LTPZ Options History — June 2020

In June 2020, LTPZ traded between $79.65 and $84.09. ATM implied volatility averaged 21.4%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 9.6% (HV 20d: 11.8%). Max pain ranged from $70.00 to $84.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.04.

Notable Days

2020-06-04: Highest Volume — 127 contracts
2020-06-16: Largest IV spike — 90.4% change
2020-06-16: Highest IV Rank — 14.2%
2020-06-04: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.97	$79.65	$84.09	$82.21	$83.40
Max Pain	$80.38	$70.00	$84.00	$70.00	$83.00
ATM IV	21.4%	14.8%	34.5%	18.1%	14.8%
Expected Move	6.4%	4.3%	10.5%	5.2%	4.3%
HV 20d	11.8%	8.8%	13.0%	11.7%	12.6%
HV 60d	27.4%	14.5%	42.2%	42.2%	14.5%
IV Rank	7.0%	3.5%	14.2%	5.3%	3.5%
IV Percentile	69.4%	52.8%	86.1%	69.0%	52.8%
Term Structure	-1.4%	-7.4%	3.3%	-0.9%	1.1%
VWIV	17.7%	15.4%	20.9%	20.9%	16.6%
Skew 25d	1.9%	-11.8%	25.6%	-0.4%	-0.6%
Skew 10d	3.3%	-12.8%	28.0%	-0.7%	-1.1%
Call IV 25d	19.5%	11.3%	39.2%	18.9%	15.5%
Put IV 25d	21.4%	14.0%	39.6%	18.5%	14.9%
Bid-Ask Spread %	108.73	22.31	197.90	83.04	79.13
Gamma HHI	0.43	0.23	0.63	0.42	0.61
Net GEX	50.2K	13.1K	79.8K	60.4K	79.8K
Net DEX	-308.3K	-495.1K	-162.6K	-370.8K	-421.0K
Net VEX	-877	-1.2K	-532	-1.0K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.11	0.09	0.00
Total Volume	12.455	0	127	0	0
Total OI	114.864	44	128	122	119

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
2020-06-01	$82.21	$70.00	18.1%	5.2%	11.7%	5.3%	0.0%	-0.4%	-0.9%	60.4K	-370.8K	-1.0K	0.00	83.04	0	0	112	10
2020-06-02	$81.78	$70.00	18.2%	5.2%	11.8%	5.3%	0.0%	0.0%	-0.6%	55.7K	-344.0K	-1.0K	0.00	78.49	0	0	112	10
2020-06-03	$80.94	$70.00	19.6%	5.6%	12.0%	6.0%	0.0%	1.1%	-1.4%	47.8K	-278.3K	-941	0.00	79.86	0	0	112	10
2020-06-04	$80.05	$0.00	31.1%	10.5%	10.8%	12.3%	0.0%	0.4%	-5.4%	33.8K	-294.4K	-996	0.09	128.53	116	11	111	10
2020-06-05	$79.65	$0.00	22.6%	8.2%	9.0%	7.7%	0.0%	-1.7%	-6.6%	33.7K	-216.0K	-845	0.00	190.76	0	0	112	10
2020-06-08	$79.73	$0.00	24.1%	7.9%	8.8%	8.5%	0.0%	-11.8%	-5.8%	34.1K	-207.7K	-797	0.00	190.71	0	0	111	10
2020-06-09	$80.39	$0.00	25.4%	8.3%	9.4%	9.2%	0.0%	0.1%	-7.4%	40.6K	-243.1K	-835	0.00	192.13	0	0	111	10
2020-06-10	$81.73	$0.00	16.8%	4.8%	11.3%	4.6%	0.0%	0.6%	1.0%	64.7K	-280.0K	-788	0.00	28.79	0	0	111	10
2020-06-11	$82.51	$0.00	27.2%	7.8%	11.5%	10.2%	0.0%	2.6%	-6.4%	59.2K	-394.1K	-884	0.00	190.05	0	0	111	10
2020-06-12	$81.40	$0.00	34.2%	9.8%	12.4%	14.0%	0.0%	25.6%	-6.2%	49.6K	-302.7K	-845	0.00	197.62	0	0	111	10
2020-06-15	$81.49	$0.00	18.1%	5.2%	12.3%	5.3%	0.0%	1.0%	1.0%	62.2K	-235.0K	-658	0.00	45.19	0	0	111	10
2020-06-16	$81.17	$0.00	34.5%	9.9%	11.9%	14.2%	20.9%	11.5%	-5.5%	48.9K	-276.1K	-722	0.00	197.90	7	0	111	10
2020-06-17	$81.14	$84.00	18.5%	5.3%	11.9%	5.5%	0.0%	0.5%	0.9%	36.4K	-185.0K	-605	0.00	22.31	0	0	118	10
2020-06-18	$82.17	$84.00	33.6%	9.6%	12.7%	13.7%	0.0%	14.5%	3.3%	66.5K	-362.3K	-719	0.00	195.53	0	0	118	10
2020-06-19	$82.40	$84.00	17.4%	5.0%	12.7%	4.9%	0.0%	0.3%	1.0%	16.1K	-190.4K	-549	0.00	44.57	6	0	118	10
2020-06-22	$83.07	$84.00	17.5%	5.0%	13.0%	4.9%	17.7%	0.4%	0.8%	13.1K	-162.6K	-532	0.11	55.11	9	1	36	8
2020-06-23	$83.26	$84.00	15.7%	4.5%	12.5%	3.9%	15.4%	0.2%	1.2%	17.0K	-199.3K	-696	0.09	66.92	105	9	45	9
2020-06-24	$83.30	$83.00	15.8%	4.5%	12.5%	4.0%	16.6%	-0.1%	1.1%	64.3K	-405.7K	-1.2K	0.00	74.26	6	0	104	9
2020-06-25	$83.52	$83.00	15.5%	4.4%	12.5%	3.8%	0.0%	-0.2%	1.1%	70.6K	-444.3K	-1.2K	0.00	83.81	0	0	110	9
2020-06-26	$84.09	$83.00	15.5%	4.4%	12.6%	3.8%	0.0%	-0.8%	1.1%	73.0K	-495.1K	-1.2K	0.00	86.19	4	0	110	9
2020-06-29	$83.91	$83.00	15.7%	4.5%	12.6%	3.9%	0.0%	-1.0%	1.3%	77.3K	-475.8K	-1.1K	0.00	81.11	0	0	110	9
2020-06-30	$83.40	$83.00	14.8%	4.3%	12.6%	3.5%	0.0%	-0.6%	1.1%	79.8K	-421.0K	-1.1K	0.00	79.13	0	0	110	9