LTPZ Options History — February 2018

In February 2018, LTPZ traded between $64.47 and $67.26. ATM implied volatility averaged 11.5%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.2% (HV 20d: 10.2%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.15.

Notable Days

2018-02-28: Highest Volume — 219 contracts
2018-02-08: Largest IV spike — 15.4% change
2018-02-08: Highest IV Rank — 5.2%
2018-02-08: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.62	$64.47	$67.26	$67.26	$65.65
Max Pain	$67.00	$67.00	$67.00	$67.00	$67.00
ATM IV	11.5%	9.7%	13.6%	12.5%	9.7%
Expected Move	3.2%	2.8%	3.9%	3.3%	2.8%
HV 20d	10.2%	9.7%	11.1%	9.7%	11.1%
HV 60d	10.3%	10.0%	10.6%	10.3%	10.4%
IV Rank	4.0%	3.0%	5.2%	4.5%	3.0%
IV Percentile	69.1%	32.1%	93.3%	84.5%	32.1%
Term Structure	-0.6%	-1.7%	0.3%	-0.7%	-0.2%
VWIV	11.6%	7.0%	28.8%	11.8%	9.7%
Skew 25d	0.8%	-0.2%	1.5%	1.3%	0.6%
Skew 10d	0.7%	-4.0%	3.1%	0.9%	0.9%
Call IV 25d	11.0%	9.5%	13.5%	10.8%	10.0%
Put IV 25d	11.8%	10.5%	14.7%	12.1%	10.7%
Bid-Ask Spread %	109.16	74.96	134.54	82.14	111.26
Gamma HHI	0.42	0.41	0.44	0.43	0.41
Net GEX	4.0K	1.4K	8.4K	8.4K	3.1K
Net DEX	71.3K	-1.2K	119.1K	-1.2K	82.5K
Net VEX	-847	-1.2K	-565	-1.2K	-793
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.15	0.15	0.15	0.15
Total Volume	215.842	215	219	216	219
Total OI	82.632	82	83	83	82

Daily Data (19 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
2018-02-01	$67.26	$67.00	12.5%	3.3%	9.7%	4.5%	11.8%	1.3%	-0.7%	8.4K	-1.2K	-1.2K	0.15	82.14	188	28	55	28
2018-02-02	$66.80	$67.00	11.8%	3.2%	9.9%	4.1%	11.5%	1.0%	-0.7%	6.7K	25.2K	-1.1K	0.15	97.17	188	28	55	28
2018-02-05	$67.06	$67.00	13.2%	3.4%	10.1%	5.0%	11.7%	1.0%	-0.9%	7.7K	6.6K	-1.1K	0.15	120.23	188	28	55	28
2018-02-06	$66.61	$67.00	13.3%	3.3%	10.2%	5.0%	11.7%	-0.2%	-0.8%	6.3K	30.5K	-1.1K	0.15	95.86	188	28	55	28
2018-02-07	$65.98	$67.00	11.8%	3.4%	9.8%	4.2%	11.8%	-0.1%	-1.3%	5.2K	52.8K	-1.0K	0.15	74.96	188	28	55	28
2018-02-08	$65.67	$67.00	13.6%	3.9%	9.9%	5.2%	13.4%	1.2%	-1.7%	4.9K	50.7K	-980	0.15	93.68	188	28	55	28
2018-02-09	$65.04	$67.00	13.4%	3.8%	10.3%	5.0%	8.4%	1.5%	-0.9%	3.8K	76.3K	-837	0.15	107.47	188	28	55	28
2018-02-12	$65.40	$67.00	12.2%	3.5%	10.5%	4.3%	10.4%	0.4%	-0.9%	3.9K	70.2K	-868	0.15	103.76	188	28	55	28
2018-02-13	$65.54	$67.00	11.3%	3.2%	10.0%	3.8%	9.7%	1.0%	-0.5%	3.9K	73.7K	-842	0.15	102.30	188	28	55	28
2018-02-14	$65.22	$67.00	11.7%	3.3%	10.0%	4.1%	9.9%	1.2%	-0.9%	3.3K	83.2K	-795	0.15	103.45	188	28	55	28
2018-02-15	$65.29	$67.00	10.5%	3.0%	10.1%	3.4%	7.4%	0.5%	-0.1%	3.2K	82.4K	-815	0.15	105.95	188	28	55	28
2018-02-16	$65.36	$67.00	10.1%	2.9%	10.1%	3.2%	8.2%	0.9%	0.3%	2.9K	89.6K	-736	0.15	125.98	188	28	55	28
2018-02-20	$65.19	$67.00	10.6%	3.0%	10.1%	3.4%	7.0%	0.6%	-0.6%	2.8K	94.1K	-739	0.15	106.19	187	28	54	28
2018-02-21	$64.47	$67.00	10.3%	3.0%	10.4%	3.3%	25.9%	0.8%	0.2%	1.4K	119.1K	-565	0.15	134.54	187	28	54	28
2018-02-22	$64.66	$67.00	10.4%	3.0%	10.6%	3.3%	28.8%	0.8%	-0.7%	1.7K	113.3K	-590	0.15	126.58	187	28	54	28
2018-02-23	$65.19	$67.00	10.5%	3.0%	10.8%	3.4%	7.7%	0.9%	-0.4%	2.4K	98.2K	-700	0.15	128.31	187	28	54	28
2018-02-26	$65.28	$67.00	10.6%	3.0%	10.7%	3.5%	7.1%	0.9%	-0.4%	1.9K	105.3K	-630	0.15	133.70	187	28	54	28
2018-02-27	$65.11	$67.00	10.4%	3.0%	10.7%	3.4%	8.0%	0.8%	-0.3%	2.2K	101.9K	-686	0.15	120.51	187	28	54	28
2018-02-28	$65.65	$67.00	9.7%	2.8%	11.1%	3.0%	9.7%	0.6%	-0.2%	3.1K	82.5K	-793	0.15	111.26	191	28	54	28