LTPZ Options History — December 2017

In December 2017, LTPZ traded between $67.14 and $69.33. ATM implied volatility averaged 25.0%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 15.3% (HV 20d: 9.7%). Max pain ranged from $66.00 to $66.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.35.

Notable Days

2017-12-08: Highest Volume — 391 contracts
2017-12-07: Largest IV spike — 1001.9% change
2017-12-07: Highest IV Rank — 100.0%
2017-12-11: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.44	$67.14	$69.33	$68.26	$69.33
Max Pain	$66.00	$66.00	$66.00	$66.00	$66.00
ATM IV	25.0%	4.6%	179.5%	11.3%	9.2%
Expected Move	4.9%	2.4%	17.2%	3.2%	2.6%
HV 20d	9.7%	7.9%	11.8%	9.6%	11.6%
HV 60d	8.5%	8.0%	9.4%	8.1%	9.4%
IV Rank	17.9%	0.0%	100.0%	26.0%	2.7%
IV Percentile	31.7%	0.0%	100.0%	57.9%	9.5%
Term Structure	-3.2%	-25.2%	1.2%	-1.5%	0.2%
VWIV	27.9%	27.9%	27.9%	27.9%	27.9%
Skew 25d	1.5%	-1.1%	11.9%	-1.1%	-0.2%
Skew 10d	1.7%	-3.4%	11.9%	1.5%	-0.5%
Call IV 25d	19.0%	8.5%	71.8%	12.0%	9.3%
Put IV 25d	20.5%	8.3%	79.7%	11.0%	9.1%
Bid-Ask Spread %	129.90	97.99	189.56	143.38	144.88
Gamma HHI	0.53	0.32	0.83	0.80	0.44
Net GEX	39.0K	7.9K	163.5K	163.5K	12.0K
Net DEX	-477.7K	-1.3M	-12.7K	-1.1M	-102.4K
Net VEX	-1.5K	-4.1K	-742	-1.3K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.06	1.16	1.00	0.12
Total Volume	221.75	41	391	44	209
Total OI	147.95	76	253	240	76

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
2017-12-01	$68.26	$66.00	11.3%	3.2%	9.6%	26.0%	27.9%	-1.1%	-1.5%	163.5K	-1.1M	-1.3K	1.00	143.38	22	22	218	22
2017-12-04	$68.49	$0.00	11.0%	2.8%	9.7%	23.1%	0.0%	-0.0%	0.6%	140.0K	-1.2M	-1.1K	1.16	105.57	19	22	218	22
2017-12-05	$68.81	$0.00	11.6%	2.8%	9.7%	28.1%	0.0%	-0.3%	0.6%	93.3K	-1.3M	-782	1.16	97.99	19	22	214	22
2017-12-06	$69.02	$0.00	11.5%	2.7%	9.6%	27.7%	0.0%	-0.3%	0.9%	72.6K	-1.3M	-742	1.16	103.52	19	22	209	22
2017-12-07	$68.45	$0.00	127.2%	16.5%	10.1%	100.0%	0.0%	11.9%	-25.2%	27.0K	-771.0K	-1.4K	1.16	180.65	19	22	209	22
2017-12-08	$68.20	$0.00	35.0%	5.9%	10.2%	22.4%	0.0%	-0.9%	-5.6%	93.3K	-793.1K	-1.3K	0.06	178.84	369	22	209	22
2017-12-11	$68.09	$0.00	179.5%	17.2%	8.8%	100.0%	0.0%	10.3%	-19.9%	27.4K	-761.5K	-4.1K	0.06	166.05	369	22	231	22
2017-12-12	$68.22	$0.00	4.6%	16.8%	8.8%	0.0%	0.0%	7.6%	-21.4%	29.5K	-768.3K	-4.1K	0.06	189.56	369	22	231	22
2017-12-13	$68.52	$0.00	8.3%	2.4%	8.6%	2.2%	0.0%	-0.2%	1.2%	18.7K	-355.9K	-1.4K	0.06	106.82	369	22	98	22
2017-12-14	$68.80	$0.00	8.7%	2.5%	8.2%	2.4%	0.0%	-0.2%	0.5%	11.3K	-376.6K	-1.4K	0.06	123.52	369	22	98	22
2017-12-15	$69.18	$0.00	8.6%	2.5%	7.9%	2.3%	0.0%	0.4%	1.0%	11.1K	-390.2K	-1.4K	0.06	134.57	369	22	98	22
2017-12-18	$68.67	$0.00	8.8%	2.5%	8.1%	2.5%	0.0%	0.2%	0.5%	10.3K	-62.1K	-1.3K	0.12	106.46	187	22	54	22
2017-12-19	$67.84	$0.00	8.8%	2.5%	9.2%	2.4%	0.0%	-0.1%	0.9%	9.1K	-42.5K	-1.3K	0.12	107.49	187	22	54	22
2017-12-20	$67.14	$0.00	9.2%	2.6%	9.9%	2.7%	0.0%	0.7%	0.3%	7.9K	-12.7K	-1.2K	0.12	105.71	187	22	54	22
2017-12-21	$67.75	$0.00	9.5%	2.7%	10.3%	2.8%	0.0%	0.4%	0.3%	8.8K	-33.6K	-1.3K	0.12	119.67	187	22	54	22
2017-12-22	$67.90	$0.00	9.4%	2.7%	10.2%	2.8%	0.0%	-0.2%	0.3%	9.8K	-44.2K	-1.3K	0.12	121.72	187	22	54	22
2017-12-26	$68.02	$0.00	9.1%	2.6%	10.2%	2.6%	0.0%	0.8%	0.9%	10.6K	-55.7K	-1.3K	0.12	116.84	187	22	54	22
2017-12-27	$69.16	$0.00	9.6%	2.8%	11.8%	2.9%	0.0%	0.2%	0.0%	11.8K	-95.3K	-1.3K	0.12	128.47	187	22	54	22
2017-12-28	$68.90	$0.00	9.2%	2.6%	11.4%	2.7%	0.0%	0.4%	0.4%	11.5K	-84.6K	-1.3K	0.12	116.37	187	22	54	22
2017-12-29	$69.33	$0.00	9.2%	2.6%	11.6%	2.7%	0.0%	-0.2%	0.2%	12.0K	-102.4K	-1.4K	0.12	144.88	187	22	54	22