LTPZ Options History — December 2019

In December 2019, LTPZ traded between $71.94 and $74.24. ATM implied volatility averaged 13.5%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.3% (HV 20d: 13.1%). Max pain ranged from $73.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.53.

Notable Days

2019-12-19: Highest Volume — 142 contracts
2019-12-03: Largest IV drop — 69.7% change
2019-12-02: Highest IV Rank — 20.4%
2019-12-02: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.11	$71.94	$74.24	$72.64	$71.94
Max Pain	$74.68	$73.00	$75.00	$73.00	$75.00
ATM IV	13.5%	10.4%	44.6%	44.6%	11.6%
Expected Move	4.1%	3.0%	12.8%	12.8%	3.3%
HV 20d	13.1%	10.6%	14.4%	10.6%	12.8%
HV 60d	11.6%	10.9%	12.4%	11.9%	10.9%
IV Rank	3.7%	2.0%	20.4%	20.4%	2.6%
IV Percentile	65.8%	52.0%	93.7%	93.7%	62.3%
Term Structure	-0.4%	-6.9%	0.7%	-2.1%	-0.4%
VWIV	11.5%	10.6%	12.4%	12.4%	11.5%
Skew 25d	2.1%	-8.7%	28.1%	28.1%	0.6%
Skew 10d	0.7%	-9.3%	23.5%	-0.2%	1.9%
Call IV 25d	13.5%	10.3%	36.1%	10.3%	11.7%
Put IV 25d	15.6%	10.7%	59.5%	38.3%	12.3%
Bid-Ask Spread %	83.93	45.14	200.00	171.96	64.02
Gamma HHI	0.46	0.26	0.76	0.63	0.32
Net GEX	11.6K	6.1K	46.5K	6.1K	8.8K
Net DEX	-184.3K	-430.7K	36.7K	-20.0K	-61.5K
Net VEX	-765	-1.4K	-196	-1.4K	-249
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.00	2.64	0.00	0.00
Total Volume	7.476	0	142	0	3
Total OI	161.286	20	226	219	20

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
2019-12-02	$72.64	$73.00	44.6%	12.8%	10.6%	20.4%	0.0%	28.1%	-2.1%	6.1K	-20.0K	-1.4K	0.00	171.96	0	0	116	103
2019-12-03	$74.24	$73.00	13.5%	3.9%	13.1%	3.7%	0.0%	-0.0%	-1.2%	6.2K	-430.7K	-1.2K	0.00	104.52	0	0	116	103
2019-12-04	$73.81	$73.00	13.1%	3.8%	13.1%	3.4%	0.0%	0.2%	-1.3%	7.2K	-341.3K	-1.2K	0.00	133.23	0	0	116	103
2019-12-05	$73.40	$0.00	13.4%	9.9%	13.1%	3.6%	0.0%	23.5%	-6.9%	6.6K	-180.1K	-1.3K	0.00	200.00	0	0	116	103
2019-12-06	$73.20	$0.00	13.2%	3.5%	12.0%	3.5%	12.4%	-0.0%	-0.1%	9.0K	-164.5K	-1.3K	0.00	47.63	2	0	116	103
2019-12-09	$73.40	$75.00	14.3%	3.6%	12.0%	4.1%	0.0%	-0.2%	0.1%	9.9K	-232.2K	-1.1K	0.00	45.14	0	0	118	103
2019-12-10	$73.31	$75.00	14.1%	3.6%	12.0%	4.0%	0.0%	-0.2%	0.1%	11.7K	-230.7K	-1.2K	0.00	52.08	0	0	123	103
2019-12-11	$73.80	$75.00	12.0%	3.4%	12.2%	2.8%	0.0%	0.3%	0.0%	10.1K	-422.7K	-993	0.00	79.40	0	0	123	103
2019-12-12	$72.60	$75.00	11.6%	3.3%	13.7%	2.6%	0.0%	-0.4%	0.4%	15.3K	36.7K	-1.1K	0.00	50.53	0	0	123	103
2019-12-13	$73.59	$75.00	11.0%	3.1%	14.2%	2.3%	0.0%	-0.2%	0.7%	11.6K	-405.2K	-904	0.00	58.63	0	0	123	103
2019-12-16	$73.04	$75.00	10.7%	3.1%	14.4%	2.2%	0.0%	0.1%	0.2%	14.5K	-156.6K	-806	0.00	52.85	0	0	123	103
2019-12-17	$73.08	$75.00	10.4%	3.0%	14.4%	2.0%	0.0%	-0.3%	0.6%	13.7K	-186.1K	-709	0.00	62.78	0	0	123	103
2019-12-18	$72.97	$75.00	10.6%	3.0%	14.0%	2.1%	10.6%	0.3%	0.5%	14.1K	-92.6K	-615	0.00	86.31	2	0	123	103
2019-12-19	$73.17	$75.00	10.5%	3.0%	13.7%	2.0%	0.0%	0.5%	0.7%	7.5K	-334.8K	-457	2.64	67.34	39	103	123	103
2019-12-20	$73.10	$75.00	10.4%	3.0%	13.7%	2.0%	0.0%	0.7%	0.7%	46.5K	-275.4K	-196	0.00	57.51	8	0	84	59
2019-12-23	$72.80	$75.00	10.6%	3.0%	13.7%	2.1%	0.0%	0.3%	0.2%	8.9K	-74.1K	-271	0.00	60.70	0	0	20	0
2019-12-24	$72.87	$75.00	11.0%	3.2%	13.5%	2.3%	0.0%	-0.0%	-0.0%	9.1K	-75.4K	-266	0.00	85.63	0	0	20	0
2019-12-26	$72.99	$75.00	14.1%	4.1%	13.4%	4.0%	0.0%	-8.7%	-0.6%	7.6K	-77.6K	-262	0.00	150.06	0	0	20	0
2019-12-27	$72.95	$75.00	10.8%	3.1%	13.3%	2.2%	0.0%	0.1%	-0.0%	9.4K	-76.3K	-262	0.00	72.54	0	0	20	0
2019-12-30	$72.40	$75.00	11.7%	3.4%	13.2%	2.7%	0.0%	0.1%	-0.5%	9.1K	-69.3K	-255	0.00	59.59	0	0	20	0
2019-12-31	$71.94	$75.00	11.6%	3.3%	12.8%	2.6%	11.5%	0.6%	-0.4%	8.8K	-61.5K	-249	0.00	64.02	3	0	20	0