LTPZ Options History — April 2017 In April 2017, LTPZ traded between $66.04 and $67.54. ATM implied volatility averaged 12.9%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.3% (HV 20d: 10.6%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2017-04-12 : Highest Volume — 164 contracts2017-04-12 : Largest IV spike — 22.1% change2017-04-21 : Highest IV Rank — 60.1%2017-04-21 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $66.72 $66.04 $67.54 $66.70 $66.94 Max Pain $65.00 $65.00 $65.00 $65.00 $65.00 ATM IV 12.9% 11.3% 15.3% 12.2% 12.4% Expected Move 3.8% 3.3% 4.4% 3.5% 3.5% HV 20d 10.6% 8.5% 12.2% 12.1% 8.5% HV 60d 10.6% 10.2% 10.8% 10.8% 10.2% IV Rank 38.0% 24.3% 60.1% 32.0% 33.5% IV Percentile 30.4% 5.6% 78.2% 9.9% 14.3% Term Structure -0.1% -1.2% 1.4% 1.1% -0.2% VWIV 10.4% 7.6% 12.2% 12.2% 7.6% Skew 25d -0.7% -1.7% 0.1% -0.2% -1.7% Skew 10d -1.7% -4.3% 1.0% 1.0% -2.1% Call IV 25d 13.5% 11.8% 15.9% 12.0% 12.9% Put IV 25d 12.8% 11.2% 14.3% 11.8% 11.3% Bid-Ask Spread % 70.47 48.82 89.91 89.06 89.16 Gamma HHI 0.72 0.48 0.95 0.58 0.93 Net GEX 72.1K 37.3K 119.6K 76.8K 48.8K Net DEX -386.8K -605.3K -176.2K -369.5K -236.1K Net VEX -637 -974 -258 -478 -766 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 116 81 164 93 81 Total OI 99.316 81 131 88 81
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 2017-04-03 $66.70 $65.00 12.2% 3.5% 12.1% 32.0% 12.2% -0.2% 1.1% 76.8K -369.5K -478 0.00 89.06 93 0 88 0 2017-04-04 $66.34 $65.00 11.8% 3.4% 12.2% 27.9% 11.4% -0.1% 0.9% 81.7K -342.4K -473 0.00 86.27 93 0 88 0 2017-04-05 $66.85 $65.00 11.6% 3.3% 11.5% 26.7% 7.6% -0.8% 1.4% 119.6K -429.5K -309 0.00 89.91 93 0 88 0 2017-04-06 $66.75 $0.00 11.5% 3.7% 11.3% 25.5% 0.0% -0.8% 0.7% 84.7K -396.2K -408 0.00 51.43 93 0 88 0 2017-04-07 $66.31 $0.00 11.3% 3.8% 11.6% 24.3% 0.0% -0.7% -0.3% 95.3K -337.9K -424 0.00 48.82 93 0 88 0 2017-04-10 $66.31 $0.00 11.9% 3.8% 11.5% 29.3% 0.0% -1.1% -0.4% 97.8K -344.2K -380 0.00 58.33 93 0 88 0 2017-04-11 $66.66 $0.00 11.8% 4.0% 11.5% 28.0% 0.0% -0.6% -0.4% 88.4K -405.0K -339 0.00 53.55 93 0 88 0 2017-04-12 $67.07 $0.00 14.4% 4.1% 9.7% 51.3% 0.0% -0.2% -0.3% 80.9K -459.3K -258 0.00 57.10 164 0 88 0 2017-04-13 $67.43 $0.00 13.9% 4.0% 9.6% 46.9% 0.0% -0.1% -0.4% 70.0K -521.6K -974 0.00 61.81 164 0 123 0 2017-04-17 $67.16 $0.00 14.0% 4.0% 9.9% 47.7% 0.0% -1.0% -0.7% 76.1K -557.6K -922 0.00 69.94 164 0 131 0 2017-04-18 $67.54 $0.00 14.6% 4.2% 10.0% 53.8% 0.0% -0.8% -0.9% 56.9K -605.3K -872 0.00 74.12 164 0 131 0 2017-04-19 $66.93 $0.00 13.8% 4.0% 10.6% 46.2% 0.0% -0.3% -0.4% 85.1K -541.3K -874 0.00 71.20 164 0 131 0 2017-04-20 $66.65 $0.00 14.5% 4.1% 10.6% 52.2% 0.0% -0.7% -0.8% 97.7K -502.0K -846 0.00 64.95 164 0 131 0 2017-04-21 $66.51 $0.00 15.3% 4.4% 10.6% 60.1% 0.0% -1.6% -1.2% 37.3K -507.0K -806 0.00 55.60 164 0 131 0 2017-04-24 $66.42 $0.00 12.7% 3.6% 10.1% 36.6% 0.0% -1.4% 0.2% 41.6K -206.0K -757 0.00 74.49 81 0 81 0 2017-04-25 $66.04 $0.00 12.3% 3.5% 10.0% 33.3% 0.0% 0.1% -0.4% 43.1K -176.2K -719 0.00 67.56 81 0 81 0 2017-04-26 $66.40 $0.00 12.3% 3.5% 9.7% 32.9% 0.0% 0.1% -0.2% 43.3K -199.5K -739 0.00 87.55 81 0 81 0 2017-04-27 $66.59 $0.00 12.4% 3.6% 9.4% 34.2% 0.0% -1.3% -0.6% 44.9K -212.7K -757 0.00 88.02 81 0 81 0 2017-04-28 $66.94 $0.00 12.4% 3.5% 8.5% 33.5% 0.0% -1.7% -0.2% 48.8K -236.1K -766 0.00 89.16 81 0 81 0
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