LTPZ Options History — September 2017

In September 2017, LTPZ traded between $66.41 and $68.39. ATM implied volatility averaged 9.8%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.2% (HV 20d: 10.0%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.64.

Notable Days

2017-09-14: Highest Volume — 59 contracts
2017-09-13: Largest IV drop — 22.7% change
2017-09-12: Highest IV Rank — 35.7%
2017-09-07: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.36	$66.41	$68.39	$66.86	$66.41
Max Pain	$67.83	$65.00	$68.00	$65.00	$68.00
ATM IV	9.8%	8.9%	12.6%	9.5%	10.0%
Expected Move	2.8%	2.6%	3.0%	2.7%	2.9%
HV 20d	10.0%	8.0%	10.7%	8.0%	10.4%
HV 60d	9.5%	8.9%	9.9%	8.9%	9.2%
IV Rank	10.3%	2.1%	35.7%	7.6%	12.4%
IV Percentile	13.4%	0.8%	48.8%	7.5%	22.6%
Term Structure	0.5%	0.1%	1.2%	1.2%	0.1%
VWIV	9.2%	6.3%	10.4%	8.0%	6.3%
Skew 25d	-0.4%	-1.1%	0.2%	-1.0%	-0.5%
Skew 10d	-1.4%	-4.0%	0.9%	-0.9%	-1.2%
Call IV 25d	9.9%	9.4%	10.8%	9.7%	10.0%
Put IV 25d	9.4%	8.7%	10.1%	8.7%	9.5%
Bid-Ask Spread %	87.26	68.22	132.40	132.40	83.41
Gamma HHI	0.77	0.74	0.84	0.78	0.74
Net GEX	122.3K	107.5K	156.5K	136.3K	112.0K
Net DEX	-787.4K	-1.1M	-509.1K	-763.2K	-509.1K
Net VEX	-2.9K	-3.4K	-2.5K	-3.4K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	0.60	3.00	2.46	0.60
Total Volume	38	24	59	45	24
Total OI	253.6	224	286	282	224

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
2017-09-01	$66.86	$65.00	9.5%	2.7%	8.0%	7.6%	8.0%	-1.0%	1.2%	136.3K	-763.2K	-3.4K	2.46	132.40	13	32	250	32
2017-09-05	$67.95	$0.00	10.8%	2.9%	9.5%	19.6%	0.0%	0.2%	0.6%	131.6K	-993.3K	-3.2K	2.46	90.00	13	32	247	32
2017-09-06	$67.53	$0.00	9.9%	3.0%	9.8%	11.5%	10.3%	-0.3%	0.5%	138.6K	-920.4K	-3.2K	3.00	82.65	13	39	247	32
2017-09-07	$68.39	$68.00	10.0%	3.0%	10.4%	11.8%	10.4%	-0.7%	0.7%	120.4K	-1.1M	-3.1K	3.00	68.22	13	39	247	39
2017-09-08	$68.34	$68.00	8.9%	2.9%	10.3%	2.1%	10.2%	-0.7%	0.8%	116.1K	-1.1M	-3.2K	3.00	76.55	13	39	247	39
2017-09-11	$67.78	$68.00	10.7%	2.8%	10.7%	18.6%	9.9%	-0.1%	0.6%	134.8K	-964.0K	-3.1K	3.00	90.18	13	39	247	39
2017-09-12	$67.51	$68.00	12.6%	2.8%	10.2%	35.7%	9.7%	-0.2%	0.6%	145.2K	-886.5K	-3.2K	3.00	86.48	13	39	247	39
2017-09-13	$67.33	$68.00	9.8%	2.8%	10.0%	10.0%	9.5%	-0.5%	0.7%	156.5K	-837.1K	-3.1K	3.00	77.57	13	39	247	39
2017-09-14	$67.61	$68.00	10.0%	2.9%	10.0%	11.9%	9.8%	0.2%	0.4%	148.7K	-901.3K	-3.1K	1.95	81.91	20	39	247	39
2017-09-15	$67.70	$68.00	9.3%	2.7%	9.9%	5.7%	9.2%	-1.1%	1.0%	109.4K	-920.3K	-2.9K	1.95	83.14	20	39	237	39
2017-09-18	$67.59	$68.00	9.6%	2.7%	9.9%	8.3%	9.4%	-0.7%	0.1%	110.9K	-750.2K	-2.9K	0.60	96.38	15	9	215	9
2017-09-19	$67.26	$68.00	9.4%	2.7%	10.1%	7.0%	9.4%	-0.1%	0.4%	107.8K	-700.0K	-2.9K	0.60	78.35	15	9	215	9
2017-09-20	$67.11	$68.00	9.5%	2.7%	10.0%	7.5%	8.1%	-0.3%	0.3%	114.3K	-654.7K	-2.8K	0.60	86.87	15	9	215	9
2017-09-21	$66.88	$68.00	9.1%	2.6%	9.8%	3.9%	8.0%	-0.5%	0.5%	107.5K	-615.8K	-2.8K	0.60	71.51	15	9	215	9
2017-09-22	$67.22	$68.00	9.1%	2.6%	9.8%	4.4%	9.2%	-0.4%	0.7%	114.2K	-672.1K	-2.8K	0.60	79.16	15	9	215	9
2017-09-25	$67.54	$68.00	9.8%	2.8%	9.9%	10.7%	9.8%	-0.3%	0.1%	109.3K	-753.4K	-2.8K	0.60	88.72	15	9	215	9
2017-09-26	$67.24	$68.00	9.2%	2.7%	10.1%	5.5%	9.3%	-0.7%	0.6%	111.7K	-699.8K	-2.7K	0.60	95.10	15	9	215	9
2017-09-27	$66.59	$68.00	9.5%	2.7%	10.7%	7.5%	8.7%	-0.4%	0.2%	111.4K	-549.9K	-2.6K	0.60	98.88	15	9	215	9
2017-09-28	$66.45	$68.00	9.2%	2.6%	10.7%	5.1%	9.0%	-0.7%	0.8%	109.6K	-528.7K	-2.6K	0.60	97.74	15	9	215	9
2017-09-29	$66.41	$68.00	10.0%	2.9%	10.4%	12.4%	6.3%	-0.5%	0.1%	112.0K	-509.1K	-2.5K	0.60	83.41	15	9	215	9