.12
Gamma HHI	0.55	0.25	0.68	0.26	0.66
Net GEX	-5.9K	-17.0K	4.5K	1.4K	-15.6K
Net DEX	14.9K	-41.4K	64.8K	-10.0K	36.5K
Net VEX	-293	-424	-99	-104	-320
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.15	2.54	0.33	2.54
Total Volume	30.571	8	46	8	46
Total OI	32.81	8	49	8	49

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
2016-11-01	$69.72	$0.00	15.5%	4.4%	9.0%	3.4%	0.0%	0.6%	-0.7%	1.4K	-10.0K	-104	0.33	57.40	6	2	6	2
2016-11-02	$69.75	$0.00	16.0%	4.6%	8.9%	3.8%	0.0%	0.5%	-1.5%	1.4K	-10.0K	-103	0.33	67.34	6	2	6	2
2016-11-03	$69.00	$67.00	16.6%	4.2%	9.7%	4.3%	15.0%	0.6%	-0.1%	1.2K	-7.0K	-99	0.15	50.87	13	2	6	2
2016-11-04	$69.40	$67.00	16.3%	4.2%	9.9%	4.2%	15.0%	0.3%	0.3%	4.4K	-40.0K	-266	0.15	47.74	13	2	16	2
2016-11-07	$69.61	$67.00	16.8%	4.4%	9.8%	4.5%	15.1%	0.1%	-0.5%	4.4K	-41.2K	-263	0.15	76.51	13	2	16	2
2016-11-08	$69.34	$67.00	17.5%	4.3%	9.9%	5.1%	15.0%	0.3%	-0.0%	4.5K	-41.4K	-264	0.15	80.71	13	2	16	2
2016-11-09	$67.90	$67.00	15.8%	4.5%	12.3%	3.7%	15.5%	1.9%	-0.5%	3.8K	-29.7K	-238	0.15	62.58	13	2	16	2
2016-11-10	$67.33	$67.00	16.3%	4.7%	12.5%	4.1%	16.6%	1.3%	-0.1%	3.4K	-26.0K	-236	0.15	68.41	13	2	16	2
2016-11-11	$66.91	$67.00	15.2%	4.4%	12.5%	3.3%	17.0%	1.6%	1.9%	4.0K	-34.2K	-252	0.15	153.79	13	2	16	2
2016-11-14	$66.00	$67.00	18.5%	5.3%	12.4%	5.9%	16.0%	0.9%	-0.9%	2.7K	-15.4K	-198	0.15	68.69	13	2	16	2
2016-11-15	$66.16	$67.00	17.2%	4.9%	12.4%	4.8%	18.1%	1.2%	-1.2%	-12.3K	61.5K	-424	2.54	58.64	13	33	16	33
2016-11-16	$66.65	$67.00	17.3%	5.0%	12.9%	4.9%	17.1%	1.4%	-1.5%	-12.6K	52.2K	-412	2.54	87.30	13	33	16	33
2016-11-17	$66.00	$67.00	18.5%	5.3%	13.0%	5.9%	18.8%	2.0%	-1.6%	-12.1K	60.9K	-409	2.54	83.62	13	33	16	33
2016-11-18	$66.10	$67.00	18.1%	5.2%	13.0%	5.6%	18.3%	1.8%	-1.4%	-12.9K	64.8K	-407	2.54	78.59	13	33	16	33
2016-11-21	$66.57	$67.00	17.1%	4.9%	13.4%	4.7%	18.4%	2.5%	-0.8%	-12.3K	45.8K	-387	2.54	90.89	13	33	16	33
2016-11-22	$66.52	$67.00	16.2%	4.6%	12.8%	4.0%	17.2%	1.7%	-0.4%	-13.7K	45.5K	-373	2.54	73.00	13	33	16	33
2016-11-23	$66.32	$67.00	16.9%	4.8%	12.8%	4.6%	17.4%	2.2%	-0.8%	-14.8K	53.8K	-365	2.54	95.78	13	33	16	33
2016-11-25	$66.30	$67.00	17.7%	5.1%	12.1%	5.3%	18.2%	0.8%	-1.3%	-15.4K	57.2K	-365	2.54	88.55	13	33	16	33
2016-11-28	$66.09	$67.00	16.2%	4.6%	12.1%	4.1%	18.1%	1.8%	0.5%	-17.0K	47.3K	-337	2.54	84.46	13	33	16	33
2016-11-29	$66.71	$67.00	17.0%	4.9%	12.3%	4.7%	17.5%	1.1%	-1.0%	-16.1K	42.8K	-329	2.54	94.89	13	33	16	33
2016-11-30	$66.65	$67.00	17.1%	4.9%	12.2%	4.8%	18.4%	1.6%	-1.0%	-15.6K	36.5K	-320	2.54	121.12	13	33	16	33