LTPZ Options History — July 2020

In July 2020, LTPZ traded between $83.36 and $88.86. ATM implied volatility averaged 18.3%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 9.6% (HV 20d: 8.8%). Max pain ranged from $76.00 to $87.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.62.

Notable Days

2020-07-15: Highest Volume — 81 contracts
2020-07-06: Largest IV spike — 297.3% change
2020-07-07: Highest IV Rank — 26.1%
2020-07-06: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.83	$83.36	$88.86	$83.36	$88.86
Max Pain	$81.23	$76.00	$87.00	$83.00	$87.00
ATM IV	18.3%	13.1%	56.8%	14.7%	14.6%
Expected Move	4.8%	3.9%	13.2%	4.2%	4.2%
HV 20d	8.8%	6.8%	11.9%	11.9%	6.8%
HV 60d	12.5%	10.0%	14.5%	14.5%	10.0%
IV Rank	5.2%	2.3%	26.1%	3.4%	3.1%
IV Percentile	51.1%	33.3%	91.7%	49.2%	45.6%
Term Structure	1.3%	-2.6%	2.2%	1.1%	1.4%
VWIV	17.1%	13.7%	44.9%	13.7%	14.7%
Skew 25d	-0.1%	-3.0%	7.8%	-0.2%	-0.1%
Skew 10d	0.7%	-3.0%	7.8%	0.2%	1.1%
Call IV 25d	18.0%	13.7%	47.1%	15.0%	15.3%
Put IV 25d	17.9%	13.7%	54.9%	14.8%	15.2%
Bid-Ask Spread %	68.00	21.96	198.00	94.54	77.08
Gamma HHI	0.45	0.18	0.71	0.63	0.38
Net GEX	55.6K	12.3K	133.2K	82.1K	18.9K
Net DEX	-520.3K	-792.5K	-251.9K	-431.3K	-588.7K
Net VEX	-1.1K	-2.0K	-550	-1.1K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.00	3.00	0.00	0.18
Total Volume	12.364	0	81	0	13
Total OI	112.045	56	133	119	133

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
2020-07-01	$83.36	$83.00	14.7%	4.2%	11.9%	3.4%	0.0%	-0.2%	1.1%	82.1K	-431.3K	-1.1K	0.00	94.54	0	0	110	9
2020-07-02	$84.02	$76.00	13.6%	3.9%	11.1%	2.8%	13.7%	0.0%	1.4%	94.3K	-540.8K	-1.1K	0.00	89.04	2	0	115	9
2020-07-06	$84.15	$80.00	54.0%	13.2%	10.8%	24.7%	44.9%	-3.0%	-2.6%	31.5K	-491.4K	-1.1K	0.17	149.59	58	10	109	9
2020-07-07	$84.51	$80.00	56.8%	8.6%	10.8%	26.1%	0.0%	7.8%	-0.9%	25.6K	-518.2K	-1.1K	2.00	198.00	1	2	109	10
2020-07-08	$83.96	$80.00	13.1%	4.2%	11.1%	2.3%	0.0%	-0.1%	1.9%	113.8K	-498.1K	-909	0.00	21.96	4	0	109	11
2020-07-09	$84.96	$80.00	15.2%	4.5%	10.4%	3.5%	0.0%	0.4%	1.5%	100.5K	-636.5K	-885	0.00	39.26	2	0	111	16
2020-07-10	$84.60	$80.00	14.5%	4.2%	10.2%	3.1%	0.0%	-0.5%	2.2%	113.6K	-600.7K	-932	0.00	35.15	2	0	113	16
2020-07-13	$85.04	$80.00	16.1%	4.3%	8.7%	4.0%	0.0%	-0.6%	1.6%	113.0K	-645.3K	-773	0.00	33.13	0	0	108	15
2020-07-14	$85.08	$80.00	15.0%	4.2%	8.7%	3.4%	0.0%	-0.8%	1.8%	122.4K	-674.7K	-720	0.00	44.72	4	0	108	15
2020-07-15	$84.90	$80.00	14.1%	4.1%	8.5%	2.9%	14.6%	-0.5%	2.1%	133.2K	-680.7K	-741	0.25	34.31	65	16	110	15
2020-07-16	$85.44	$80.00	14.8%	4.2%	8.6%	3.3%	15.4%	-0.5%	1.5%	87.6K	-792.5K	-622	0.00	57.03	1	0	117	15
2020-07-17	$85.58	$80.00	14.5%	4.2%	7.7%	3.1%	0.0%	-0.1%	1.7%	29.2K	-792.3K	-593	0.00	43.24	0	0	118	15
2020-07-20	$85.90	$80.00	14.7%	4.2%	7.7%	3.3%	15.8%	-0.6%	1.6%	12.6K	-251.9K	-550	2.50	56.68	2	5	42	14
2020-07-21	$86.34	$80.00	14.7%	4.2%	7.5%	3.2%	15.1%	0.1%	1.3%	12.3K	-253.4K	-646	0.00	48.33	1	0	44	19
2020-07-22	$86.35	$80.00	14.1%	4.1%	7.5%	2.9%	14.1%	-0.1%	1.3%	12.5K	-258.6K	-618	0.00	52.83	4	0	44	19
2020-07-23	$86.86	$80.00	14.8%	4.2%	7.6%	3.3%	15.1%	-0.6%	1.1%	15.8K	-289.1K	-613	2.50	64.13	6	15	48	19
2020-07-24	$87.22	$80.00	15.8%	4.5%	7.7%	3.8%	15.9%	-0.8%	1.5%	13.5K	-281.6K	-936	0.00	55.29	48	0	53	29
2020-07-27	$87.10	$80.00	15.4%	4.4%	7.6%	3.6%	15.4%	-0.3%	1.3%	26.5K	-534.0K	-2.0K	3.00	56.89	1	3	98	24
2020-07-28	$87.75	$87.00	14.5%	4.2%	7.7%	3.1%	15.4%	-0.2%	1.3%	24.1K	-561.3K	-2.0K	0.00	72.51	0	3	99	27
2020-07-29	$87.94	$87.00	14.0%	4.0%	7.0%	2.9%	14.2%	0.0%	1.6%	21.9K	-561.7K	-2.0K	0.00	84.90	0	3	99	30
2020-07-30	$88.28	$87.00	14.0%	4.0%	6.9%	2.9%	15.4%	-0.6%	1.8%	18.8K	-564.2K	-2.0K	0.00	87.44	1	0	99	33
2020-07-31	$88.86	$87.00	14.6%	4.2%	6.8%	3.1%	14.7%	-0.1%	1.4%	18.9K	-588.7K	-2.0K	0.18	77.08	11	2	100	33