LTPZ Options History — June 2017

In June 2017, LTPZ traded between $65.66 and $67.57. ATM implied volatility averaged 10.7%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.1% (HV 20d: 8.6%). Max pain ranged from $65.00 to $67.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.36.

Notable Days

2017-06-23: Highest Volume — 263 contracts
2017-06-14: Largest IV drop — 22.5% change
2017-06-13: Highest IV Rank — 43.2%
2017-06-02: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.42	$65.66	$67.57	$66.51	$65.66
Max Pain	$66.71	$65.00	$67.00	$65.00	$67.00
ATM IV	10.7%	9.2%	13.5%	11.1%	10.0%
Expected Move	3.0%	2.6%	3.4%	3.2%	2.9%
HV 20d	8.6%	7.3%	9.6%	9.6%	9.2%
HV 60d	9.7%	9.1%	10.4%	10.4%	9.3%
IV Rank	18.6%	5.4%	43.2%	22.5%	11.9%
IV Percentile	8.0%	1.6%	46.4%	7.5%	4.0%
Term Structure	0.4%	-0.5%	0.9%	-0.5%	0.6%
VWIV	10.1%	9.4%	11.4%	11.1%	10.7%
Skew 25d	-0.2%	-0.9%	0.7%	-0.3%	0.3%
Skew 10d	0.2%	-2.2%	3.3%	0.5%	2.6%
Call IV 25d	10.5%	9.0%	11.7%	11.3%	10.4%
Put IV 25d	10.3%	9.3%	11.4%	11.0%	10.7%
Bid-Ask Spread %	75.18	45.76	133.12	133.12	83.62
Gamma HHI	0.73	0.42	1.00	0.82	0.72
Net GEX	66.3K	-962	152.2K	80.6K	84.0K
Net DEX	-155.8K	-600.8K	630	-198.3K	-186.6K
Net VEX	-617	-2.3K	-92	-443	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	2.00	0.12	0.08
Total Volume	92.227	10	263	28	263
Total OI	102.409	10	241	84	241

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
2017-06-01	$66.51	$65.00	11.1%	3.2%	9.6%	22.5%	11.1%	-0.3%	-0.5%	80.6K	-198.3K	-443	0.12	133.12	25	3	81	3
2017-06-02	$66.98	$65.00	11.8%	3.4%	9.2%	28.0%	11.4%	-0.3%	-0.5%	82.9K	-281.1K	-446	0.12	123.41	25	3	81	3
2017-06-05	$66.60	$0.00	11.9%	3.1%	9.5%	29.6%	0.0%	-0.1%	0.5%	88.8K	-217.2K	-397	0.12	46.47	25	3	81	3
2017-06-06	$66.82	$0.00	12.0%	3.2%	9.0%	30.5%	0.0%	-0.0%	0.3%	95.1K	-241.4K	-383	0.12	51.73	25	3	81	3
2017-06-07	$66.48	$0.00	11.9%	3.1%	9.3%	29.5%	0.0%	-0.5%	0.3%	79.5K	-163.3K	-305	0.12	48.04	25	3	71	3
2017-06-08	$66.12	$0.00	11.2%	3.1%	9.5%	22.7%	0.0%	-0.9%	0.5%	77.2K	-118.4K	-265	0.12	45.76	25	3	71	3
2017-06-09	$66.08	$0.00	10.5%	2.9%	9.0%	17.1%	0.0%	-0.4%	0.6%	74.0K	-92.7K	-221	0.12	53.99	25	3	71	3
2017-06-12	$65.80	$0.00	12.0%	2.9%	9.2%	30.3%	0.0%	-0.1%	0.9%	50.2K	-51.4K	-141	0.12	55.57	25	3	71	3
2017-06-13	$66.05	$0.00	13.5%	3.0%	8.9%	43.2%	0.0%	-0.7%	0.3%	67.4K	-68.3K	-141	0.12	48.33	25	3	71	3
2017-06-14	$66.37	$0.00	10.4%	3.0%	9.0%	16.1%	10.6%	-0.6%	0.6%	106.7K	-89.3K	-142	0.10	58.29	30	3	71	3
2017-06-15	$65.74	$67.00	10.3%	3.0%	7.9%	15.3%	10.1%	-0.1%	0.7%	42.8K	-44.2K	-123	0.10	58.20	30	3	76	3
2017-06-16	$65.79	$67.00	10.3%	3.0%	7.9%	15.1%	10.4%	-0.6%	0.5%	19.2K	-27.9K	-96	0.10	60.71	30	3	76	3
2017-06-19	$65.94	$67.00	10.5%	3.0%	7.3%	16.8%	10.4%	-0.2%	0.1%	6.0K	-20.8K	-92	0.00	52.70	10	0	10	0
2017-06-20	$66.41	$67.00	10.3%	2.9%	7.4%	14.5%	10.2%	-0.3%	0.1%	6.7K	-25.2K	-98	2.00	78.32	10	20	10	0
2017-06-21	$66.81	$67.00	10.0%	2.9%	7.6%	11.8%	9.9%	-0.4%	0.7%	-962	630	-288	2.00	59.58	10	20	10	20
2017-06-22	$66.88	$67.00	9.7%	2.8%	7.6%	9.9%	9.6%	0.3%	0.8%	398	-9.3K	-269	2.00	114.46	10	20	10	20
2017-06-23	$67.23	$67.00	9.4%	2.7%	7.7%	6.5%	9.4%	-0.2%	0.4%	824	-10.3K	-264	0.08	95.91	243	20	10	20
2017-06-26	$67.57	$67.00	9.2%	2.6%	7.8%	5.4%	9.4%	0.2%	0.8%	152.2K	-600.8K	-2.3K	0.08	103.39	243	20	221	20
2017-06-27	$66.79	$67.00	9.6%	2.7%	8.8%	8.5%	9.4%	-0.5%	0.5%	126.1K	-384.1K	-2.0K	0.08	82.96	243	20	221	20
2017-06-28	$66.64	$67.00	9.8%	2.8%	8.8%	10.5%	9.8%	0.3%	0.4%	120.5K	-359.3K	-2.0K	0.08	95.84	243	20	221	20
2017-06-29	$65.99	$67.00	10.2%	2.9%	9.5%	13.6%	9.7%	0.7%	0.5%	98.1K	-238.9K	-1.7K	0.08	103.60	243	20	221	20
2017-06-30	$65.66	$67.00	10.0%	2.9%	9.2%	11.9%	10.7%	0.3%	0.6%	84.0K	-186.6K	-1.5K	0.08	83.62	243	20	221	20