LTPZ Options History — May 2017

In May 2017, LTPZ traded between $64.49 and $66.62. ATM implied volatility averaged 11.3%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.2% (HV 20d: 10.1%). Max pain ranged from $65.00 to $66.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.08.

Notable Days

2017-05-04: Highest Volume — 94 contracts
2017-05-30: Largest IV spike — 10.7% change
2017-05-03: Highest IV Rank — 39.4%
2017-05-03: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.61	$64.49	$66.62	$65.94	$66.62
Max Pain	$65.05	$65.00	$66.00	$66.00	$65.00
ATM IV	11.3%	10.5%	13.0%	12.2%	11.6%
Expected Move	3.3%	3.0%	3.7%	3.5%	3.3%
HV 20d	10.1%	9.3%	11.4%	9.9%	9.7%
HV 60d	10.8%	10.4%	11.3%	10.6%	10.4%
IV Rank	24.3%	16.4%	39.4%	31.6%	26.3%
IV Percentile	7.4%	1.6%	31.3%	10.3%	12.3%
Term Structure	0.3%	-0.6%	1.5%	0.1%	-0.6%
VWIV	11.3%	10.4%	12.9%	12.9%	11.2%
Skew 25d	-0.7%	-2.0%	-0.1%	-0.3%	-0.6%
Skew 10d	-1.3%	-6.5%	3.0%	-1.5%	2.0%
Call IV 25d	11.6%	10.6%	12.8%	12.4%	11.7%
Put IV 25d	10.9%	9.8%	12.4%	12.1%	11.1%
Bid-Ask Spread %	95.21	73.10	135.96	73.10	135.96
Gamma HHI	0.72	0.52	0.95	0.94	0.81
Net GEX	49.4K	30.8K	79.2K	42.6K	79.2K
Net DEX	-130.9K	-211.6K	-51.8K	-177.8K	-201.4K
Net VEX	-491	-670	-316	-670	-455
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.12	0.00	0.12
Total Volume	50.909	28	94	81	28
Total OI	86.182	81	94	81	84

Daily Data (22 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
2017-05-01	$65.94	$0.00	12.2%	3.5%	9.9%	31.6%	0.0%	-0.3%	0.1%	42.6K	-177.8K	-670	0.00	73.10	81	0	81	0
2017-05-02	$66.03	$0.00	12.3%	3.5%	9.7%	32.5%	0.0%	-0.4%	-0.2%	44.1K	-175.5K	-654	0.00	74.59	81	0	81	0
2017-05-03	$65.78	$0.00	13.0%	3.7%	9.6%	39.4%	12.9%	-2.0%	-0.4%	42.7K	-156.8K	-613	0.00	109.48	91	0	81	0
2017-05-04	$65.20	$66.00	12.0%	3.4%	9.5%	30.1%	12.2%	-0.5%	0.3%	45.2K	-143.7K	-597	0.03	91.31	91	3	91	0
2017-05-05	$65.08	$65.00	11.5%	3.4%	9.5%	25.5%	12.0%	-0.3%	0.5%	42.9K	-124.4K	-617	0.03	92.82	91	3	91	3
2017-05-08	$64.60	$65.00	11.0%	3.3%	9.6%	21.6%	12.1%	-0.1%	0.9%	35.6K	-81.2K	-452	0.03	77.77	91	3	91	3
2017-05-09	$64.58	$65.00	12.1%	3.4%	9.6%	30.8%	12.2%	-0.1%	0.3%	34.9K	-80.3K	-444	0.03	96.17	91	3	91	3
2017-05-10	$64.49	$65.00	10.8%	3.1%	9.3%	19.3%	10.8%	-0.1%	0.8%	32.3K	-60.6K	-401	0.03	91.92	91	3	91	3
2017-05-11	$65.13	$65.00	10.6%	3.0%	9.8%	17.8%	10.8%	-0.9%	1.5%	43.5K	-85.3K	-452	0.12	110.48	25	3	91	3
2017-05-12	$65.22	$65.00	11.2%	3.2%	9.5%	22.7%	11.2%	-0.7%	0.6%	42.3K	-95.8K	-452	0.12	87.94	25	3	81	3
2017-05-15	$64.80	$65.00	11.3%	3.2%	9.6%	23.9%	10.8%	-0.2%	0.6%	30.8K	-51.8K	-316	0.12	100.01	25	3	81	3
2017-05-16	$64.86	$65.00	10.9%	3.1%	9.3%	20.7%	10.8%	-0.3%	0.9%	34.1K	-57.6K	-327	0.12	109.24	25	3	81	3
2017-05-17	$65.89	$65.00	12.0%	3.4%	10.8%	30.0%	11.8%	-1.0%	0.5%	58.0K	-150.9K	-512	0.12	78.55	25	3	81	3
2017-05-18	$66.04	$65.00	11.2%	3.2%	10.8%	23.3%	11.0%	-1.1%	0.8%	68.3K	-152.8K	-491	0.12	85.12	25	3	81	3
2017-05-19	$66.59	$65.00	10.9%	3.1%	11.2%	20.5%	10.6%	-0.8%	1.3%	59.0K	-211.6K	-515	0.10	83.12	30	3	81	3
2017-05-22	$66.17	$65.00	11.0%	3.1%	11.4%	21.0%	10.8%	-1.6%	-0.3%	56.8K	-171.4K	-536	0.12	95.05	25	3	81	3
2017-05-23	$66.00	$65.00	10.8%	3.1%	11.3%	19.9%	10.9%	-0.2%	0.4%	56.0K	-144.0K	-495	0.12	97.10	25	3	81	3
2017-05-24	$65.87	$65.00	10.6%	3.0%	11.1%	17.6%	10.8%	-0.9%	0.0%	53.7K	-124.3K	-455	0.12	97.81	25	3	81	3
2017-05-25	$65.90	$65.00	10.6%	3.0%	11.0%	17.6%	10.6%	-0.5%	-0.2%	53.6K	-121.6K	-440	0.12	112.93	25	3	81	3
2017-05-26	$66.09	$65.00	10.5%	3.0%	10.9%	16.4%	10.4%	-0.9%	-0.0%	61.2K	-134.8K	-458	0.12	91.48	25	3	81	3
2017-05-30	$66.51	$65.00	11.6%	3.3%	9.7%	26.4%	11.4%	-1.1%	-0.5%	70.3K	-176.5K	-453	0.12	102.75	25	3	81	3
2017-05-31	$66.62	$65.00	11.6%	3.3%	9.7%	26.3%	11.2%	-0.6%	-0.6%	79.2K	-201.4K	-455	0.12	135.96	25	3	81	3