LTPZ Options History — March 2018

In March 2018, LTPZ traded between $65.09 and $67.15. ATM implied volatility averaged 9.1%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 0.1% (HV 20d: 9.3%). Max pain ranged from $66.00 to $66.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.14.

Notable Days

2018-03-01: Highest Volume — 219 contracts
2018-03-08: Largest IV drop — 19.5% change
2018-03-05: Highest IV Rank — 3.9%
2018-03-01: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.84	$65.09	$67.15	$66.22	$67.15
Max Pain	$66.00	$66.00	$66.00	$66.00	$66.00
ATM IV	9.1%	7.7%	11.3%	11.1%	8.8%
Expected Move	2.6%	2.2%	3.2%	3.2%	2.5%
HV 20d	9.3%	8.2%	10.9%	10.9%	8.7%
HV 60d	10.1%	9.3%	10.5%	10.3%	9.4%
IV Rank	2.6%	1.8%	3.9%	3.7%	2.4%
IV Percentile	19.7%	0.4%	76.6%	70.6%	7.5%
Term Structure	0.5%	-0.9%	1.9%	-0.9%	0.5%
VWIV	16.3%	9.9%	22.7%	22.7%	9.9%
Skew 25d	0.5%	-0.3%	1.2%	1.2%	0.4%
Skew 10d	1.0%	-2.4%	15.4%	5.5%	0.6%
Call IV 25d	9.1%	8.2%	10.5%	9.5%	9.2%
Put IV 25d	9.6%	8.7%	11.1%	10.7%	9.6%
Bid-Ask Spread %	80.26	39.79	152.75	152.75	104.91
Gamma HHI	0.41	0.32	0.50	0.37	0.47
Net GEX	7.3K	-1.6K	18.5K	9.2K	8.9K
Net DEX	79.4K	29.0K	111.5K	41.8K	29.0K
Net VEX	-677	-866	-459	-866	-856
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.14	0.15	0.15	0.14
Total Volume	216.524	213	219	219	214
Total OI	83.476	80	86	86	81

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
2018-03-01	$66.22	$66.00	11.1%	3.2%	10.9%	3.7%	22.7%	1.2%	-0.9%	9.2K	41.8K	-866	0.15	152.75	191	28	58	28
2018-03-02	$65.84	$66.00	9.9%	2.8%	9.9%	3.0%	9.9%	0.6%	0.3%	8.7K	63.4K	-832	0.15	113.77	191	28	58	28
2018-03-05	$65.48	$0.00	11.3%	3.0%	9.8%	3.9%	0.0%	0.4%	0.0%	7.8K	80.0K	-720	0.15	41.23	191	28	58	28
2018-03-06	$65.45	$0.00	10.9%	3.0%	9.7%	3.6%	0.0%	0.5%	0.2%	7.8K	85.2K	-699	0.15	39.79	191	28	58	28
2018-03-07	$65.16	$0.00	11.2%	3.0%	9.5%	3.8%	0.0%	0.4%	0.3%	6.8K	93.8K	-651	0.15	46.26	191	28	58	28
2018-03-08	$65.58	$0.00	9.0%	2.8%	9.3%	2.6%	0.0%	0.6%	0.4%	9.3K	80.4K	-729	0.15	45.98	191	28	58	28
2018-03-09	$65.09	$0.00	7.7%	2.6%	9.6%	1.8%	0.0%	1.1%	0.6%	7.0K	104.3K	-596	0.15	51.39	191	28	58	28
2018-03-12	$65.52	$0.00	7.8%	2.6%	9.2%	1.8%	0.0%	0.7%	0.7%	8.2K	104.3K	-575	0.15	68.98	191	28	58	28
2018-03-13	$65.78	$0.00	8.7%	2.5%	9.1%	2.4%	0.0%	-0.3%	0.7%	9.7K	90.3K	-635	0.15	65.81	191	28	58	28
2018-03-14	$65.95	$0.00	8.8%	2.5%	9.1%	2.4%	0.0%	-0.2%	0.4%	16.1K	74.9K	-700	0.15	73.20	191	28	58	28
2018-03-15	$66.06	$0.00	8.9%	2.6%	8.9%	2.5%	0.0%	-0.3%	0.0%	18.5K	62.0K	-737	0.15	71.03	191	28	58	28
2018-03-16	$65.70	$0.00	8.6%	2.5%	9.2%	2.3%	0.0%	0.8%	1.0%	1.6K	109.5K	-572	0.15	69.82	191	28	58	28
2018-03-19	$65.51	$0.00	9.0%	2.6%	9.2%	2.6%	0.0%	1.2%	0.3%	1.9K	106.3K	-541	0.14	70.08	187	26	54	26
2018-03-20	$65.40	$0.00	9.2%	2.6%	9.2%	2.7%	0.0%	0.5%	0.7%	3.4K	94.3K	-584	0.14	70.73	187	26	54	26
2018-03-21	$65.41	$0.00	7.7%	2.2%	8.2%	1.8%	0.0%	0.8%	1.9%	-1.6K	111.5K	-459	0.14	124.20	187	26	54	26
2018-03-22	$66.20	$0.00	8.6%	2.5%	9.1%	2.3%	0.0%	0.7%	0.7%	6.2K	65.8K	-709	0.14	101.14	187	26	54	26
2018-03-23	$66.13	$0.00	9.0%	2.6%	8.7%	2.5%	0.0%	-0.3%	0.3%	5.5K	71.3K	-679	0.14	76.25	187	26	54	26
2018-03-26	$65.88	$0.00	8.4%	2.4%	8.9%	2.2%	0.0%	0.5%	0.7%	3.5K	91.6K	-592	0.14	91.52	187	26	54	26
2018-03-27	$66.38	$0.00	8.7%	2.5%	9.2%	2.3%	0.0%	0.4%	0.9%	7.1K	52.6K	-762	0.14	96.24	187	26	54	26
2018-03-28	$66.72	$0.00	8.7%	2.5%	8.9%	2.4%	0.0%	0.2%	0.5%	7.0K	56.2K	-729	0.14	110.43	187	27	54	26
2018-03-29	$67.15	$0.00	8.8%	2.5%	8.7%	2.4%	0.0%	0.4%	0.5%	8.9K	29.0K	-856	0.14	104.91	187	27	54	27