LTPZ Options History — March 2019 In March 2019, LTPZ traded between $63.00 and $66.57. ATM implied volatility averaged 11.3%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.6% (HV 20d: 7.8%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2019-03-29 : Highest Volume — 11 contracts2019-03-25 : Largest IV spike — 377.8% change2019-03-25 : Highest IV Rank — 41.4%2019-03-01 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $64.73 $63.00 $66.57 $63.00 $66.57 Max Pain $63.91 $63.00 $65.00 $63.00 $65.00 ATM IV 11.3% 7.3% 42.5% 32.4% 9.5% Expected Move 3.0% 2.1% 9.3% 9.3% 2.7% HV 20d 7.8% 7.2% 8.9% 7.7% 7.2% HV 60d 9.0% 8.6% 9.7% 9.7% 8.7% IV Rank 5.2% 0.7% 41.4% 29.6% 3.2% IV Percentile 38.9% 4.0% 98.0% 98.0% 76.2% Term Structure 1.3% -2.9% 25.6% 25.6% -0.2% Skew 25d 4.3% -2.5% 90.0% 2.8% -2.5% Skew 10d 6.1% -4.5% 90.0% -0.2% -3.8% Call IV 25d 13.1% 6.3% 113.7% 113.7% 9.6% Put IV 25d 17.4% 6.1% 116.5% 116.5% 7.1% Bid-Ask Spread % 112.74 55.39 196.30 196.30 79.42 Gamma HHI 0.63 0.30 0.88 0.30 0.46 Net GEX 13.2K 936 19.1K 936 18.4K Net DEX -51.2K -158.1K 5.6K -43.2K -158.1K Net VEX -365 -463 -308 -463 -397 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.476 0 11 0 11 Total OI 40.667 36 46 44 46
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 2019-03-01 $63.00 $63.00 32.4% 9.3% 7.7% 29.6% 0.0% 2.8% 25.6% 936 -43.2K -463 0.00 196.30 0 0 29 15 2019-03-04 $63.35 $63.00 8.3% 2.4% 7.7% 1.8% 0.0% -0.4% 0.5% 8.0K 1.6K -367 0.00 169.75 0 0 29 15 2019-03-05 $63.25 $63.00 8.3% 2.4% 7.4% 1.8% 0.0% 0.3% 0.6% 8.0K 5.6K -352 0.00 174.28 0 0 29 15 2019-03-06 $63.38 $63.00 7.5% 2.2% 7.3% 0.9% 0.0% 0.5% 0.6% 9.0K 3.7K -356 0.00 93.94 0 0 29 15 2019-03-07 $63.85 $63.00 7.6% 2.2% 7.6% 1.0% 0.0% -0.3% 0.7% 12.0K -14.1K -379 0.00 179.72 0 0 29 15 2019-03-08 $63.92 $63.00 7.3% 2.1% 7.5% 0.7% 0.0% -0.0% 0.5% 12.5K -14.5K -374 0.00 188.19 0 0 29 15 2019-03-11 $63.76 $65.00 8.3% 2.4% 7.5% 1.7% 0.0% -0.3% 0.5% 12.6K -11.2K -364 0.00 57.20 0 0 29 15 2019-03-12 $64.08 $65.00 7.9% 2.4% 7.4% 1.3% 0.0% 0.2% 0.3% 13.4K -21.3K -377 0.00 55.39 8 0 29 15 2019-03-13 $64.22 $65.00 7.8% 2.4% 7.3% 1.2% 0.0% -0.0% 0.4% 14.4K -25.7K -380 0.00 75.33 8 0 29 15 2019-03-14 $64.15 $65.00 8.3% 2.4% 7.3% 1.8% 0.0% 0.5% 0.0% 13.6K -22.7K -376 0.00 56.52 8 0 29 15 2019-03-15 $64.57 $65.00 7.4% 2.3% 7.4% 0.7% 0.0% 0.4% 1.0% 17.0K -37.1K -385 0.00 72.37 8 0 29 15 2019-03-18 $64.79 $0.00 7.8% 2.2% 7.4% 1.1% 0.0% -0.9% -0.0% 18.9K -48.1K -380 0.00 67.01 0 0 26 10 2019-03-19 $64.62 $0.00 7.4% 2.2% 7.4% 0.7% 0.0% -1.2% 0.1% 19.1K -40.3K -373 0.00 67.91 5 0 26 10 2019-03-20 $65.46 $0.00 7.9% 2.2% 8.6% 1.2% 0.0% -1.4% -0.3% 18.8K -82.0K -362 0.00 91.76 5 0 26 10 2019-03-21 $65.70 $0.00 8.1% 2.3% 8.1% 1.5% 0.0% 0.2% -0.0% 18.1K -90.0K -351 0.00 87.69 5 0 26 10 2019-03-22 $66.35 $0.00 8.9% 2.5% 8.5% 2.5% 0.0% -1.4% -0.2% 13.4K -111.0K -308 0.00 76.48 5 0 26 10 2019-03-25 $66.26 $0.00 42.5% 2.8% 8.5% 41.4% 0.0% 90.0% -0.8% 2.1K -70.2K -364 0.00 189.57 0 0 26 10 2019-03-26 $65.88 $0.00 8.4% 2.7% 8.9% 1.9% 0.0% -0.4% 1.3% 16.5K -104.8K -309 0.00 115.82 0 0 26 10 2019-03-27 $66.01 $0.00 15.7% 8.6% 8.3% 10.3% 0.0% 3.7% -2.9% 15.3K -86.1K -332 0.00 196.25 0 0 26 10 2019-03-28 $66.20 $0.00 10.1% 2.7% 7.9% 3.8% 0.0% -0.5% -0.7% 14.8K -105.4K -308 0.00 76.71 10 0 26 10 2019-03-29 $66.57 $0.00 9.5% 2.7% 7.2% 3.2% 0.0% -2.5% -0.2% 18.4K -158.1K -397 0.00 79.42 11 0 36 10
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