LTPZ Options History — February 2017

In February 2017, LTPZ traded between $64.73 and $67.00. ATM implied volatility averaged 12.9%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.3% (HV 20d: 9.6%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.11.

Notable Days

2017-02-07: Highest Volume — 82 contracts
2017-02-28: Largest IV spike — 24.6% change
2017-02-28: Highest IV Rank — 19.0%
2017-02-06: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.90	$64.73	$67.00	$65.42	$66.85
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	12.9%	11.2%	14.3%	13.5%	13.9%
Expected Move	3.7%	3.2%	4.0%	3.9%	4.0%
HV 20d	9.6%	7.5%	11.0%	10.8%	8.1%
HV 60d	11.7%	11.3%	12.5%	12.5%	11.4%
IV Rank	2.8%	0.0%	19.0%	2.0%	19.0%
IV Percentile	22.5%	0.0%	56.7%	33.3%	53.2%
Term Structure	-2.3%	-9.2%	0.2%	0.2%	-0.9%
VWIV	12.9%	11.1%	14.1%	14.1%	12.0%
Skew 25d	1.1%	0.2%	2.1%	0.2%	0.6%
Skew 10d	-0.1%	-6.4%	5.1%	-5.1%	3.0%
Call IV 25d	12.7%	11.8%	13.6%	13.1%	13.6%
Put IV 25d	13.8%	13.1%	14.5%	13.3%	14.2%
Bid-Ask Spread %	86.00	52.69	110.13	87.30	110.13
Gamma HHI	0.54	0.39	0.68	0.41	0.59
Net GEX	37.8K	-706	67.7K	1.8K	65.8K
Net DEX	-196.8K	-407.5K	9.0K	-172	-389.1K
Net VEX	-473	-654	-133	-167	-554
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.05	0.22	0.22	0.10
Total Volume	52.158	22	82	22	45
Total OI	80.053	28	114	28	114

Daily Data (19 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
2017-02-01	$65.42	$0.00	13.5%	3.9%	10.8%	2.0%	0.0%	0.2%	0.2%	1.8K	-172	-167	0.22	87.30	18	4	21	7
2017-02-02	$65.02	$65.00	13.2%	3.8%	11.0%	1.7%	14.1%	0.7%	-4.1%	856	6.6K	-148	0.22	64.07	18	4	21	7
2017-02-03	$64.73	$65.00	13.2%	3.8%	10.2%	1.7%	14.1%	0.8%	-4.0%	556	9.0K	-143	0.22	69.34	18	4	21	7
2017-02-06	$65.15	$65.00	14.3%	4.0%	10.1%	2.7%	12.8%	0.6%	-3.2%	685	3.4K	-156	0.22	74.84	18	4	21	7
2017-02-07	$65.38	$65.00	13.9%	3.8%	10.1%	2.3%	13.1%	1.5%	-3.4%	-706	3.5K	-133	0.05	90.69	78	4	21	7
2017-02-08	$66.03	$65.00	13.1%	3.8%	10.8%	1.7%	13.6%	2.1%	-2.7%	38.2K	-232.4K	-634	0.06	52.69	71	4	81	7
2017-02-09	$65.89	$65.00	12.9%	3.7%	10.4%	1.4%	12.5%	0.7%	-1.1%	39.2K	-210.1K	-654	0.06	71.23	71	4	84	7
2017-02-10	$66.24	$65.00	13.2%	3.8%	10.6%	2.8%	13.5%	1.4%	-9.2%	40.1K	-247.5K	-654	0.06	85.76	71	4	84	7
2017-02-13	$66.13	$65.00	13.2%	3.8%	10.5%	2.7%	12.9%	0.5%	-2.7%	41.3K	-231.1K	-613	0.06	80.60	71	4	84	7
2017-02-14	$65.78	$65.00	13.1%	3.8%	10.5%	2.6%	13.2%	0.5%	-2.2%	40.9K	-187.1K	-573	0.06	97.11	71	4	84	7
2017-02-15	$65.91	$65.00	12.7%	3.6%	9.7%	2.0%	12.2%	1.4%	-1.6%	44.5K	-212.8K	-562	0.06	87.64	71	4	84	7
2017-02-16	$65.69	$65.00	11.8%	3.4%	9.7%	0.8%	11.9%	1.1%	-3.0%	45.6K	-193.7K	-551	0.06	91.11	71	4	84	7
2017-02-17	$65.92	$65.00	12.0%	3.4%	9.7%	1.0%	13.2%	2.0%	-1.7%	46.8K	-225.9K	-538	0.11	92.78	36	4	84	7
2017-02-21	$65.92	$65.00	12.5%	3.6%	8.5%	1.7%	14.1%	1.7%	-1.2%	55.6K	-252.5K	-557	0.12	98.26	34	4	93	7
2017-02-22	$66.02	$65.00	12.7%	3.6%	8.0%	2.0%	13.6%	1.5%	-0.5%	62.8K	-282.2K	-604	0.12	100.03	34	4	100	7
2017-02-23	$66.38	$65.00	12.8%	3.7%	7.5%	2.2%	12.9%	1.1%	-1.0%	63.1K	-316.4K	-558	0.10	87.07	41	4	100	7
2017-02-24	$67.00	$65.00	12.6%	3.6%	8.0%	1.9%	11.1%	1.0%	-0.4%	63.7K	-407.5K	-609	0.10	93.14	41	4	107	7
2017-02-27	$66.61	$65.00	11.2%	3.2%	8.2%	0.0%	12.2%	1.1%	-1.4%	67.7K	-372.6K	-576	0.10	100.22	41	4	107	7
2017-02-28	$66.85	$65.00	13.9%	4.0%	8.1%	19.0%	12.0%	0.6%	-0.9%	65.8K	-389.1K	-554	0.10	110.13	41	4	107	7