LTPZ Options History — November 2018

In November 2018, LTPZ traded between $60.50 and $62.16. ATM implied volatility averaged 12.7%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.6% (HV 20d: 9.1%). Max pain ranged from $61.00 to $64.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.86.

Notable Days

2018-11-05: Highest Volume — 54 contracts
2018-11-28: Largest IV spike — 850.7% change
2018-11-28: Highest IV Rank — 41.0%
2018-11-28: Largest Expected Move — 21.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.36	$60.50	$62.16	$60.97	$61.92
Max Pain	$63.76	$61.00	$64.00	$62.00	$64.00
ATM IV	12.7%	7.4%	76.3%	10.6%	8.3%
Expected Move	3.6%	2.3%	21.9%	3.0%	2.4%
HV 20d	9.1%	7.9%	10.5%	10.5%	8.7%
HV 60d	9.6%	9.3%	9.8%	9.5%	9.8%
IV Rank	4.6%	1.6%	41.0%	3.5%	2.1%
IV Percentile	60.6%	4.4%	99.2%	86.5%	25.4%
Term Structure	-0.4%	-10.7%	1.2%	-0.9%	0.0%
VWIV	25.7%	8.3%	70.3%	10.7%	35.0%
Skew 25d	-0.6%	-18.1%	1.1%	0.4%	-0.3%
Skew 10d	0.5%	-18.1%	4.3%	-1.8%	-0.7%
Call IV 25d	13.8%	8.1%	106.9%	10.3%	8.7%
Put IV 25d	13.2%	7.9%	88.8%	10.7%	8.4%
Bid-Ask Spread %	123.13	96.02	183.33	145.35	143.74
Gamma HHI	0.39	0.30	0.49	0.41	0.49
Net GEX	2.8K	-1.5K	12.8K	-196	6.0K
Net DEX	154.6K	66.0K	178.2K	168.5K	153.9K
Net VEX	-349	-513	-255	-330	-329
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.86	2.00	3.89	2.25	3.89
Total Volume	49.333	44	54	52	44
Total OI	53.81	50	55	50	53

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
2018-11-01	$60.97	$62.00	10.6%	3.0%	10.5%	3.5%	10.7%	0.4%	-0.9%	-196	168.5K	-330	2.25	145.35	16	36	15	35
2018-11-02	$60.50	$61.00	11.1%	3.2%	10.2%	3.7%	10.9%	0.4%	-1.1%	-991	178.2K	-302	2.12	132.38	17	36	17	36
2018-11-05	$60.85	$64.00	11.4%	2.8%	10.4%	3.9%	22.5%	0.8%	0.4%	1.0K	167.6K	-329	2.00	96.16	18	36	18	36
2018-11-06	$60.94	$64.00	12.3%	2.9%	9.4%	4.4%	21.7%	0.9%	0.1%	1.7K	161.0K	-365	2.00	117.44	18	36	19	36
2018-11-07	$61.14	$64.00	9.3%	2.6%	9.3%	2.7%	22.5%	0.9%	0.6%	1.5K	166.7K	-343	2.00	114.71	18	36	19	36
2018-11-08	$60.97	$64.00	9.3%	2.6%	7.9%	2.7%	20.9%	1.1%	0.5%	1.7K	168.0K	-328	2.00	116.74	18	36	19	36
2018-11-09	$61.29	$64.00	7.4%	2.5%	8.3%	1.6%	22.7%	0.5%	1.0%	1.9K	163.6K	-350	2.00	113.37	18	36	19	36
2018-11-12	$61.63	$64.00	9.1%	2.5%	8.6%	2.6%	24.8%	0.2%	1.0%	4.3K	151.9K	-364	2.00	121.08	18	36	19	36
2018-11-13	$61.46	$64.00	10.3%	2.6%	8.6%	3.3%	23.9%	0.7%	1.0%	3.6K	155.0K	-356	2.00	113.07	18	36	19	36
2018-11-14	$61.40	$64.00	9.3%	2.7%	8.5%	2.7%	24.7%	0.2%	0.8%	3.0K	158.3K	-346	2.00	106.02	18	36	19	36
2018-11-15	$61.36	$64.00	8.9%	2.6%	8.5%	2.5%	21.9%	1.1%	1.2%	3.0K	160.7K	-332	2.00	121.23	18	36	19	36
2018-11-16	$62.16	$64.00	9.1%	2.6%	9.6%	2.6%	8.3%	0.1%	0.9%	12.8K	135.0K	-371	2.77	96.02	13	36	19	36
2018-11-19	$61.85	$64.00	9.5%	2.7%	9.8%	2.8%	8.8%	-0.2%	0.1%	2.4K	147.2K	-407	3.89	104.93	9	35	19	35
2018-11-20	$61.70	$64.00	9.5%	2.7%	9.7%	2.8%	38.9%	-0.1%	-0.1%	2.7K	147.3K	-379	3.89	113.55	9	35	19	34
2018-11-21	$61.67	$64.00	9.3%	2.7%	9.7%	2.7%	36.0%	-0.3%	-0.1%	3.1K	150.6K	-357	3.89	121.97	9	35	19	34
2018-11-23	$61.69	$64.00	10.8%	3.1%	9.2%	3.5%	37.5%	0.3%	-3.0%	3.6K	148.1K	-358	3.89	146.65	9	35	19	34
2018-11-26	$61.38	$64.00	8.3%	2.4%	8.3%	2.1%	27.8%	-0.1%	-0.2%	3.1K	165.4K	-300	3.89	115.50	9	35	19	34
2018-11-27	$60.89	$64.00	8.0%	2.3%	8.7%	2.0%	18.4%	-0.2%	0.1%	678	174.7K	-255	3.89	126.10	9	35	19	34
2018-11-28	$61.10	$64.00	76.3%	21.9%	8.4%	41.0%	70.3%	-18.1%	-10.7%	-1.5K	66.0K	-513	3.89	183.33	9	35	19	34
2018-11-29	$61.66	$64.00	8.3%	2.4%	9.0%	2.1%	30.8%	-0.1%	-0.1%	4.6K	159.5K	-319	3.89	136.43	9	35	19	34
2018-11-30	$61.92	$64.00	8.3%	2.4%	8.7%	2.1%	35.0%	-0.3%	0.0%	6.0K	153.9K	-329	3.89	143.74	9	35	19	34