LTPZ Options History — January 2017

In January 2017, LTPZ traded between $65.36 and $66.73. ATM implied volatility averaged 14.1%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.4% (HV 20d: 11.7%). Max pain ranged from $64.00 to $64.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2017-01-12: Highest Volume — 35 contracts
2017-01-06: Largest IV drop — 11.3% change
2017-01-05: Highest IV Rank — 3.4%
2017-01-04: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.00	$65.36	$66.73	$65.54	$65.84
Max Pain	$64.00	$64.00	$64.00	$64.00	$64.00
ATM IV	14.1%	12.7%	15.4%	14.6%	14.1%
Expected Move	4.0%	3.6%	4.4%	4.2%	4.0%
HV 20d	11.7%	9.4%	14.3%	14.0%	11.0%
HV 60d	12.5%	12.1%	12.8%	12.1%	12.6%
IV Rank	2.5%	1.3%	3.4%	2.8%	2.5%
IV Percentile	45.4%	13.1%	61.1%	52.4%	51.2%
Term Structure	-0.8%	-2.2%	0.1%	-0.1%	-0.2%
VWIV	14.4%	14.3%	14.5%	14.5%	14.3%
Skew 25d	0.7%	-0.7%	2.3%	0.4%	-0.1%
Skew 10d	0.8%	-1.1%	3.4%	1.7%	1.5%
Call IV 25d	14.1%	12.8%	14.9%	14.2%	13.9%
Put IV 25d	14.8%	13.7%	16.3%	14.6%	13.9%
Bid-Ask Spread %	61.07	39.06	79.09	77.04	77.30
Gamma HHI	0.45	0.35	0.59	0.51	0.42
Net GEX	1.5K	-3.2K	5.0K	-2.9K	2.0K
Net DEX	-8.5K	-23.5K	5.2K	5.1K	-5.9K
Net VEX	-208	-272	-138	-152	-185
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.22	1.06	1.00	0.22
Total Volume	27.95	22	35	22	22
Total OI	31.2	25	38	25	28

Daily Data (20 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
2017-01-03	$65.54	$64.00	14.6%	4.2%	14.0%	2.8%	14.5%	0.4%	-0.1%	-2.9K	5.1K	-152	1.00	77.04	11	11	14	11
2017-01-04	$65.61	$64.00	15.2%	4.4%	13.7%	3.2%	14.3%	-0.7%	-0.3%	-3.2K	5.2K	-149	1.00	79.09	11	11	14	11
2017-01-05	$66.33	$0.00	15.4%	4.2%	14.2%	3.4%	0.0%	1.0%	-0.8%	-377	-6.2K	-146	1.00	46.62	11	11	14	11
2017-01-06	$65.73	$0.00	13.7%	4.1%	14.3%	2.0%	0.0%	0.4%	-0.5%	-2.3K	-895	-138	1.06	39.06	16	17	14	11
2017-01-09	$65.97	$0.00	14.6%	4.1%	13.8%	3.0%	0.0%	1.0%	-0.6%	-1.3K	-1.4K	-272	1.06	52.83	16	17	19	17
2017-01-10	$66.09	$0.00	13.7%	4.0%	12.2%	2.2%	0.0%	0.5%	-0.9%	-1.1K	-1.9K	-258	1.06	52.58	16	17	19	17
2017-01-11	$66.56	$0.00	13.5%	3.9%	12.3%	2.0%	0.0%	0.6%	-0.7%	2.0K	-9.2K	-259	1.06	61.53	16	17	19	17
2017-01-12	$66.67	$0.00	13.4%	3.8%	12.3%	1.9%	0.0%	0.3%	-0.5%	2.3K	-11.9K	-257	0.94	70.93	18	17	19	17
2017-01-13	$66.38	$0.00	14.1%	4.0%	12.1%	2.5%	0.0%	0.1%	-2.2%	2.2K	-20.4K	-254	0.94	49.77	18	17	21	17
2017-01-17	$66.73	$0.00	14.1%	4.0%	9.7%	2.5%	0.0%	1.2%	-1.1%	4.5K	-23.5K	-257	0.94	61.90	18	17	21	17
2017-01-18	$65.97	$0.00	14.2%	4.1%	10.3%	2.6%	0.0%	0.8%	-1.1%	3.1K	-16.4K	-245	0.94	50.78	18	17	21	17
2017-01-19	$65.86	$0.00	14.2%	4.1%	9.4%	2.6%	0.0%	2.3%	-1.5%	3.3K	-9.8K	-225	0.94	44.83	18	17	21	17
2017-01-20	$65.64	$0.00	14.1%	4.0%	9.6%	2.5%	0.0%	1.4%	-1.0%	3.1K	-10.0K	-222	0.78	54.95	18	14	21	17
2017-01-23	$66.49	$0.00	14.3%	4.1%	10.3%	2.7%	0.0%	0.8%	-1.3%	5.0K	-17.7K	-174	0.22	70.18	18	4	21	4
2017-01-24	$65.93	$0.00	14.1%	4.0%	10.7%	2.5%	0.0%	1.0%	-1.1%	4.6K	-18.4K	-183	0.22	55.64	18	4	21	4
2017-01-25	$65.36	$0.00	14.5%	4.2%	11.0%	2.9%	0.0%	0.4%	-0.2%	1.8K	-2.1K	-193	0.22	76.24	18	4	21	7
2017-01-26	$65.65	$0.00	13.7%	3.9%	11.1%	2.2%	0.0%	0.1%	-0.8%	2.8K	-9.5K	-211	0.22	59.93	18	4	21	7
2017-01-27	$65.98	$0.00	12.7%	3.6%	11.0%	1.3%	0.0%	1.8%	0.1%	3.0K	-8.4K	-189	0.22	66.56	18	4	21	7
2017-01-30	$65.72	$0.00	13.5%	3.9%	11.1%	2.0%	0.0%	0.5%	-0.3%	2.4K	-7.9K	-189	0.22	73.59	18	4	21	7
2017-01-31	$65.84	$0.00	14.1%	4.0%	11.0%	2.5%	0.0%	-0.1%	-0.2%	2.0K	-5.9K	-185	0.22	77.30	18	4	21	7