LTPZ Options History — January 2020

In January 2020, LTPZ traded between $72.55 and $77.04. ATM implied volatility averaged 15.8%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.0% (HV 20d: 11.8%). Max pain ranged from $72.00 to $73.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.43.

Notable Days

2020-01-29: Highest Volume — 91 contracts
2020-01-16: Largest IV spike — 269.1% change
2020-01-16: Highest IV Rank — 16.2%
2020-01-16: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.30	$72.55	$77.04	$73.08	$77.04
Max Pain	$72.17	$72.00	$73.00	$72.00	$72.00
ATM IV	15.8%	9.1%	36.8%	11.8%	12.3%
Expected Move	4.5%	2.6%	10.5%	3.4%	3.5%
HV 20d	11.8%	10.4%	13.1%	11.5%	10.8%
HV 60d	11.7%	11.4%	11.9%	11.4%	11.8%
IV Rank	4.9%	1.3%	16.2%	2.7%	3.0%
IV Percentile	66.1%	32.1%	93.3%	63.1%	64.3%
Term Structure	-3.0%	-49.6%	31.0%	-0.8%	2.3%
VWIV	20.1%	10.0%	62.2%	11.6%	18.4%
Skew 25d	3.4%	-7.1%	36.9%	0.2%	32.0%
Skew 10d	5.4%	-7.1%	69.9%	0.0%	69.9%
Call IV 25d	18.3%	9.4%	60.1%	11.7%	9.4%
Put IV 25d	21.7%	9.9%	62.8%	11.9%	41.4%
Bid-Ask Spread %	98.99	29.42	200.00	78.03	175.94
Gamma HHI	0.29	0.22	0.62	0.23	0.33
Net GEX	14.2K	3.3K	58.3K	12.6K	53.1K
Net DEX	-142.1K	-548.5K	-79.6K	-94.5K	-548.5K
Net VEX	-317	-1.0K	-107	-264	-976
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	3.00	0.00	0.00
Total Volume	6.143	0	91	0	11
Total OI	32.048	22	111	23	111

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
2020-01-02	$73.08	$72.00	11.8%	3.4%	11.5%	2.7%	0.0%	0.2%	-0.8%	12.6K	-94.5K	-264	0.00	78.03	0	0	23	0
2020-01-03	$74.01	$72.00	12.5%	3.6%	12.3%	3.1%	0.0%	-0.2%	-1.0%	11.9K	-111.0K	-253	0.00	79.92	0	0	23	0
2020-01-06	$73.49	$0.00	29.5%	9.0%	12.4%	12.2%	0.0%	-7.1%	-8.4%	8.5K	-97.3K	-269	0.00	190.00	1	0	23	0
2020-01-07	$73.02	$0.00	12.7%	3.3%	12.6%	3.2%	0.0%	-0.4%	0.3%	11.8K	-87.9K	-249	0.00	52.07	0	0	22	0
2020-01-08	$72.55	$0.00	13.1%	3.3%	12.7%	3.4%	11.6%	-0.6%	0.0%	11.8K	-79.6K	-249	0.33	36.90	3	1	22	0
2020-01-09	$72.92	$73.00	11.6%	3.1%	12.9%	2.6%	0.0%	-0.3%	0.4%	13.5K	-92.5K	-303	0.00	36.86	0	0	25	1
2020-01-10	$73.65	$73.00	10.7%	3.0%	13.1%	2.2%	0.0%	-0.7%	0.2%	13.5K	-108.2K	-291	0.00	36.95	1	0	25	1
2020-01-13	$73.58	$73.00	9.6%	2.8%	11.7%	1.6%	10.2%	-0.1%	0.9%	12.5K	-100.3K	-280	0.00	29.42	0	1	24	1
2020-01-14	$73.95	$72.00	11.2%	2.9%	10.8%	2.4%	10.0%	0.0%	0.3%	12.3K	-105.4K	-275	0.00	53.59	6	0	24	2
2020-01-15	$74.13	$72.00	10.0%	2.9%	10.4%	1.8%	0.0%	-0.1%	0.6%	12.0K	-105.9K	-254	0.00	60.90	0	0	23	2
2020-01-16	$73.90	$72.00	36.8%	10.5%	10.5%	16.2%	0.0%	5.5%	-49.6%	8.9K	-93.8K	-285	0.00	198.28	0	0	23	2
2020-01-17	$73.25	$72.00	33.4%	9.6%	11.0%	14.3%	62.2%	2.1%	31.0%	3.3K	-81.7K	-296	0.00	200.00	0	1	23	2
2020-01-21	$74.09	$72.00	10.6%	3.0%	11.7%	2.1%	0.0%	-0.3%	0.4%	9.1K	-96.7K	-243	0.00	62.04	0	0	20	3
2020-01-22	$74.17	$72.00	10.5%	3.0%	11.7%	2.0%	0.0%	-0.2%	0.4%	9.1K	-98.3K	-233	0.00	51.53	0	0	20	3
2020-01-23	$74.58	$72.00	11.1%	3.2%	11.6%	2.4%	0.0%	-0.5%	-0.3%	9.9K	-107.5K	-209	0.00	64.78	0	0	20	3
2020-01-24	$75.23	$72.00	18.1%	5.2%	11.9%	6.1%	17.5%	6.5%	-0.6%	3.8K	-88.2K	-279	0.00	181.32	1	0	20	3
2020-01-27	$75.81	$72.00	13.1%	3.8%	12.1%	3.4%	0.0%	-0.6%	-0.7%	5.2K	-121.8K	-107	1.00	80.14	1	1	19	3
2020-01-28	$75.52	$72.00	9.1%	2.6%	12.3%	1.3%	17.6%	36.9%	0.8%	8.8K	-119.7K	-138	0.00	181.59	6	0	19	3
2020-01-29	$76.06	$72.00	30.8%	8.8%	11.9%	13.0%	19.7%	-0.6%	-39.2%	7.7K	-152.4K	-175	0.00	141.53	91	0	25	3
2020-01-30	$76.20	$72.00	13.2%	3.8%	11.4%	3.5%	13.7%	-0.8%	-0.6%	58.3K	-492.5K	-1.0K	3.00	87.02	1	3	104	3
2020-01-31	$77.04	$72.00	12.3%	3.5%	10.8%	3.0%	18.4%	32.0%	2.3%	53.1K	-548.5K	-976	0.00	175.94	11	0	105	6