LTPZ Options History — February 2020 In February 2020, LTPZ traded between $74.91 and $79.56. ATM implied volatility averaged 15.7%, 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 4.1% (HV 20d: 11.7%). Max pain ranged from $71.00 to $74.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2020-02-03 : Highest Volume — 45 contracts2020-02-27 : Largest IV spike — 192.5% change2020-02-27 : Highest IV Rank — 20.8%2020-02-27 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $76.85 $74.91 $79.56 $76.55 $79.56 Max Pain $73.37 $71.00 $74.00 $72.00 $74.00 ATM IV 15.7% 9.9% 45.5% 14.2% 14.8% Expected Move 4.5% 2.8% 13.0% 4.1% 4.2% HV 20d 11.7% 10.6% 12.3% 10.6% 12.1% HV 60d 12.2% 11.9% 12.4% 11.9% 12.1% IV Rank 4.9% 1.7% 20.8% 4.1% 4.4% IV Percentile 67.2% 35.7% 94.8% 78.2% 83.7% Term Structure 0.8% -3.1% 23.7% -1.2% -3.1% VWIV 37.2% 8.9% 69.5% 14.0% 56.4% Skew 25d 4.7% -3.1% 59.3% -0.7% -3.1% Skew 10d 5.6% -4.6% 75.2% -2.5% -2.3% Call IV 25d 15.3% 7.1% 56.4% 14.5% 15.8% Put IV 25d 20.0% 10.8% 86.0% 13.8% 12.7% Bid-Ask Spread % 104.53 66.04 183.70 76.85 157.94 Gamma HHI 0.51 0.23 0.92 0.32 0.58 Net GEX 46.5K 4.3K 142.6K 57.0K 28.3K Net DEX -257.1K -501.9K -126.0K -501.9K -278.5K Net VEX -560 -1.0K -280 -1.0K -489 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 5 0 45 45 0 Total OI 64.474 29 108 108 60
Daily Data (19 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 2020-02-03 $76.55 $72.00 14.2% 4.1% 10.6% 4.1% 14.0% -0.7% -1.2% 57.0K -501.9K -1.0K 0.00 76.85 45 0 103 5 2020-02-04 $75.57 $72.00 12.4% 3.5% 11.4% 3.1% 0.0% -0.8% -0.3% 60.3K -412.3K -1.0K 0.00 94.35 10 0 102 5 2020-02-05 $74.91 $72.00 11.9% 3.4% 11.6% 2.8% 8.9% -1.0% -0.6% 55.5K -350.5K -1.0K 0.00 87.46 5 0 102 5 2020-02-06 $75.45 $71.00 11.0% 3.2% 11.4% 2.3% 0.0% -1.1% 0.6% 63.1K -397.6K -959 0.00 66.04 0 0 102 5 2020-02-07 $76.04 $71.00 12.6% 3.4% 11.6% 3.2% 0.0% -1.1% -0.4% 64.5K -459.5K -935 0.00 71.77 0 0 102 5 2020-02-10 $76.58 $74.00 13.5% 3.6% 11.4% 3.7% 0.0% -0.5% -1.0% 38.8K -215.5K -498 0.00 74.18 0 0 52 5 2020-02-11 $75.83 $74.00 12.4% 3.5% 12.1% 3.1% 0.0% -0.8% -0.8% 36.8K -169.5K -474 0.00 73.60 0 0 52 5 2020-02-12 $75.49 $74.00 11.4% 3.3% 12.2% 2.5% 0.0% -0.7% -0.1% 34.8K -149.6K -459 0.00 84.07 0 0 52 5 2020-02-13 $75.94 $74.00 11.5% 3.3% 12.3% 2.6% 0.0% -0.5% -0.0% 40.1K -167.1K -452 0.00 92.90 0 0 52 5 2020-02-14 $76.20 $74.00 11.4% 3.3% 12.2% 2.5% 0.0% -0.9% 0.1% 48.8K -179.1K -443 0.00 89.07 0 0 52 5 2020-02-18 $76.75 $74.00 12.3% 3.5% 11.7% 3.0% 0.0% -0.5% -0.6% 71.9K -220.3K -414 0.00 94.66 0 0 52 5 2020-02-19 $76.63 $74.00 12.2% 3.5% 11.3% 3.0% 0.0% -0.4% -0.4% 86.0K -200.8K -395 0.00 95.39 0 0 52 5 2020-02-20 $77.11 $74.00 12.5% 3.6% 11.4% 3.1% 0.0% -0.5% -0.4% 142.6K -263.6K -371 0.00 87.84 0 0 52 5 2020-02-21 $77.74 $74.00 14.1% 4.0% 11.6% 4.0% 0.0% -0.2% -1.3% 32.9K -349.8K -291 0.00 103.05 1 0 52 5 2020-02-24 $78.54 $74.00 39.6% 11.4% 11.7% 17.7% 69.5% 59.3% 23.7% 7.4K -127.9K -410 0.00 168.34 0 3 26 3 2020-02-25 $78.51 $74.00 9.9% 2.8% 11.5% 1.7% 0.0% 10.7% 4.1% 5.0K -158.1K -309 0.00 168.53 0 0 26 3 2020-02-26 $78.10 $74.00 15.5% 4.5% 11.6% 4.8% 0.0% 2.4% -0.8% 5.5K -157.2K -280 0.00 116.31 0 0 26 3 2020-02-27 $78.71 $74.00 45.5% 13.0% 11.7% 20.8% 56.4% 29.6% -2.3% 4.3K -126.0K -421 0.00 183.70 31 0 26 3 2020-02-28 $79.56 $74.00 14.8% 4.2% 12.1% 4.4% 0.0% -3.1% -3.1% 28.3K -278.5K -489 0.00 157.94 0 0 57 3
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