LTPZ Options History — March 2020

In March 2020, LTPZ traded between $65.76 and $84.51. ATM implied volatility averaged 49.6%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 6.5% (HV 20d: 43.0%). Max pain ranged from $76.00 to $82.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.37.

Notable Days

2020-03-25: Highest Volume — 34 contracts
2020-03-05: Largest IV spike — 354.2% change
2020-03-10: Highest IV Rank — 49.3%
2020-03-31: Largest Expected Move — 21.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.11	$65.76	$84.51	$79.28	$78.11
Max Pain	$81.14	$76.00	$82.00	$76.00	$82.00
ATM IV	49.6%	16.7%	98.4%	20.8%	74.8%
Expected Move	12.3%	4.8%	21.4%	6.0%	21.4%
HV 20d	43.0%	10.8%	70.1%	11.8%	70.1%
HV 60d	27.0%	11.4%	41.0%	11.4%	41.0%
IV Rank	23.1%	5.4%	49.3%	7.6%	36.6%
IV Percentile	92.1%	84.5%	98.8%	89.7%	96.4%
Term Structure	-10.3%	-30.5%	1.9%	-3.4%	-28.4%
VWIV	43.4%	31.4%	55.8%	55.8%	41.9%
Skew 25d	-0.3%	-32.5%	20.9%	-1.8%	2.6%
Skew 10d	2.7%	-46.6%	34.3%	-2.9%	25.9%
Call IV 25d	48.3%	17.1%	100.5%	22.5%	100.5%
Put IV 25d	48.1%	14.6%	103.1%	20.6%	103.1%
Bid-Ask Spread %	132.90	56.60	181.80	86.04	174.00
Gamma HHI	0.41	0.15	0.75	0.62	0.43
Net GEX	11.4K	1.9K	32.3K	23.3K	9.8K
Net DEX	-169.7K	-364.9K	11.1K	-227.1K	-183.8K
Net VEX	-467	-616	-297	-475	-560
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	1.00	0.00	0.00
Total Volume	3.455	0	34	0	0
Total OI	60.773	26	76	54	59

Daily Data (22 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
2020-03-02	$79.28	$76.00	20.8%	6.0%	11.8%	7.6%	0.0%	-1.8%	-3.4%	23.3K	-227.1K	-475	0.00	86.04	0	0	51	3
2020-03-03	$80.52	$76.00	18.1%	5.2%	12.4%	6.1%	55.8%	-2.7%	1.9%	27.7K	-272.8K	-459	0.00	167.90	9	0	51	3
2020-03-04	$80.60	$76.00	16.7%	4.8%	11.0%	5.4%	0.0%	-0.6%	-1.7%	32.3K	-353.7K	-432	0.00	122.65	0	0	60	3
2020-03-05	$81.80	$0.00	75.8%	13.8%	10.8%	37.2%	48.2%	11.0%	-12.1%	12.1K	-313.9K	-564	1.00	178.18	2	2	60	3
2020-03-06	$84.51	$82.00	76.6%	12.7%	14.7%	37.6%	45.5%	20.9%	-13.0%	10.3K	-364.9K	-589	1.00	174.23	2	2	62	5
2020-03-09	$83.43	$82.00	87.0%	13.3%	16.1%	43.2%	0.0%	14.6%	-11.3%	10.2K	-342.9K	-585	0.00	178.93	0	1	62	5
2020-03-10	$77.40	$82.00	98.4%	14.5%	32.5%	49.3%	0.0%	-13.3%	-16.9%	10.1K	-225.6K	-616	0.00	181.80	0	0	62	6
2020-03-11	$74.60	$82.00	63.3%	18.1%	34.9%	30.4%	0.0%	11.0%	-12.9%	10.0K	-168.3K	-582	0.00	140.70	0	0	62	6
2020-03-12	$70.93	$82.00	43.4%	12.4%	39.1%	19.7%	0.0%	-5.4%	-11.5%	8.5K	-66.1K	-458	0.33	123.65	9	3	62	6
2020-03-13	$72.10	$82.00	30.5%	8.8%	39.6%	12.8%	31.4%	-7.0%	-2.9%	7.8K	-48.7K	-437	0.00	113.45	3	0	62	9
2020-03-16	$72.60	$82.00	40.0%	11.5%	39.7%	17.9%	0.0%	-12.0%	-7.5%	10.5K	-96.5K	-477	0.00	56.60	5	0	65	9
2020-03-17	$68.45	$82.00	61.7%	17.7%	44.3%	29.5%	0.0%	-32.5%	-30.5%	6.7K	-38.1K	-388	0.00	154.70	0	0	67	9
2020-03-18	$66.08	$82.00	47.7%	13.7%	45.4%	22.0%	0.0%	-10.3%	-9.7%	2.6K	4.2K	-308	0.00	109.82	0	0	67	9
2020-03-19	$65.76	$82.00	49.6%	14.2%	45.2%	23.1%	0.0%	15.9%	-6.2%	1.9K	11.1K	-297	0.00	106.41	0	0	67	9
2020-03-20	$73.74	$82.00	72.5%	20.8%	62.6%	35.3%	0.0%	2.2%	-26.4%	6.5K	-56.5K	-383	1.00	149.15	1	1	67	9
2020-03-23	$79.69	$82.00	41.7%	12.0%	68.7%	18.8%	37.4%	3.6%	-1.8%	3.0K	-115.8K	-383	0.00	79.65	2	0	24	2
2020-03-24	$81.87	$82.00	34.0%	9.7%	69.3%	14.7%	0.0%	0.9%	-1.3%	3.2K	-132.4K	-360	0.00	87.60	0	0	24	2
2020-03-25	$81.13	$82.00	61.9%	17.7%	69.4%	29.7%	41.9%	3.2%	-19.9%	3.5K	-129.5K	-355	0.00	169.10	34	0	24	2
2020-03-26	$82.14	$82.00	27.1%	7.8%	69.5%	11.0%	0.0%	1.1%	-2.7%	18.2K	-230.6K	-566	0.00	132.49	0	0	58	2
2020-03-27	$81.56	$82.00	24.5%	7.0%	69.5%	9.6%	0.0%	-1.0%	-0.9%	18.3K	-207.7K	-510	0.00	95.46	0	0	58	2
2020-03-30	$80.09	$82.00	24.7%	7.1%	69.8%	9.7%	0.0%	-5.9%	-7.3%	14.5K	-173.7K	-494	0.00	141.21	0	0	57	2
2020-03-31	$78.11	$82.00	74.8%	21.4%	70.1%	36.6%	0.0%	2.6%	-28.4%	9.8K	-183.8K	-560	0.00	174.00	0	0	57	2