LTPZ Options History — May 2020 In May 2020, LTPZ traded between $81.79 and $83.48. ATM implied volatility averaged 20.3%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.4% (HV 20d: 16.9%). Max pain ranged from $70.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2020-05-28 : Highest Volume — 52 contracts2020-05-22 : Largest IV spike — 44.9% change2020-05-07 : Highest IV Rank — 10.6%2020-05-11 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $82.53 $81.79 $83.48 $83.02 $82.44 Max Pain $70.75 $70.00 $85.00 $85.00 $70.00 ATM IV 20.3% 12.3% 27.5% 19.4% 17.2% Expected Move 5.3% 3.5% 6.0% 5.6% 4.9% HV 20d 16.9% 11.7% 20.1% 19.5% 11.7% HV 60d 42.4% 42.2% 42.5% 42.3% 42.3% IV Rank 6.7% 2.3% 10.6% 6.9% 4.8% IV Percentile 71.1% 37.7% 82.1% 74.2% 67.1% Term Structure 1.2% -0.5% 6.0% 0.0% -0.4% VWIV 20.3% 17.2% 23.2% 22.0% 17.2% Skew 25d -0.1% -2.2% 5.0% -1.8% -0.5% Skew 10d -0.6% -4.2% 3.4% -4.2% -1.4% Call IV 25d 19.0% 10.6% 22.0% 21.3% 18.3% Put IV 25d 18.9% 10.2% 22.3% 19.5% 17.8% Bid-Ask Spread % 83.48 52.63 132.96 82.42 77.39 Gamma HHI 0.40 0.28 0.75 0.34 0.41 Net GEX 39.5K 19.9K 99.6K 48.9K 60.5K Net DEX -305.4K -408.6K -229.5K -408.6K -398.5K Net VEX -935 -1.2K -725 -1.2K -1.1K 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 5.3 0 52 0 0 Total OI 98.7 69 129 119 122
Daily Data (20 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 2020-05-01 $83.02 $85.00 19.4% 5.6% 19.5% 6.9% 0.0% -1.8% 0.0% 48.9K -408.6K -1.2K 0.00 82.42 0 0 110 9 2020-05-04 $83.01 $70.00 20.8% 5.5% 18.6% 7.4% 0.0% -1.7% 0.6% 50.2K -367.0K -1.1K 0.00 68.61 12 0 106 9 2020-05-05 $83.48 $70.00 24.6% 4.5% 18.7% 9.4% 0.0% 0.5% 5.3% 48.3K -394.7K -1.1K 0.00 129.54 2 0 106 9 2020-05-06 $81.92 $70.00 27.2% 5.6% 19.9% 10.5% 0.0% 0.8% 2.5% 35.7K -361.6K -1.1K 0.00 131.26 0 0 108 9 2020-05-07 $83.16 $70.00 27.5% 5.5% 20.1% 10.6% 0.0% 0.1% 2.5% 53.8K -382.5K -1.1K 0.00 126.75 0 0 108 9 2020-05-08 $82.53 $70.00 21.4% 5.8% 19.0% 7.4% 22.0% 0.5% 0.5% 48.2K -305.1K -993 0.00 52.63 1 0 108 9 2020-05-11 $82.05 $70.00 26.9% 6.0% 19.0% 10.3% 21.6% 0.6% -0.2% 37.2K -266.3K -920 0.00 53.93 11 0 97 9 2020-05-12 $82.08 $70.00 25.1% 5.7% 19.0% 9.4% 23.2% -0.3% 0.7% 39.0K -280.1K -967 0.00 59.49 1 0 108 9 2020-05-13 $82.65 $70.00 19.8% 5.7% 18.9% 6.5% 0.0% -1.8% 0.5% 46.4K -302.6K -962 0.00 62.40 1 0 108 9 2020-05-14 $82.88 $70.00 19.7% 5.7% 17.7% 6.5% 0.0% -2.2% 0.1% 42.1K -298.4K -921 0.00 73.07 13 0 108 9 2020-05-15 $83.15 $70.00 19.2% 5.5% 16.9% 6.2% 0.0% -1.5% 0.5% 99.6K -358.5K -900 0.00 66.07 0 0 120 9 2020-05-18 $82.35 $70.00 19.8% 5.7% 17.3% 6.5% 20.8% 0.3% -0.1% 21.2K -260.6K -886 0.00 60.96 2 0 65 9 2020-05-19 $82.35 $70.00 15.7% 4.5% 15.4% 4.3% 19.4% 5.0% 6.0% 23.8K -257.8K -874 0.00 132.96 10 0 67 9 2020-05-20 $82.84 $70.00 19.1% 5.5% 15.0% 6.2% 0.0% -0.7% 0.4% 19.9K -266.6K -815 0.00 68.73 0 0 60 9 2020-05-21 $82.58 $70.00 12.3% 3.5% 15.0% 2.3% 0.0% -0.3% 5.5% 27.4K -250.6K -774 0.00 117.81 0 0 60 9 2020-05-22 $82.52 $70.00 17.8% 5.1% 13.9% 5.1% 0.0% -0.4% 0.1% 22.1K -257.0K -796 0.00 71.97 0 0 60 9 2020-05-26 $81.79 $70.00 17.8% 5.1% 14.1% 5.1% 18.1% 0.3% -0.1% 21.7K -230.7K -750 0.00 73.78 0 1 60 9 2020-05-27 $81.86 $70.00 17.8% 5.1% 14.1% 5.1% 0.0% 0.1% -0.5% 21.6K -229.5K -753 0.00 72.35 0 0 60 10 2020-05-28 $81.93 $70.00 16.7% 4.8% 14.0% 4.5% 17.2% 0.4% -0.2% 23.3K -230.4K -725 0.00 87.43 52 0 60 10 2020-05-29 $82.44 $70.00 17.2% 4.9% 11.7% 4.8% 0.0% -0.5% -0.4% 60.5K -398.5K -1.1K 0.00 77.39 0 0 112 10
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