LTPZ Options History — July 2018 In July 2018, LTPZ traded between $66.08 and $68.28. ATM implied volatility averaged 8.2%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 0.5% (HV 20d: 7.6%). Max pain ranged from $65.00 to $67.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.80.
Notable Days 2018-07-05 : Highest Volume — 42 contracts2018-07-31 : Largest IV drop — 22.9% change2018-07-23 : Highest IV Rank — 2.7%2018-07-23 : Largest Expected Move — 2.7%Monthly Statistics Metric Avg Min Max Open Close Price $67.32 $66.08 $68.28 $67.67 $66.65 Max Pain $66.00 $65.00 $67.00 $65.00 $66.00 ATM IV 8.2% 7.0% 9.4% 8.1% 7.0% Expected Move 2.4% 2.0% 2.7% 2.3% 2.0% HV 20d 7.6% 6.7% 8.8% 7.9% 8.0% HV 60d 9.1% 8.6% 9.5% 9.5% 8.6% IV Rank 2.1% 1.4% 2.7% 2.0% 1.4% IV Percentile 12.6% 0.8% 47.6% 5.6% 0.8% Term Structure 0.3% -0.4% 0.9% 0.4% -0.1% VWIV 8.2% 6.2% 9.3% 6.2% 8.6% Skew 25d 0.5% -0.7% 1.9% 1.2% 1.9% Skew 10d -0.3% -2.1% 4.0% 0.4% 4.0% Call IV 25d 8.1% 6.4% 9.2% 6.4% 7.1% Put IV 25d 8.5% 7.5% 9.8% 7.7% 9.0% Bid-Ask Spread % 96.44 70.86 139.27 126.41 123.47 Gamma HHI 0.37 0.30 0.47 0.30 0.41 Net GEX -4.8K -12.7K 7.4K 3.5K -12.7K Net DEX 41.5K -24.0K 87.1K -20.6K 77.1K Net VEX -400 -494 -202 -202 -386 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.80 0.53 2.15 0.53 2.15 Total Volume 39.857 23 42 23 41 Total OI 39.619 24 43 25 41
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 2018-07-02 $67.67 $65.00 8.1% 2.3% 7.9% 2.0% 6.2% 1.2% 0.4% 3.5K -20.6K -202 0.53 126.41 15 8 17 8 2018-07-03 $67.99 $67.00 7.6% 2.2% 7.9% 1.8% 6.2% -0.7% 0.8% 3.3K -20.4K -208 0.53 139.27 15 8 16 8 2018-07-05 $68.16 $0.00 7.9% 2.4% 7.2% 1.9% 0.0% 0.5% 0.5% 3.2K -24.0K -205 1.80 78.84 15 27 16 8 2018-07-06 $68.28 $0.00 7.7% 2.3% 7.1% 1.8% 0.0% 0.1% 0.9% -3.8K 16.5K -494 1.80 95.07 15 27 16 27 2018-07-09 $68.00 $0.00 8.2% 2.4% 7.3% 2.1% 0.0% 0.4% 0.3% -3.9K 26.1K -487 1.80 81.54 15 27 16 27 2018-07-10 $67.78 $0.00 8.1% 2.4% 7.4% 2.0% 0.0% 0.2% 0.3% -3.8K 29.0K -479 1.80 81.53 15 27 16 27 2018-07-11 $68.05 $0.00 8.6% 2.5% 7.5% 2.3% 0.0% 0.3% 0.3% -3.6K 24.0K -470 1.80 85.39 15 27 16 27 2018-07-12 $67.91 $0.00 8.1% 2.3% 7.4% 2.0% 0.0% -0.1% 0.2% -4.2K 24.9K -458 1.80 70.86 15 27 16 27 2018-07-13 $68.23 $0.00 8.0% 2.3% 6.7% 2.0% 0.0% -0.1% 0.5% -5.6K 17.7K -463 1.80 93.98 15 27 16 27 2018-07-16 $67.82 $0.00 8.0% 2.3% 7.1% 2.0% 0.0% 0.2% 0.4% -6.0K 28.8K -435 1.80 89.93 15 27 16 27 2018-07-17 $67.66 $0.00 7.7% 2.2% 7.2% 1.8% 0.0% 0.7% 0.4% -4.6K 34.7K -443 1.80 94.17 15 27 16 27 2018-07-18 $67.30 $0.00 7.8% 2.3% 7.4% 1.9% 0.0% 0.2% 0.1% 2 45.4K -431 1.80 75.21 15 27 16 27 2018-07-19 $67.56 $0.00 7.7% 2.2% 6.8% 1.8% 0.0% 0.1% 0.6% -4.6K 43.0K -453 1.80 82.71 15 27 16 27 2018-07-20 $66.91 $0.00 8.4% 2.4% 7.6% 2.2% 0.0% 0.9% 0.2% 7.4K 60.8K -420 1.80 95.20 15 27 16 27 2018-07-23 $66.08 $0.00 9.4% 2.7% 8.7% 2.7% 9.3% 0.5% -0.3% -9.2K 85.7K -399 2.15 84.31 13 28 13 27 2018-07-24 $66.25 $66.00 8.7% 2.5% 8.8% 2.4% 8.8% 0.2% -0.0% -10.9K 84.4K -406 2.15 90.73 13 28 13 28 2018-07-25 $66.38 $66.00 8.4% 2.4% 8.8% 2.2% 8.7% 0.1% 0.4% -11.6K 81.9K -393 2.15 106.21 13 28 13 28 2018-07-26 $66.14 $66.00 8.7% 2.5% 7.8% 2.4% 8.9% 0.9% 0.2% -11.0K 87.1K -399 2.15 106.33 13 28 13 28 2018-07-27 $66.42 $66.00 8.3% 2.4% 7.9% 2.1% 8.2% 1.4% 0.4% -11.6K 83.1K -387 2.15 110.06 13 28 13 28 2018-07-30 $66.39 $66.00 9.1% 2.6% 7.9% 2.6% 9.0% 0.8% -0.4% -10.6K 85.5K -380 2.15 113.94 13 28 13 28 2018-07-31 $66.65 $66.00 7.0% 2.0% 8.0% 1.4% 8.6% 1.9% -0.1% -12.7K 77.1K -386 2.15 123.47 13 28 13 28
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