LTPZ Options History — June 2018

In June 2018, LTPZ traded between $65.89 and $67.80. ATM implied volatility averaged 12.2%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 2.6% (HV 20d: 9.6%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.42.

Notable Days

2018-06-06: Highest Volume — 235 contracts
2018-06-26: Largest IV spike — 798.5% change
2018-06-26: Highest IV Rank — 41.0%
2018-06-26: Largest Expected Move — 21.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.60	$65.89	$67.80	$66.25	$67.47
Max Pain	$65.43	$65.00	$68.00	$68.00	$65.00
ATM IV	12.2%	7.3%	76.3%	9.1%	7.3%
Expected Move	3.4%	2.1%	21.9%	2.6%	2.1%
HV 20d	9.6%	8.1%	10.5%	9.9%	8.1%
HV 60d	9.8%	9.6%	10.0%	9.9%	9.7%
IV Rank	4.4%	1.6%	41.0%	2.6%	1.6%
IV Percentile	31.0%	1.6%	99.2%	28.6%	1.6%
Term Structure	-1.0%	-27.1%	0.8%	-0.5%	0.7%
VWIV	15.3%	7.4%	71.8%	24.2%	12.9%
Skew 25d	-3.2%	-68.2%	0.6%	0.2%	0.1%
Skew 10d	-3.9%	-68.1%	1.5%	-2.5%	-0.0%
Call IV 25d	12.1%	7.8%	79.7%	9.2%	7.8%
Put IV 25d	8.9%	7.2%	11.5%	9.4%	7.9%
Bid-Ask Spread %	89.07	58.99	189.54	118.59	124.29
Gamma HHI	0.44	0.25	0.79	0.39	0.29
Net GEX	-13.3K	-39.1K	3.6K	-26.1K	3.3K
Net DEX	79.3K	-32.1K	191.9K	167.2K	-17.1K
Net VEX	-204	-300	-143	-276	-194
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.22	1.60	0.22	0.53
Total Volume	133.429	13	235	234	23
Total OI	63	13	102	101	25

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
2018-06-01	$66.25	$68.00	9.1%	2.6%	9.9%	2.6%	24.2%	0.2%	-0.5%	-26.1K	167.2K	-276	0.22	118.59	192	42	59	42
2018-06-04	$66.01	$67.00	8.8%	2.4%	9.9%	2.4%	8.1%	0.3%	0.1%	-29.0K	176.8K	-234	0.22	67.84	192	42	59	42
2018-06-05	$66.37	$67.00	9.7%	2.5%	10.1%	2.9%	8.5%	0.1%	0.6%	-29.0K	167.1K	-242	0.22	63.96	192	42	59	42
2018-06-06	$65.90	$67.00	9.8%	2.6%	10.4%	3.0%	9.1%	0.3%	0.3%	-26.7K	191.9K	-217	0.22	59.48	193	42	59	42
2018-06-07	$66.25	$65.00	8.8%	2.6%	10.5%	2.4%	8.8%	0.4%	0.1%	-29.3K	165.6K	-230	0.22	80.53	193	42	60	42
2018-06-08	$66.20	$65.00	10.0%	2.7%	10.3%	3.1%	9.5%	0.2%	0.3%	-29.9K	173.9K	-216	0.22	58.99	193	42	60	42
2018-06-11	$66.03	$65.00	11.3%	2.7%	10.3%	3.9%	9.5%	0.2%	0.2%	-31.4K	181.7K	-192	0.22	59.64	193	42	60	42
2018-06-12	$66.10	$65.00	12.3%	2.7%	10.1%	4.4%	9.3%	0.2%	0.3%	-32.7K	177.4K	-185	0.22	62.40	193	42	60	42
2018-06-13	$65.89	$65.00	9.0%	2.6%	9.3%	2.5%	8.8%	0.6%	0.3%	-39.1K	188.9K	-172	0.22	62.49	193	42	60	42
2018-06-14	$66.60	$65.00	8.7%	2.5%	9.9%	2.3%	7.6%	0.2%	0.2%	-26.3K	86.1K	-161	0.22	67.58	193	42	60	32
2018-06-15	$66.67	$65.00	8.5%	2.4%	9.4%	2.2%	7.4%	-0.2%	0.2%	-1.1K	68.6K	-151	0.22	65.36	193	42	60	32
2018-06-18	$66.66	$65.00	8.5%	2.4%	9.4%	2.2%	7.6%	0.1%	0.4%	-1.1K	8.8K	-143	1.60	81.74	5	8	5	8
2018-06-19	$66.92	$65.00	8.4%	2.4%	9.5%	2.2%	8.1%	0.1%	0.3%	-1.3K	5.8K	-143	0.53	102.45	15	8	5	8
2018-06-20	$66.38	$65.00	8.3%	2.4%	10.0%	2.1%	7.4%	0.1%	0.3%	2.0K	5.0K	-189	0.53	91.60	15	8	16	8
2018-06-21	$66.70	$65.00	8.5%	2.4%	9.9%	2.2%	7.8%	-0.1%	0.4%	3.2K	-2.9K	-203	0.53	82.68	15	8	17	8
2018-06-22	$66.90	$65.00	8.1%	2.3%	9.9%	2.0%	27.2%	-0.4%	0.5%	3.5K	-4.7K	-205	0.53	93.07	15	8	17	8
2018-06-25	$66.97	$65.00	8.5%	2.4%	9.8%	2.2%	29.2%	-0.1%	0.4%	3.6K	-5.8K	-204	0.53	84.32	15	8	17	8
2018-06-26	$67.08	$65.00	76.3%	21.9%	8.1%	41.0%	71.8%	-68.2%	-27.1%	1.2K	-32.1K	-300	0.53	189.54	15	8	17	8
2018-06-27	$67.80	$65.00	8.3%	2.4%	8.7%	2.2%	19.2%	-1.1%	0.6%	3.4K	-20.1K	-214	0.53	132.96	15	8	17	8
2018-06-28	$67.49	$65.00	8.0%	2.3%	8.8%	2.0%	19.2%	-0.3%	0.8%	3.3K	-16.3K	-205	0.53	120.96	15	8	17	8
2018-06-29	$67.47	$65.00	7.3%	2.1%	8.1%	1.6%	12.9%	0.1%	0.7%	3.3K	-17.1K	-194	0.53	124.29	15	8	17	8