LTPZ Options History — August 2020

In August 2020, LTPZ traded between $85.81 and $89.19. ATM implied volatility averaged 16.6%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 7.1% (HV 20d: 9.5%). Max pain ranged from $81.00 to $89.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2020-08-25: Highest Volume — 74 contracts
2020-08-18: Largest IV spike — 88.0% change
2020-08-18: Highest IV Rank — 10.6%
2020-08-18: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.52	$85.81	$89.19	$88.71	$87.89
Max Pain	$83.14	$81.00	$89.00	$88.00	$83.00
ATM IV	16.6%	13.9%	28.6%	15.0%	17.2%
Expected Move	4.7%	4.2%	8.2%	4.3%	4.9%
HV 20d	9.5%	5.5%	14.2%	7.0%	14.2%
HV 60d	10.2%	9.4%	11.1%	9.6%	11.1%
IV Rank	4.1%	2.6%	10.6%	3.2%	4.4%
IV Percentile	58.1%	34.9%	83.7%	52.0%	61.5%
Term Structure	0.7%	-7.4%	2.6%	0.6%	-0.3%
VWIV	16.1%	14.5%	18.3%	14.9%	18.3%
Skew 25d	0.3%	-16.2%	2.2%	1.1%	2.2%
Skew 10d	2.6%	-2.6%	9.7%	1.0%	3.1%
Call IV 25d	17.3%	14.4%	34.5%	14.4%	16.6%
Put IV 25d	17.5%	15.3%	30.9%	15.5%	18.8%
Bid-Ask Spread %	94.38	82.39	154.71	85.39	96.44
Gamma HHI	0.31	0.16	0.53	0.35	0.16
Net GEX	47.7K	13.5K	85.9K	16.2K	43.0K
Net DEX	-620.1K	-931.0K	-379.4K	-497.1K	-685.4K
Net VEX	-2.8K	-3.8K	-2.0K	-2.0K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.00	4.00	2.50	0.88
Total Volume	19.048	0	74	7	15
Total OI	215.381	124	296	124	209

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
2020-08-03	$88.71	$88.00	15.0%	4.3%	7.0%	3.2%	14.9%	1.1%	0.6%	16.2K	-497.1K	-2.0K	2.50	85.39	2	5	90	34
2020-08-04	$89.19	$89.00	14.9%	4.3%	7.0%	3.2%	15.0%	0.4%	0.0%	13.5K	-534.9K	-2.1K	0.00	106.62	36	0	96	39
2020-08-05	$89.02	$89.00	14.8%	4.2%	6.4%	3.1%	15.0%	0.3%	0.4%	20.1K	-611.6K	-2.5K	0.00	92.80	1	0	116	39
2020-08-06	$89.16	$81.00	15.6%	4.4%	5.5%	3.5%	0.0%	0.6%	1.8%	20.1K	-621.3K	-2.5K	0.03	82.39	66	2	116	39
2020-08-07	$88.40	$81.00	19.0%	4.4%	6.3%	5.4%	15.8%	0.2%	1.6%	67.7K	-659.1K	-2.8K	0.20	96.49	10	2	182	40
2020-08-10	$88.36	$81.00	13.9%	4.2%	6.3%	2.6%	14.5%	0.9%	2.2%	69.8K	-648.3K	-2.8K	0.00	84.93	13	0	191	40
2020-08-11	$87.65	$81.00	15.3%	4.2%	7.2%	3.4%	15.3%	0.8%	2.4%	52.9K	-561.5K	-2.7K	0.00	89.39	0	8	190	40
2020-08-12	$87.38	$81.00	14.5%	4.2%	7.3%	2.9%	0.0%	0.7%	2.2%	44.0K	-530.8K	-2.6K	0.00	92.44	0	2	190	37
2020-08-13	$86.32	$81.00	15.1%	4.3%	8.5%	3.3%	0.0%	1.7%	2.2%	32.2K	-426.4K	-2.6K	0.00	88.79	0	0	190	39
2020-08-14	$85.81	$81.00	14.9%	4.3%	8.8%	3.1%	14.9%	1.2%	2.6%	27.6K	-379.4K	-2.5K	4.00	94.34	1	4	190	39
2020-08-17	$86.12	$83.00	15.2%	4.4%	8.8%	3.3%	0.0%	0.8%	2.5%	24.8K	-397.4K	-2.5K	1.00	88.04	3	3	179	38
2020-08-18	$87.72	$83.00	28.6%	8.2%	10.8%	10.6%	0.0%	-0.1%	-7.4%	51.1K	-690.8K	-2.7K	0.00	154.71	0	0	182	41
2020-08-19	$86.78	$83.00	15.9%	4.6%	11.6%	3.7%	0.0%	1.7%	2.0%	25.7K	-439.7K	-2.5K	0.00	92.20	0	11	182	41
2020-08-20	$86.53	$83.00	16.4%	4.7%	11.4%	4.0%	16.4%	1.5%	0.9%	26.8K	-406.3K	-2.5K	0.00	83.59	70	0	182	44
2020-08-21	$87.38	$83.00	16.1%	4.6%	11.9%	3.8%	16.4%	1.6%	1.0%	85.9K	-795.8K	-3.1K	1.00	97.17	1	1	252	44
2020-08-24	$87.80	$83.00	15.9%	4.6%	12.0%	3.7%	16.1%	1.5%	0.6%	77.5K	-931.0K	-3.1K	0.10	98.56	48	5	180	33
2020-08-25	$87.44	$83.00	17.2%	4.9%	11.8%	4.4%	16.6%	-16.2%	0.7%	74.6K	-864.2K	-3.3K	0.28	98.91	58	16	188	38
2020-08-26	$87.60	$83.00	17.5%	5.0%	11.8%	4.6%	17.7%	1.2%	-0.1%	75.5K	-876.0K	-3.6K	0.67	83.86	3	2	196	50
2020-08-27	$86.15	$83.00	17.9%	5.1%	13.0%	4.8%	0.0%	1.4%	-0.2%	74.8K	-697.0K	-3.7K	0.00	84.50	5	0	199	52
2020-08-28	$86.56	$83.00	17.8%	5.1%	12.9%	4.7%	18.1%	1.9%	-0.2%	78.7K	-768.2K	-3.8K	1.33	90.52	3	4	204	52
2020-08-31	$87.89	$83.00	17.2%	4.9%	14.2%	4.4%	18.3%	2.2%	-0.3%	43.0K	-685.4K	-3.3K	0.88	96.44	8	7	157	52