LTPZ Options History — April 2020

In April 2020, LTPZ traded between $79.25 and $85.81. ATM implied volatility averaged 32.8%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 13.1% (HV 20d: 45.9%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.17.

Notable Days

2020-04-03: Highest Volume — 53 contracts
2020-04-08: Largest IV spike — 76.6% change
2020-04-03: Highest IV Rank — 38.1%
2020-04-01: Largest Expected Move — 21.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.35	$79.25	$85.81	$79.25	$83.17
Max Pain	$84.67	$82.00	$85.00	$82.00	$85.00
ATM IV	32.8%	20.2%	77.5%	75.9%	20.2%
Expected Move	8.6%	5.8%	21.8%	21.8%	5.8%
HV 20d	45.9%	19.6%	70.8%	70.4%	21.5%
HV 60d	41.8%	41.0%	42.3%	41.0%	42.3%
IV Rank	14.0%	7.3%	38.1%	37.2%	7.3%
IV Percentile	83.1%	74.6%	97.6%	97.2%	74.6%
Term Structure	-3.7%	-29.0%	4.6%	-29.0%	-0.7%
VWIV	27.6%	24.5%	30.0%	28.7%	24.5%
Skew 25d	-0.2%	-4.7%	8.3%	4.4%	-1.4%
Skew 10d	4.4%	-3.3%	32.4%	32.4%	-2.1%
Call IV 25d	33.2%	17.9%	100.5%	100.5%	21.4%
Put IV 25d	33.0%	18.4%	104.8%	104.8%	20.0%
Bid-Ask Spread %	106.00	52.08	177.38	172.58	81.84
Gamma HHI	0.46	0.31	0.64	0.46	0.34
Net GEX	36.8K	10.1K	67.7K	10.1K	48.5K
Net DEX	-427.3K	-620.4K	-204.0K	-204.0K	-411.0K
Net VEX	-1.1K	-1.4K	-555	-560	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	1.50	0.00	0.00
Total Volume	6.143	0	53	0	0
Total OI	104.667	59	124	59	119

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
2020-04-01	$79.25	$82.00	75.9%	21.8%	70.4%	37.2%	0.0%	4.4%	-29.0%	10.1K	-204.0K	-560	0.00	172.58	0	0	57	2
2020-04-02	$81.40	$0.00	76.4%	14.8%	70.8%	37.4%	0.0%	6.0%	-10.6%	11.6K	-229.5K	-555	0.00	161.46	7	0	57	2
2020-04-03	$82.80	$0.00	77.5%	13.5%	70.1%	38.1%	0.0%	8.3%	-17.0%	11.2K	-289.7K	-580	0.06	158.67	50	3	64	2
2020-04-06	$82.71	$0.00	24.0%	6.5%	70.0%	9.3%	0.0%	0.4%	0.5%	38.6K	-443.4K	-1.1K	0.00	114.76	0	0	106	5
2020-04-07	$82.62	$0.00	27.4%	6.6%	64.2%	11.1%	0.0%	0.1%	-0.2%	36.5K	-443.7K	-1.1K	0.00	131.83	0	0	106	5
2020-04-08	$81.60	$0.00	48.3%	13.8%	62.7%	22.4%	0.0%	6.7%	-13.7%	20.1K	-444.6K	-1.2K	1.50	177.38	2	3	106	5
2020-04-09	$83.24	$0.00	22.5%	6.4%	59.4%	8.5%	0.0%	0.2%	4.6%	43.7K	-473.5K	-1.1K	0.00	127.28	0	0	108	8
2020-04-13	$83.69	$0.00	22.7%	6.5%	59.4%	8.6%	0.0%	-0.1%	0.9%	59.9K	-420.9K	-1.2K	0.00	53.02	2	0	105	8
2020-04-14	$83.79	$0.00	21.6%	6.2%	59.4%	8.0%	0.0%	-0.2%	1.1%	67.7K	-424.1K	-1.2K	0.00	70.25	0	0	107	8
2020-04-15	$84.51	$0.00	24.4%	7.0%	54.1%	9.5%	0.0%	-4.7%	-0.3%	58.1K	-509.6K	-1.1K	0.00	129.40	0	0	107	8
2020-04-16	$82.96	$0.00	24.9%	7.1%	52.5%	9.8%	0.0%	-2.4%	0.0%	41.4K	-343.9K	-1.1K	0.00	57.38	0	0	107	8
2020-04-17	$81.77	$0.00	27.8%	8.0%	53.0%	11.3%	0.0%	-4.2%	-1.8%	16.3K	-284.2K	-1.1K	0.00	84.93	0	2	107	8
2020-04-20	$81.80	$0.00	26.6%	7.6%	36.2%	10.7%	28.7%	-3.1%	-0.5%	13.2K	-275.8K	-1.1K	0.00	52.08	36	0	63	8
2020-04-21	$83.60	$85.00	28.0%	8.0%	25.1%	11.5%	30.0%	-4.6%	-1.5%	29.3K	-439.0K	-1.4K	0.00	67.72	2	0	99	8
2020-04-22	$84.44	$85.00	25.3%	7.2%	23.6%	10.0%	0.0%	-2.1%	-6.2%	37.9K	-505.6K	-1.2K	0.00	129.92	0	0	101	8
2020-04-23	$84.62	$85.00	25.9%	7.4%	23.2%	10.3%	27.3%	-3.3%	0.0%	34.0K	-491.0K	-1.3K	0.00	70.38	2	0	101	8
2020-04-24	$85.81	$85.00	24.5%	7.0%	23.3%	9.6%	24.5%	-2.5%	-0.2%	36.8K	-559.3K	-1.3K	0.00	78.82	12	0	103	8
2020-04-27	$85.59	$85.00	21.8%	6.3%	23.2%	8.1%	0.0%	2.5%	-0.9%	49.3K	-610.0K	-1.3K	0.00	131.44	0	1	115	8
2020-04-28	$85.76	$85.00	22.0%	6.3%	21.9%	8.2%	0.0%	-2.2%	-1.1%	52.8K	-620.4K	-1.3K	0.00	84.17	7	0	115	9
2020-04-29	$85.17	$85.00	20.5%	5.9%	19.6%	7.4%	0.0%	-1.0%	-0.4%	55.3K	-551.1K	-1.2K	0.00	90.72	0	0	110	9
2020-04-30	$83.17	$85.00	20.2%	5.8%	21.5%	7.3%	0.0%	-1.4%	-0.7%	48.5K	-411.0K	-1.2K	0.00	81.84	0	0	110	9