LTPZ Options History — September 2019

In September 2019, LTPZ traded between $71.38 and $75.73. ATM implied volatility averaged 18.4%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.8% (HV 20d: 15.6%). Max pain ranged from $69.00 to $75.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.36.

Notable Days

2019-09-18: Highest Volume — 908 contracts
2019-09-17: Largest IV spike — 301.9% change
2019-09-17: Highest IV Rank — 29.1%
2019-09-17: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.55	$71.38	$75.73	$75.73	$73.46
Max Pain	$74.33	$69.00	$75.00	$69.00	$75.00
ATM IV	18.4%	12.9%	59.3%	15.2%	14.3%
Expected Move	4.7%	3.6%	17.0%	4.4%	4.1%
HV 20d	15.6%	14.3%	17.0%	14.7%	14.9%
HV 60d	12.3%	11.3%	12.9%	11.7%	12.8%
IV Rank	6.5%	3.4%	29.1%	4.7%	4.2%
IV Percentile	85.9%	81.3%	96.0%	88.9%	81.3%
Term Structure	-0.7%	-25.6%	25.4%	-1.0%	-0.6%
VWIV	12.5%	12.5%	12.5%	12.5%	12.5%
Skew 25d	-0.6%	-5.7%	0.3%	-1.3%	-0.9%
Skew 10d	-0.4%	-5.7%	3.3%	-1.9%	3.3%
Call IV 25d	17.2%	12.9%	71.2%	15.6%	14.9%
Put IV 25d	16.6%	12.6%	65.6%	14.4%	14.0%
Bid-Ask Spread %	76.71	27.53	198.86	115.85	89.41
Gamma HHI	0.64	0.38	0.88	0.65	0.71
Net GEX	-1.4K	-97.6K	6.9K	4.1K	2.7K
Net DEX	-1.3M	-2.1M	-110.6K	-2.1M	-135.7K
Net VEX	-1.4K	-3.2K	-133	-161	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	1.45	0.00	1.45
Total Volume	46.2	0	908	0	0
Total OI	466.1	215	718	547	215

Daily Data (20 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
2019-09-03	$75.73	$69.00	15.2%	4.4%	14.7%	4.7%	0.0%	-1.3%	-1.0%	4.1K	-2.1M	-161	0.00	115.85	0	0	279	268
2019-09-04	$75.57	$69.00	14.2%	4.1%	14.3%	4.1%	0.0%	-1.1%	-0.8%	4.3K	-2.1M	-152	0.00	122.28	0	0	279	268
2019-09-05	$74.76	$0.00	50.9%	3.8%	15.0%	24.5%	0.0%	-0.5%	-0.5%	4.4K	-2.0M	-288	0.00	27.53	2	0	279	268
2019-09-06	$75.12	$0.00	12.9%	3.6%	15.0%	3.4%	12.5%	-0.2%	-0.1%	6.9K	-2.1M	-159	0.00	37.17	0	1	281	268
2019-09-09	$74.07	$75.00	14.0%	3.7%	16.0%	4.1%	0.0%	-0.5%	-0.1%	5.2K	-2.0M	-202	0.00	30.65	0	0	281	269
2019-09-10	$72.97	$75.00	15.0%	3.7%	16.2%	4.6%	0.0%	-0.0%	-0.6%	4.7K	-1.9M	-352	0.00	52.97	2	0	281	269
2019-09-11	$72.68	$75.00	13.0%	3.7%	16.3%	3.5%	0.0%	-0.4%	-0.6%	5.5K	-1.9M	-623	0.00	68.69	0	0	283	269
2019-09-12	$72.44	$75.00	13.1%	3.8%	15.9%	3.6%	0.0%	-0.1%	25.4%	4.3K	-1.9M	-366	0.00	97.47	0	0	283	269
2019-09-13	$71.38	$75.00	14.4%	4.1%	15.8%	4.3%	0.0%	0.3%	-1.5%	4.2K	-1.6M	-975	0.00	76.15	11	0	283	269
2019-09-16	$72.28	$75.00	14.8%	4.2%	16.3%	4.5%	0.0%	0.3%	-1.7%	3.3K	-1.9M	-250	0.00	58.88	0	0	281	269
2019-09-17	$72.80	$75.00	59.3%	17.0%	16.0%	29.1%	0.0%	-5.7%	-25.6%	2.2K	-765.8K	-1.4K	0.00	198.86	0	0	281	269
2019-09-18	$72.30	$75.00	14.7%	4.2%	16.1%	4.4%	0.0%	0.1%	-1.3%	3.0K	-2.0M	-133	1.45	65.40	370	538	281	269
2019-09-19	$72.67	$75.00	14.1%	4.0%	16.2%	4.1%	0.0%	-0.5%	-0.8%	-97.6K	-834.2K	-3.2K	0.00	78.23	0	0	237	481
2019-09-20	$73.82	$75.00	14.6%	4.2%	17.0%	4.4%	0.0%	-0.8%	-1.2%	2.4K	-1.1M	-3.1K	0.00	51.14	0	0	237	481
2019-09-23	$73.97	$75.00	14.7%	4.2%	15.2%	4.4%	0.0%	0.2%	-0.7%	2.4K	-199.6K	-3.0K	0.00	83.69	0	0	111	104
2019-09-24	$74.64	$75.00	15.1%	4.3%	15.6%	4.7%	0.0%	-0.4%	-0.9%	2.1K	-286.2K	-2.8K	0.00	70.78	0	0	111	104
2019-09-25	$73.45	$75.00	14.3%	4.1%	15.4%	4.2%	0.0%	0.2%	-0.9%	2.7K	-140.5K	-3.0K	0.00	71.97	0	0	111	104
2019-09-26	$73.53	$75.00	14.5%	4.2%	15.2%	4.3%	0.0%	-0.0%	-0.5%	2.6K	-142.9K	-3.0K	0.00	68.00	0	0	111	104
2019-09-27	$73.27	$75.00	14.4%	4.1%	15.0%	4.3%	0.0%	-0.8%	-0.6%	2.7K	-110.6K	-3.0K	0.00	69.03	0	0	111	104
2019-09-30	$73.46	$75.00	14.3%	4.1%	14.9%	4.2%	0.0%	-0.9%	-0.6%	2.7K	-135.7K	-2.9K	0.00	89.41	0	0	111	104