LTPZ Options History — August 2017

In August 2017, LTPZ traded between $65.65 and $67.31. ATM implied volatility averaged 9.6%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.0% (HV 20d: 8.6%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.43.

Notable Days

  • 2017-08-17: Highest Volume — 443 contracts
  • 2017-08-16: Largest IV drop — 10.3% change
  • 2017-08-01: Highest IV Rank — 17.6%
  • 2017-08-01: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.40$65.65$67.31$65.65$67.31
Max Pain$65.26$65.00$68.00$68.00$65.00
ATM IV9.6%8.8%10.6%10.6%8.8%
Expected Move2.7%2.5%3.0%3.0%2.5%
HV 20d8.6%7.6%9.9%9.9%7.7%
HV 60d9.1%8.9%9.5%9.5%8.9%
IV Rank8.6%1.4%17.6%17.6%1.4%
IV Percentile5.9%0.4%14.7%14.7%0.4%
Term Structure0.8%-0.6%1.5%-0.6%1.4%
VWIV9.1%7.6%10.1%7.6%8.7%
Skew 25d-0.2%-1.1%0.9%0.3%0.0%
Skew 10d-0.2%-4.8%3.1%1.3%1.5%
Call IV 25d9.7%8.9%10.6%10.4%8.9%
Put IV 25d9.5%8.4%10.7%10.7%8.9%
Bid-Ask Spread %93.5373.44125.13102.58125.13
Gamma HHI0.540.220.840.420.84
Net GEX92.8K6.0K198.3K69.8K153.3K
Net DEX-377.5K-836.5K-51.8K-111.0K-836.5K
Net VEX-2.0K-3.6K-635-1.1K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.081.550.570.15
Total Volume174.9575144385243
Total OI287.435276482276282

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$65.65$68.0010.6%3.0%9.9%17.6%7.6%0.3%-0.6%69.8K-111.0K-1.1K0.57102.58543124531
2017-08-02$65.65$68.009.9%2.8%9.8%11.2%7.6%0.5%0.1%66.0K-101.4K-1.0K0.5798.23543124531
2017-08-03$65.98$65.009.8%2.9%9.6%10.6%9.7%-0.2%0.3%98.3K-169.4K-1.1K0.5773.44543124531
2017-08-04$65.73$65.009.6%2.8%8.8%8.2%9.7%-0.2%0.6%54.0K-81.5K-9030.5780.77543124531
2017-08-07$66.12$65.0010.1%2.8%8.9%13.4%9.8%-0.0%0.6%74.6K-117.9K-9170.5776.57543124531
2017-08-08$65.97$65.0010.0%2.7%8.9%12.5%9.7%0.2%0.8%67.7K-104.8K-8640.5786.58543124531
2017-08-09$66.49$65.009.8%2.8%8.7%10.1%10.0%-0.3%0.8%76.7K-126.4K-8180.5779.18543124531
2017-08-10$66.90$65.009.9%2.8%8.6%11.6%10.1%-1.0%0.9%198.3K-289.3K-1.1K0.5784.01543124531
2017-08-11$66.76$65.009.6%2.7%8.7%8.6%9.7%-1.1%0.8%160.1K-232.0K-8550.5795.40543124531
2017-08-14$66.12$65.009.7%2.8%9.5%9.7%9.7%-0.1%1.1%17.2K-73.2K-6590.8498.05373124531
2017-08-15$65.80$65.0010.1%2.9%8.9%13.3%9.4%0.1%0.7%6.0K-51.8K-6510.8478.81373124531
2017-08-16$66.13$65.009.1%2.6%9.1%4.1%9.7%0.9%1.5%14.3K-73.9K-6351.5595.85203124531
2017-08-17$66.46$65.009.5%2.7%9.2%8.1%9.8%-0.7%0.9%17.4K-114.0K-6900.0891.294123125031
2017-08-18$66.44$65.009.6%2.7%9.0%8.2%8.3%-0.1%1.2%104.4K-642.5K-3.6K0.0884.774123145131
2017-08-21$66.63$65.009.5%2.7%8.8%8.1%8.5%-0.1%0.7%110.2K-673.7K-3.5K0.1576.812113125031
2017-08-22$66.34$65.009.8%2.8%7.8%10.9%8.3%0.7%0.2%106.0K-626.7K-3.5K0.1587.552113225031
2017-08-23$66.82$65.009.3%2.7%8.0%5.8%9.4%-0.4%0.9%116.7K-718.8K-3.5K0.1584.562113225032
2017-08-24$66.58$65.009.4%2.7%8.0%6.7%8.8%0.0%1.1%110.8K-665.7K-3.5K0.1587.872113225032
2017-08-25$66.73$65.008.9%2.6%7.6%2.7%9.2%-0.1%1.1%119.5K-704.7K-3.5K0.15103.472113225032
2017-08-28$66.79$65.009.2%2.6%7.6%5.3%8.3%-0.9%0.8%128.4K-704.1K-3.4K0.15119.292113225032
2017-08-29$66.85$65.009.2%2.6%7.6%5.4%8.1%-1.1%0.7%128.5K-728.9K-3.4K0.15117.812113225032
2017-08-30$66.88$65.009.0%2.6%7.6%3.7%9.0%-1.1%0.8%136.7K-734.1K-3.3K0.15123.162113225032
2017-08-31$67.31$65.008.8%2.5%7.7%1.4%8.7%0.0%1.4%153.3K-836.5K-3.4K0.15125.132113225032