LTPZ Options History — December 2016

In December 2016, LTPZ traded between $62.55 and $66.46. ATM implied volatility averaged 16.1%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.9% (HV 20d: 13.2%). Max pain ranged from $64.00 to $67.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.06.

Notable Days

2016-12-12: Highest Volume — 56 contracts
2016-12-14: Largest IV drop — 20.8% change
2016-12-12: Highest IV Rank — 7.0%
2016-12-01: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.66	$62.55	$66.46	$65.72	$64.97
Max Pain	$64.40	$64.00	$67.00	$67.00	$64.00
ATM IV	16.1%	13.4%	19.8%	19.8%	13.6%
Expected Move	4.3%	3.8%	5.7%	5.7%	3.9%
HV 20d	13.2%	11.7%	14.6%	12.9%	13.7%
HV 60d	12.1%	11.6%	12.6%	12.6%	12.0%
IV Rank	4.0%	1.7%	7.0%	7.0%	1.9%
IV Percentile	57.9%	29.8%	82.1%	79.4%	36.1%
Term Structure	0.4%	-2.5%	1.6%	-2.4%	1.0%
VWIV	15.0%	13.2%	20.5%	20.5%	13.2%
Skew 25d	0.9%	-0.7%	3.3%	3.3%	-0.7%
Skew 10d	2.6%	-0.9%	8.6%	2.6%	4.8%
Call IV 25d	14.7%	13.1%	18.3%	18.3%	13.8%
Put IV 25d	15.6%	13.2%	21.6%	21.6%	13.2%
Bid-Ask Spread %	71.83	42.46	112.56	93.89	74.89
Gamma HHI	0.66	0.49	0.86	0.69	0.56
Net GEX	-16.1K	-46.8K	-3.6K	-15.9K	-4.5K
Net DEX	74.3K	13.1K	243.6K	61.7K	13.1K
Net VEX	-205	-323	-124	-323	-153
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	1.00	3.31	2.54	1.00
Total Volume	38.095	22	56	46	22
Total OI	40.619	25	59	49	25

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
2016-12-01	$65.72	$67.00	19.8%	5.7%	12.9%	7.0%	20.5%	3.3%	-2.4%	-15.9K	61.7K	-323	2.54	93.89	13	33	16	33
2016-12-02	$65.57	$67.00	18.9%	5.4%	12.5%	6.2%	20.5%	2.6%	-2.5%	-17.2K	63.3K	-316	2.54	112.56	13	33	16	33
2016-12-05	$66.11	$0.00	19.5%	4.7%	12.8%	6.7%	0.0%	1.6%	-0.2%	-18.2K	46.1K	-291	2.54	42.46	13	33	16	33
2016-12-06	$65.95	$0.00	17.2%	4.5%	12.6%	4.8%	0.0%	0.8%	0.4%	-23.7K	50.3K	-278	2.54	47.95	13	33	16	33
2016-12-07	$66.46	$0.00	19.0%	4.4%	13.1%	6.3%	0.0%	1.3%	0.4%	-19.1K	33.7K	-259	2.54	48.86	13	33	16	33
2016-12-08	$65.69	$0.00	16.8%	4.3%	11.7%	4.5%	0.0%	1.1%	0.6%	-27.1K	61.6K	-257	2.54	57.16	13	33	16	33
2016-12-09	$64.58	$0.00	17.4%	4.5%	12.7%	5.0%	0.0%	0.1%	0.4%	-30.8K	108.2K	-234	2.54	58.41	13	33	16	33
2016-12-12	$64.57	$0.00	19.8%	4.5%	12.6%	7.0%	16.1%	0.7%	0.4%	-34.9K	121.1K	-197	3.31	66.88	13	43	16	33
2016-12-13	$64.66	$64.00	19.3%	4.4%	11.9%	6.6%	16.0%	0.5%	0.3%	-46.8K	155.3K	-263	3.31	74.82	13	43	16	43
2016-12-14	$64.21	$64.00	15.3%	4.4%	12.0%	3.3%	15.3%	1.1%	0.6%	-44.1K	172.1K	-222	3.31	80.43	13	43	16	43
2016-12-15	$63.07	$64.00	15.3%	4.4%	12.8%	3.3%	14.5%	1.2%	0.3%	-16.4K	226.1K	-155	3.31	73.15	13	43	16	43
2016-12-16	$62.55	$64.00	14.9%	4.3%	12.7%	3.0%	13.8%	0.8%	0.7%	-3.6K	243.6K	-124	3.31	92.46	13	43	16	43
2016-12-19	$63.43	$64.00	14.5%	4.2%	14.0%	2.7%	13.5%	0.6%	1.1%	-4.4K	36.8K	-147	1.00	84.63	11	11	14	11
2016-12-20	$63.50	$64.00	14.2%	4.1%	13.6%	2.4%	13.4%	1.8%	1.2%	-4.7K	35.5K	-148	1.00	76.71	11	11	14	11
2016-12-21	$63.91	$64.00	14.1%	4.0%	13.9%	2.3%	14.0%	0.8%	1.3%	-4.6K	31.1K	-148	1.00	62.49	11	11	14	11
2016-12-22	$64.38	$64.00	13.9%	4.0%	14.3%	2.1%	13.9%	0.1%	1.6%	-4.2K	23.2K	-168	1.00	68.92	11	11	14	11
2016-12-23	$64.83	$64.00	13.4%	3.8%	14.6%	1.7%	13.6%	0.8%	1.4%	-4.4K	18.6K	-163	1.00	71.38	11	11	14	11
2016-12-27	$64.76	$64.00	13.4%	3.8%	14.6%	1.7%	13.6%	0.1%	1.3%	-4.8K	18.3K	-156	1.00	82.58	11	11	14	11
2016-12-28	$64.44	$64.00	13.6%	3.9%	14.1%	1.9%	13.6%	0.3%	1.1%	-5.2K	21.2K	-145	1.00	71.98	11	11	14	11
2016-12-29	$64.57	$64.00	14.3%	4.1%	14.2%	2.5%	14.2%	-0.2%	0.2%	-4.6K	19.6K	-150	1.00	65.85	11	11	14	11
2016-12-30	$64.97	$64.00	13.6%	3.9%	13.7%	1.9%	13.2%	-0.7%	1.0%	-4.5K	13.1K	-153	1.00	74.89	11	11	14	11