LTPZ Options History — July 2017

In July 2017, LTPZ traded between $64.32 and $66.13. ATM implied volatility averaged 10.0%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.2% (HV 20d: 10.2%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.34.

Notable Days

2017-07-17: Highest Volume — 295 contracts
2017-07-19: Largest IV drop — 7.9% change
2017-07-03: Highest IV Rank — 22.5%
2017-07-03: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.30	$64.32	$66.13	$65.22	$65.48
Max Pain	$67.90	$67.00	$68.00	$67.00	$68.00
ATM IV	10.0%	9.1%	11.2%	11.2%	10.0%
Expected Move	2.9%	2.6%	3.2%	3.2%	2.9%
HV 20d	10.2%	9.2%	10.8%	9.2%	10.2%
HV 60d	9.6%	9.4%	10.0%	9.4%	9.5%
IV Rank	12.4%	4.0%	22.5%	22.5%	11.9%
IV Percentile	5.8%	0.8%	13.5%	13.5%	7.9%
Term Structure	-0.1%	-0.6%	0.4%	-0.1%	0.4%
VWIV	10.7%	7.3%	13.3%	11.2%	8.2%
Skew 25d	0.1%	-0.6%	0.8%	0.5%	-0.3%
Skew 10d	-0.3%	-2.5%	1.9%	1.3%	0.4%
Call IV 25d	10.0%	8.8%	11.1%	10.8%	10.9%
Put IV 25d	10.2%	9.2%	11.2%	11.2%	10.5%
Bid-Ask Spread %	90.97	57.21	116.56	101.20	97.93
Gamma HHI	0.53	0.29	0.72	0.70	0.33
Net GEX	61.1K	33.0K	103.7K	74.4K	44.4K
Net DEX	-95.8K	-207.8K	-17.8K	-148.5K	-58.3K
Net VEX	-1.1K	-1.6K	-757	-1.4K	-980
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.08	0.71	0.08	0.57
Total Volume	175.8	72	295	263	85
Total OI	259.9	241	280	241	276

Daily Data (20 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
2017-07-03	$65.22	$67.00	11.2%	3.2%	9.2%	22.5%	11.2%	0.5%	-0.1%	74.4K	-148.5K	-1.4K	0.08	101.20	243	20	221	20
2017-07-05	$65.53	$67.00	10.7%	3.1%	9.3%	18.7%	11.1%	-0.1%	0.2%	79.5K	-162.6K	-1.3K	0.08	96.94	243	20	221	20
2017-07-06	$65.09	$68.00	11.1%	3.1%	9.5%	22.4%	10.5%	0.4%	-0.4%	62.4K	-102.4K	-1.1K	0.08	57.21	243	20	221	20
2017-07-07	$64.42	$68.00	10.4%	3.0%	9.9%	15.7%	11.6%	-0.0%	-0.1%	38.2K	-29.5K	-811	0.08	80.37	243	20	221	20
2017-07-10	$64.32	$68.00	10.5%	3.0%	9.9%	16.9%	12.4%	0.2%	-0.1%	33.0K	-17.8K	-757	0.08	64.30	243	20	221	20
2017-07-11	$64.65	$68.00	10.5%	3.1%	10.1%	16.6%	11.8%	-0.3%	-0.0%	41.0K	-35.0K	-825	0.08	76.55	243	20	221	20
2017-07-12	$65.26	$68.00	9.9%	2.8%	10.6%	11.5%	10.9%	0.0%	-0.0%	61.8K	-85.6K	-1.0K	0.08	76.96	243	20	221	20
2017-07-13	$64.96	$68.00	10.3%	3.0%	10.5%	15.4%	11.3%	0.0%	-0.1%	48.5K	-52.3K	-806	0.08	83.41	243	20	221	20
2017-07-14	$65.03	$68.00	9.9%	2.8%	10.0%	11.4%	11.3%	0.2%	-0.4%	58.7K	-111.7K	-1.2K	0.08	85.92	265	20	243	20
2017-07-17	$65.31	$68.00	9.7%	2.8%	10.2%	9.4%	11.0%	0.8%	-0.3%	52.8K	-66.2K	-1.1K	0.11	100.21	265	30	243	30
2017-07-18	$65.98	$68.00	10.2%	2.9%	10.8%	13.7%	11.3%	-0.3%	-0.6%	96.3K	-186.3K	-1.5K	0.71	87.31	42	30	243	30
2017-07-19	$66.00	$68.00	9.4%	2.7%	10.5%	6.5%	9.8%	-0.1%	-0.2%	96.2K	-180.1K	-1.4K	0.71	102.75	42	30	233	30
2017-07-20	$65.76	$68.00	9.1%	2.6%	10.3%	4.0%	10.7%	0.4%	-0.0%	69.4K	-107.3K	-1.2K	0.51	116.56	59	30	233	30
2017-07-21	$66.13	$68.00	9.4%	2.7%	10.5%	6.6%	9.5%	0.1%	0.2%	103.7K	-207.8K	-1.6K	0.51	99.74	59	30	250	30
2017-07-24	$65.83	$68.00	9.3%	2.7%	10.4%	6.3%	10.7%	0.1%	0.1%	82.8K	-143.8K	-1.3K	0.57	92.59	54	31	245	30
2017-07-25	$65.06	$68.00	10.1%	2.9%	10.8%	12.8%	13.3%	0.5%	-0.2%	47.0K	-57.1K	-1.1K	0.57	85.26	54	31	245	31
2017-07-26	$65.37	$68.00	9.3%	2.7%	10.4%	5.9%	12.8%	0.7%	0.3%	43.6K	-54.5K	-1.0K	0.57	101.07	54	31	245	31
2017-07-27	$65.10	$68.00	9.5%	2.7%	10.4%	8.0%	7.8%	0.5%	0.1%	33.3K	-29.2K	-945	0.57	106.10	54	31	245	31
2017-07-28	$65.57	$68.00	9.9%	2.8%	10.3%	11.5%	7.3%	-0.6%	-0.5%	55.8K	-79.5K	-1.1K	0.57	107.06	54	31	245	31
2017-07-31	$65.48	$68.00	10.0%	2.9%	10.2%	11.9%	8.2%	-0.3%	0.4%	44.4K	-58.3K	-980	0.57	97.93	54	31	245	31