LTPZ Options History — March 2017

In March 2017, LTPZ traded between $63.90 and $66.75. ATM implied volatility averaged 12.1%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.6% (HV 20d: 11.4%). Max pain ranged from $65.00 to $67.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.04.

Notable Days

  • 2017-03-17: Highest Volume — 178 contracts
  • 2017-03-13: Largest IV spike — 27.3% change
  • 2017-03-13: Highest IV Rank — 59.5%
  • 2017-03-01: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.34$63.90$66.75$65.77$66.32
Max Pain$65.43$65.00$67.00$65.00$65.00
ATM IV12.1%8.6%16.3%13.6%10.9%
Expected Move3.3%2.5%3.9%3.9%3.1%
HV 20d11.4%10.0%12.8%10.1%12.3%
HV 60d11.0%10.4%11.6%11.5%11.0%
IV Rank14.4%0.0%59.5%16.8%20.0%
IV Percentile23.2%0.0%86.1%44.0%2.0%
Term Structure-0.5%-2.2%1.5%-1.0%1.5%
VWIV11.7%10.2%14.8%14.8%10.6%
Skew 25d0.5%-0.5%1.0%-0.5%0.7%
Skew 10d-0.3%-5.4%5.2%-3.9%0.5%
Call IV 25d11.7%10.4%13.5%13.5%11.0%
Put IV 25d12.2%10.4%13.4%13.0%11.6%
Bid-Ask Spread %70.6636.91121.63119.1789.17
Gamma HHI0.560.360.650.610.58
Net GEX62.0K-19.4K99.9K71.5K84.7K
Net DEX-194.4K-375.1K8.4K-262.4K-325.2K
Net VEX-433-649-106-559-532
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.100.100.00
Total Volume74451784593
Total OI105.3488812311488

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$65.77$65.0013.6%3.9%10.1%16.8%14.8%-0.5%-1.0%71.5K-262.4K-5590.10119.174141077
2017-03-02$65.29$65.0013.4%3.8%10.2%15.2%13.3%0.3%-1.2%71.1K-213.7K-5150.10121.634141077
2017-03-03$65.63$65.0013.4%3.8%10.1%15.2%14.8%0.5%-1.4%75.6K-239.6K-5070.10117.924141077
2017-03-06$65.17$67.0013.7%3.5%10.3%17.5%12.2%0.8%-1.8%74.3K-184.3K-4310.0936.914641077
2017-03-07$64.98$66.0013.7%3.4%10.1%17.2%12.2%0.5%0.4%74.5K-165.8K-4520.0943.954641127
2017-03-08$64.25$66.0014.0%3.5%10.7%19.5%12.1%0.5%-2.2%52.0K-77.7K-2920.0763.674631127
2017-03-09$63.90$66.0014.2%3.4%10.1%20.6%12.3%0.7%-1.3%37.7K-26.2K-2380.0755.424631129
2017-03-10$64.21$66.0012.8%3.4%10.3%18.9%11.8%1.0%-1.4%39.9K-23.8K-2200.0759.544631129
2017-03-13$63.98$66.0016.3%3.6%10.0%59.5%12.1%0.8%-1.8%32.1K-7.0K-1380.0761.744631129
2017-03-14$63.96$66.0016.1%3.6%10.1%56.8%12.0%0.9%-1.5%24.3K8.4K-1060.0760.494631129
2017-03-15$65.20$66.0012.1%3.5%12.4%10.2%11.6%1.0%-1.2%99.9K-119.5K-2250.0768.144631129
2017-03-16$64.96$66.0011.5%3.3%12.4%3.3%11.3%0.9%0.1%64.5K-63.8K-1620.0548.406231129
2017-03-17$65.09$65.0011.1%3.2%12.4%0.0%11.0%0.4%0.2%-19.4K-79.0K-2510.0255.2517531149
2017-03-20$65.17$65.0011.0%3.1%12.3%0.0%11.1%0.7%-0.0%65.5K-218.5K-6490.0056.88930880
2017-03-21$65.50$65.0011.2%3.2%12.5%2.9%10.7%0.3%-0.4%64.4K-241.0K-6070.0059.64930880
2017-03-22$65.86$65.0011.3%3.2%12.6%3.3%10.9%0.8%0.8%68.6K-281.9K-6400.0069.53930880
2017-03-23$65.72$65.009.2%2.6%12.5%0.0%11.2%0.2%0.1%66.6K-280.4K-6210.0065.77930880
2017-03-24$66.32$65.0011.0%3.1%12.5%16.7%10.2%0.8%0.7%70.8K-332.6K-6230.0078.50930880
2017-03-27$66.75$65.009.0%2.6%12.5%0.0%10.3%-0.1%0.5%72.9K-375.1K-5490.0073.07930880
2017-03-28$66.16$65.0010.7%3.1%12.8%15.3%10.6%-0.1%-0.4%79.8K-318.9K-5680.0074.01930880
2017-03-29$66.67$65.009.2%2.6%11.7%1.3%10.9%-0.1%0.5%74.3K-352.4K-5280.0074.59930880
2017-03-30$65.89$65.008.6%2.5%12.2%0.0%10.2%0.9%0.2%81.3K-289.7K-5460.0071.92930880
2017-03-31$66.32$65.0010.9%3.1%12.3%20.0%10.6%0.7%1.5%84.7K-325.2K-5320.0089.17930880