LTPZ Options History — January 2018

In January 2018, LTPZ traded between $67.60 and $69.02. ATM implied volatility averaged 9.8%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.8% (HV 20d: 10.7%). Max pain ranged from $69.00 to $69.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2018-01-23: Highest Volume — 216 contracts
2018-01-29: Largest IV spike — 11.8% change
2018-01-31: Highest IV Rank — 3.7%
2018-01-31: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.28	$67.60	$69.02	$68.69	$68.26
Max Pain	$69.00	$69.00	$69.00	$69.00	$69.00
ATM IV	9.8%	8.9%	11.0%	9.7%	11.0%
Expected Move	2.8%	2.6%	3.2%	2.8%	3.2%
HV 20d	10.7%	8.0%	12.1%	11.6%	8.4%
HV 60d	9.6%	9.4%	9.8%	9.6%	9.8%
IV Rank	3.0%	2.5%	3.7%	3.0%	3.7%
IV Percentile	32.6%	4.4%	65.9%	27.4%	65.9%
Term Structure	0.0%	-0.6%	0.5%	0.3%	-0.5%
VWIV	10.1%	9.4%	10.4%	10.2%	10.3%
Skew 25d	0.7%	-0.4%	2.4%	-0.4%	2.4%
Skew 10d	1.3%	-2.0%	5.9%	-2.0%	5.9%
Call IV 25d	9.6%	8.8%	10.5%	9.7%	8.8%
Put IV 25d	10.3%	9.3%	12.2%	9.3%	11.1%
Bid-Ask Spread %	109.12	61.33	136.46	121.94	128.03
Gamma HHI	0.44	0.42	0.44	0.43	0.44
Net GEX	11.1K	9.6K	12.2K	10.8K	11.8K
Net DEX	-49.2K	-93.2K	-9.8K	-73.8K	-42.5K
Net VEX	-1.2K	-1.3K	-1.2K	-1.3K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.12	0.15	0.12	0.15
Total Volume	211.619	209	216	209	216
Total OI	78.286	76	83	76	83

Daily Data (21 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
2018-01-02	$68.69	$0.00	9.7%	2.8%	11.6%	3.0%	0.0%	-0.4%	0.3%	10.8K	-73.8K	-1.3K	0.12	121.94	187	22	54	22
2018-01-03	$68.96	$0.00	9.1%	2.6%	11.6%	2.6%	0.0%	0.3%	0.5%	11.5K	-85.4K	-1.3K	0.12	133.01	187	22	54	22
2018-01-04	$69.02	$0.00	8.9%	2.6%	11.5%	2.5%	0.0%	0.5%	0.2%	12.2K	-93.2K	-1.3K	0.12	61.33	187	22	54	22
2018-01-05	$68.96	$0.00	8.9%	2.7%	11.4%	2.5%	0.0%	-0.0%	0.0%	12.1K	-82.4K	-1.3K	0.12	66.24	187	22	54	22
2018-01-08	$68.77	$0.00	8.9%	2.6%	11.1%	2.5%	0.0%	-0.1%	0.3%	11.8K	-75.0K	-1.3K	0.12	64.28	187	22	54	22
2018-01-09	$67.91	$0.00	9.7%	2.8%	11.9%	2.9%	0.0%	0.4%	0.1%	10.9K	-43.9K	-1.2K	0.12	66.82	187	22	54	22
2018-01-10	$67.83	$0.00	9.6%	2.8%	11.9%	2.9%	0.0%	0.4%	0.2%	10.1K	-35.2K	-1.2K	0.12	91.65	187	22	54	22
2018-01-11	$67.79	$0.00	9.3%	2.7%	11.9%	2.7%	0.0%	0.5%	0.3%	10.4K	-30.6K	-1.2K	0.12	118.15	187	22	54	22
2018-01-12	$68.03	$0.00	9.1%	2.6%	11.8%	2.6%	0.0%	0.7%	0.1%	10.6K	-44.2K	-1.2K	0.12	96.77	187	22	54	22
2018-01-16	$68.55	$0.00	9.1%	2.6%	12.1%	2.6%	0.0%	0.1%	0.2%	12.0K	-62.6K	-1.2K	0.12	107.44	187	22	54	22
2018-01-17	$68.41	$0.00	9.3%	2.7%	11.9%	2.7%	0.0%	0.4%	0.0%	12.0K	-57.3K	-1.2K	0.12	114.06	187	22	54	22
2018-01-18	$68.13	$0.00	10.2%	2.9%	11.7%	3.2%	0.0%	0.9%	0.1%	11.8K	-49.8K	-1.2K	0.12	119.12	187	22	54	22
2018-01-19	$67.95	$0.00	10.3%	3.0%	10.9%	3.3%	0.0%	1.1%	-0.2%	11.2K	-42.7K	-1.2K	0.12	112.86	187	22	54	22
2018-01-22	$67.94	$0.00	10.6%	3.0%	10.2%	3.4%	0.0%	1.0%	-0.0%	10.9K	-38.7K	-1.2K	0.15	123.42	187	28	54	22
2018-01-23	$68.17	$0.00	10.2%	2.9%	9.7%	3.2%	10.2%	0.1%	-0.1%	9.6K	-24.7K	-1.3K	0.15	128.52	188	28	54	28
2018-01-24	$67.95	$69.00	10.5%	3.0%	9.8%	3.4%	10.4%	0.4%	-0.6%	10.1K	-17.9K	-1.3K	0.15	119.91	188	28	55	28
2018-01-25	$68.40	$69.00	10.2%	2.9%	10.1%	3.2%	9.4%	1.3%	-0.1%	11.8K	-47.3K	-1.3K	0.15	135.88	188	28	55	28
2018-01-26	$68.51	$69.00	9.7%	2.8%	8.0%	3.0%	9.8%	1.2%	0.2%	10.9K	-45.9K	-1.3K	0.15	133.00	188	28	55	28
2018-01-29	$68.14	$69.00	10.9%	3.1%	8.1%	3.6%	10.3%	1.0%	-0.4%	10.7K	-30.3K	-1.3K	0.15	112.74	188	28	55	28
2018-01-30	$67.60	$69.00	10.8%	3.1%	8.1%	3.6%	10.4%	1.7%	-0.1%	9.6K	-9.8K	-1.2K	0.15	136.46	188	28	55	28
2018-01-31	$68.26	$69.00	11.0%	3.2%	8.4%	3.7%	10.3%	2.4%	-0.5%	11.8K	-42.5K	-1.3K	0.15	128.03	188	28	55	28