LTPZ Options History — November 2017

In November 2017, LTPZ traded between $66.74 and $68.39. ATM implied volatility averaged 9.5%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.1% (HV 20d: 8.4%). Max pain ranged from $66.00 to $67.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2017-11-30: Highest Volume — 44 contracts
  • 2017-11-07: Largest IV spike — 14.1% change
  • 2017-11-10: Highest IV Rank — 17.5%
  • 2017-11-10: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.58$66.74$68.39$66.82$67.52
Max Pain$66.05$66.00$67.00$67.00$66.00
ATM IV9.5%8.4%10.4%9.8%9.6%
Expected Move2.8%2.6%3.0%2.8%2.8%
HV 20d8.4%7.2%9.4%7.7%9.0%
HV 60d8.6%8.1%9.0%8.6%8.2%
IV Rank9.9%0.0%17.5%10.1%10.7%
IV Percentile17.3%0.0%36.5%18.3%19.4%
Term Structure0.3%-0.7%1.0%0.1%-0.7%
VWIV15.3%8.8%34.2%9.7%34.2%
Skew 25d-0.0%-1.4%1.9%0.1%1.9%
Skew 10d-0.5%-3.4%2.9%2.9%2.5%
Call IV 25d9.7%8.8%10.3%10.2%8.8%
Put IV 25d9.7%8.4%10.7%10.3%10.7%
Bid-Ask Spread %105.8976.43153.56102.17141.22
Gamma HHI0.830.800.870.800.81
Net GEX204.4K177.9K249.7K185.2K241.9K
Net DEX-911.3K-1.1M-671.0K-673.5K-814.7K
Net VEX-1.6K-2.0K-1.0K-2.0K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.081.830.081.00
Total Volume26.47614442744
Total OI224.048210230227230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$66.82$67.009.8%2.8%7.7%10.1%9.7%0.1%0.1%185.2K-673.5K-2.0K0.08102.172522252
2017-11-02$67.11$66.009.1%2.8%7.7%4.5%9.2%0.2%0.9%187.4K-773.5K-2.0K0.0899.792522252
2017-11-03$67.15$66.008.7%2.7%7.4%0.4%9.4%-0.1%1.0%195.1K-784.9K-2.0K0.0887.042522252
2017-11-06$67.46$66.008.4%2.8%7.5%0.0%9.7%-0.4%0.5%197.7K-867.8K-1.9K0.0879.182522252
2017-11-07$67.80$66.009.6%2.7%7.4%10.3%8.8%0.2%1.0%182.0K-990.8K-1.8K0.0876.432522252
2017-11-08$67.83$66.009.1%2.6%7.3%6.6%8.9%-0.2%1.0%191.3K-1.0M-1.7K0.08104.972522252
2017-11-09$67.67$66.009.4%2.7%7.2%9.0%8.8%-0.3%0.6%206.3K-944.3K-1.8K0.0898.812522252
2017-11-10$66.74$66.0010.4%3.0%8.7%17.5%10.3%0.1%-0.0%191.5K-671.0K-1.8K0.0888.522522252
2017-11-13$66.82$66.009.8%2.8%8.7%12.6%9.7%0.5%1.0%214.7K-706.4K-1.7K0.0892.262522252
2017-11-14$67.27$66.009.6%2.7%9.0%10.6%8.9%0.4%0.5%234.8K-822.6K-1.7K0.0895.752522252
2017-11-15$67.85$66.009.7%2.8%9.1%11.5%9.2%0.1%0.7%191.9K-1.0M-1.5K0.0898.482522252
2017-11-16$67.41$66.0010.1%2.9%9.4%15.2%9.5%0.5%0.1%214.6K-931.9K-1.6K0.08106.332522252
2017-11-17$67.95$66.009.8%2.8%9.1%12.8%9.1%-0.5%0.3%195.9K-1.1M-1.4K0.0878.012522252
2017-11-20$67.92$66.009.6%2.8%9.1%10.8%9.2%-0.4%0.1%215.2K-1.0M-1.3K0.13103.311522152
2017-11-21$68.04$66.009.9%2.8%8.8%13.6%26.7%-0.3%-0.3%206.4K-1.0M-1.3K0.1793.171222152
2017-11-22$68.39$66.009.4%2.7%8.7%9.2%21.8%-0.7%0.1%177.9K-1.1M-1.0K0.17115.311222082
2017-11-24$68.08$66.009.8%2.8%8.9%12.2%24.8%-0.1%-0.6%190.4K-1.0M-1.1K0.17133.561222082
2017-11-27$67.96$66.009.4%2.7%8.7%8.8%26.3%-1.4%-0.1%220.8K-1.0M-1.0K1.83138.4912222082
2017-11-28$67.94$66.009.5%2.7%8.4%9.8%24.3%-0.1%-0.4%201.6K-997.4K-1.3K1.83137.31122220822
2017-11-29$67.38$66.009.8%2.8%9.0%12.1%32.5%-0.3%-0.4%249.7K-779.0K-1.5K1.83153.56122220822
2017-11-30$67.52$66.009.6%2.8%9.0%10.7%34.2%1.9%-0.7%241.9K-814.7K-1.4K1.00141.22222220822