LTPZ Options History — September 2018

In September 2018, LTPZ traded between $64.54 and $66.45. ATM implied volatility averaged 8.1%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 0.0% (HV 20d: 8.1%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.78.

Notable Days

2018-09-19: Highest Volume — 44 contracts
2018-09-26: Largest IV drop — 22.1% change
2018-09-25: Highest IV Rank — 2.6%
2018-09-25: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.39	$64.54	$66.45	$66.27	$65.08
Max Pain	$65.67	$65.00	$68.00	$68.00	$65.00
ATM IV	8.1%	7.1%	9.1%	8.0%	8.0%
Expected Move	2.4%	2.0%	2.6%	2.3%	2.3%
HV 20d	8.1%	7.8%	8.7%	8.1%	8.0%
HV 60d	8.0%	7.8%	8.3%	8.0%	7.8%
IV Rank	2.0%	1.4%	2.6%	2.0%	1.9%
IV Percentile	19.9%	1.6%	51.6%	12.3%	15.5%
Term Structure	0.4%	-0.3%	1.1%	0.6%	0.3%
VWIV	18.8%	7.7%	60.1%	60.1%	8.0%
Skew 25d	0.1%	-2.1%	0.8%	-2.1%	-0.3%
Skew 10d	1.0%	-4.5%	3.3%	-4.5%	0.8%
Call IV 25d	8.2%	7.6%	8.7%	8.7%	8.1%
Put IV 25d	8.3%	6.6%	9.2%	6.6%	7.8%
Bid-Ask Spread %	96.58	59.34	137.57	127.56	112.26
Gamma HHI	0.42	0.34	0.69	0.69	0.35
Net GEX	-8.5K	-13.7K	-4.0K	-9.6K	-5.5K
Net DEX	94.0K	69.9K	121.8K	72.0K	77.0K
Net VEX	-250	-283	-177	-177	-267
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.78	1.75	7.00	2.15	4.20
Total Volume	37.421	24	44	41	26
Total OI	37.263	25	45	32	27

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
2018-09-04	$66.27	$68.00	8.0%	2.3%	8.1%	2.0%	60.1%	-2.1%	0.6%	-9.6K	72.0K	-177	2.15	127.56	13	28	13	19
2018-09-05	$66.08	$68.00	8.0%	2.3%	7.9%	2.0%	60.1%	0.7%	0.2%	-12.3K	90.9K	-264	2.15	137.57	13	28	13	28
2018-09-06	$66.45	$0.00	7.8%	2.5%	8.1%	1.9%	0.0%	-0.1%	0.5%	-13.7K	87.7K	-268	2.15	59.34	13	28	13	28
2018-09-07	$65.81	$0.00	7.6%	2.4%	8.7%	1.7%	0.0%	0.1%	0.5%	-10.4K	97.1K	-264	2.15	70.37	13	28	13	28
2018-09-10	$65.92	$0.00	7.6%	2.3%	8.1%	1.7%	0.0%	-0.0%	0.8%	-11.1K	94.5K	-257	2.15	71.65	13	28	13	28
2018-09-11	$65.64	$0.00	7.1%	2.3%	8.2%	1.4%	0.0%	0.4%	0.4%	-9.7K	100.4K	-238	2.15	81.35	13	28	13	28
2018-09-12	$65.90	$0.00	7.8%	2.2%	8.2%	1.9%	0.0%	-0.2%	0.6%	-10.7K	97.9K	-240	2.15	81.53	13	28	13	28
2018-09-13	$65.73	$0.00	7.6%	2.2%	7.8%	1.8%	0.0%	0.2%	0.7%	-9.9K	99.9K	-242	2.15	87.79	13	28	13	28
2018-09-14	$65.37	$0.00	7.7%	2.2%	8.0%	1.8%	0.0%	0.1%	1.1%	-9.6K	105.9K	-259	2.15	96.39	13	28	13	29
2018-09-17	$65.39	$0.00	8.1%	2.3%	7.9%	2.0%	0.0%	0.1%	0.6%	-9.9K	108.5K	-248	2.15	94.29	13	28	13	29
2018-09-18	$64.75	$0.00	8.7%	2.5%	8.0%	2.4%	0.0%	0.3%	-0.3%	-6.9K	116.2K	-236	2.15	94.06	13	28	13	29
2018-09-19	$64.54	$0.00	8.5%	2.4%	8.0%	2.2%	8.5%	0.4%	0.5%	-4.0K	121.8K	-230	1.75	104.10	16	28	13	29
2018-09-20	$64.94	$65.00	8.7%	2.5%	8.3%	2.3%	8.7%	0.6%	0.0%	-6.7K	105.6K	-255	1.75	97.47	16	28	16	29
2018-09-21	$65.01	$65.00	8.6%	2.5%	8.2%	2.3%	8.7%	0.1%	0.0%	-6.1K	103.4K	-249	1.75	98.59	16	28	16	29
2018-09-24	$64.90	$65.00	8.7%	2.5%	8.1%	2.4%	8.7%	0.6%	0.1%	-6.5K	79.4K	-255	7.00	101.60	3	21	3	22
2018-09-25	$64.79	$65.00	9.1%	2.6%	8.1%	2.6%	9.1%	0.5%	-0.1%	-6.4K	83.3K	-245	4.20	78.53	5	21	3	22
2018-09-26	$64.73	$65.00	7.1%	2.0%	7.9%	1.4%	7.7%	0.2%	0.3%	-6.2K	69.9K	-283	4.20	128.41	5	21	5	22
2018-09-27	$65.09	$65.00	8.2%	2.4%	8.1%	2.1%	8.2%	0.8%	0.1%	-5.7K	74.2K	-269	4.20	112.12	5	21	5	22
2018-09-28	$65.08	$65.00	8.0%	2.3%	8.0%	1.9%	8.0%	-0.3%	0.3%	-5.5K	77.0K	-267	4.20	112.26	5	21	5	22