LTPZ Options History — November 2019 In November 2019, LTPZ traded between $71.60 and $74.46. ATM implied volatility averaged 21.8%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 11.9% (HV 20d: 9.9%). Max pain ranged from $72.00 to $73.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-11-25 : Highest Volume — 5 contracts2019-11-12 : Largest IV spike — 1246.2% change2019-11-12 : Highest IV Rank — 100.0%2019-11-12 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $72.81 $71.60 $74.46 $72.80 $73.46 Max Pain $72.95 $72.00 $73.00 $72.00 $73.00 ATM IV 21.8% 11.0% 192.8% 28.9% 11.5% Expected Move 4.0% 3.2% 10.9% 8.3% 3.3% HV 20d 9.9% 9.2% 10.8% 9.7% 9.7% HV 60d 12.6% 11.8% 13.5% 13.5% 11.8% IV Rank 8.2% 2.3% 100.0% 12.3% 2.6% IV Percentile 70.1% 60.7% 100.0% 91.7% 62.7% Term Structure -0.4% -6.8% 3.1% 3.1% -0.6% Skew 25d -3.5% -80.4% 6.1% -80.4% 0.1% Skew 10d -3.1% -80.4% 15.2% -80.4% 1.2% Call IV 25d 19.0% 11.3% 99.4% 99.4% 11.6% Put IV 25d 15.4% 11.2% 72.8% 19.0% 11.7% Bid-Ask Spread % 109.42 76.01 194.81 194.81 112.55 Gamma HHI 0.64 0.54 0.71 0.60 0.64 Net GEX 7.7K 2.7K 10.8K 2.7K 8.0K Net DEX -86.7K -467.0K 165.9K -87.1K -238.9K Net VEX -1.9K -2.4K -1.3K -2.4K -1.5K 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 0.3 0 5 0 0 Total OI 219.55 219 220 220 219
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 2019-11-01 $72.80 $72.00 28.9% 8.3% 9.7% 12.3% 0.0% -80.4% 3.1% 2.7K -87.1K -2.4K 0.00 194.81 0 0 117 103 2019-11-04 $72.62 $73.00 11.8% 3.2% 9.6% 2.8% 0.0% 0.1% 0.2% 8.6K -25.4K -2.3K 0.00 83.86 0 0 117 103 2019-11-05 $72.24 $73.00 12.3% 3.3% 9.5% 3.1% 0.0% -0.1% -0.1% 8.8K 55.2K -2.2K 0.00 85.27 0 0 117 103 2019-11-06 $72.71 $73.00 12.0% 3.4% 9.5% 3.0% 0.0% -0.0% -0.1% 8.5K -44.1K -2.2K 0.00 103.35 0 0 117 103 2019-11-07 $71.69 $73.00 13.1% 3.6% 10.2% 3.6% 0.0% 0.4% -0.4% 8.4K 156.1K -2.0K 0.00 98.94 0 0 117 103 2019-11-08 $71.60 $73.00 12.3% 3.7% 10.1% 3.1% 0.0% 1.0% -0.5% 8.7K 151.6K -2.0K 0.00 76.01 0 0 117 103 2019-11-11 $71.70 $73.00 14.3% 3.7% 9.8% 4.2% 0.0% 0.8% -0.5% 9.1K 165.9K -1.9K 0.00 82.31 0 0 117 103 2019-11-12 $71.91 $73.00 192.8% 10.9% 9.3% 100.0% 0.0% 6.1% -6.8% 2.8K -42.5K -2.1K 0.00 190.72 0 0 117 103 2019-11-13 $71.78 $73.00 12.3% 3.5% 9.2% 3.0% 0.0% 0.7% -0.3% 10.5K 161.2K -1.9K 0.00 84.79 0 0 117 103 2019-11-14 $72.40 $73.00 12.3% 3.5% 9.7% 3.0% 0.0% 0.7% -0.3% 10.2K 33.3K -2.0K 0.00 103.89 0 0 117 103 2019-11-15 $72.20 $73.00 11.5% 3.3% 9.7% 2.6% 0.0% 0.3% 0.2% 10.8K 78.0K -1.9K 0.00 92.27 1 0 117 103 2019-11-18 $72.43 $73.00 11.6% 3.3% 9.7% 2.6% 0.0% 0.4% -0.4% 8.4K 44.2K -1.9K 0.00 101.81 0 0 116 103 2019-11-19 $73.12 $73.00 11.2% 3.2% 10.3% 2.5% 0.0% -0.1% -0.3% 7.9K -127.3K -1.9K 0.00 102.71 0 0 116 103 2019-11-20 $73.71 $73.00 11.9% 3.4% 10.6% 2.8% 0.0% -0.3% -0.7% 7.1K -269.3K -1.8K 0.00 115.68 0 0 116 103 2019-11-21 $73.45 $73.00 11.3% 3.2% 10.7% 2.5% 0.0% -0.2% -0.3% 7.7K -202.6K -1.8K 0.00 107.95 0 0 116 103 2019-11-22 $73.73 $73.00 11.3% 3.2% 10.8% 2.5% 0.0% -0.1% -0.3% 7.2K -293.5K -1.7K 0.00 109.70 0 0 116 103 2019-11-25 $74.04 $73.00 11.5% 3.3% 10.0% 2.6% 0.0% -0.0% -0.3% 6.7K -369.3K -1.5K 0.00 126.52 5 0 116 103 2019-11-26 $74.46 $73.00 11.5% 3.3% 9.8% 2.6% 0.0% 0.2% -0.5% 5.7K -467.0K -1.3K 0.00 100.71 0 0 116 103 2019-11-27 $74.12 $73.00 11.0% 3.2% 9.8% 2.3% 0.0% 0.1% -0.1% 6.4K -412.3K -1.4K 0.00 114.55 0 0 116 103 2019-11-29 $73.46 $73.00 11.5% 3.3% 9.7% 2.6% 0.0% 0.1% -0.6% 8.0K -238.9K -1.5K 0.00 112.55 0 0 116 103
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