LTPZ Options History — September 2020

In September 2020, LTPZ traded between $86.83 and $88.64. ATM implied volatility averaged 15.4%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.7% (HV 20d: 11.7%). Max pain ranged from $83.00 to $88.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2020-09-14: Highest Volume — 31 contracts
2020-09-17: Largest IV drop — 27.2% change
2020-09-16: Highest IV Rank — 5.4%
2020-09-16: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.53	$86.83	$88.64	$88.17	$87.62
Max Pain	$86.76	$83.00	$88.00	$83.00	$87.00
ATM IV	15.4%	13.3%	19.0%	15.5%	14.3%
Expected Move	4.4%	3.8%	5.5%	4.4%	4.1%
HV 20d	11.7%	6.5%	14.5%	14.1%	6.9%
HV 60d	10.3%	9.9%	11.1%	11.1%	10.0%
IV Rank	3.4%	2.3%	5.4%	3.5%	2.8%
IV Percentile	47.8%	29.8%	68.7%	55.2%	41.3%
Term Structure	2.7%	-1.8%	4.0%	0.2%	2.5%
VWIV	15.4%	13.3%	18.1%	15.4%	13.4%
Skew 25d	0.3%	-9.5%	1.6%	0.9%	0.9%
Skew 10d	1.0%	-2.5%	2.8%	1.4%	1.1%
Call IV 25d	15.9%	12.8%	31.9%	15.1%	14.2%
Put IV 25d	16.1%	13.8%	22.4%	16.1%	15.1%
Bid-Ask Spread %	61.91	23.21	127.47	103.52	93.98
Gamma HHI	0.16	0.13	0.20	0.16	0.15
Net GEX	44.0K	26.8K	56.1K	42.7K	51.1K
Net DEX	-647.6K	-801.9K	-477.4K	-718.3K	-610.1K
Net VEX	-3.5K	-3.8K	-3.3K	-3.5K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.00	11.00	0.00	0.00
Total Volume	7.762	0	31	11	0
Total OI	224.952	191	268	216	218

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
2020-09-01	$88.17	$83.00	15.5%	4.4%	14.1%	3.5%	15.4%	0.9%	0.2%	42.7K	-718.3K	-3.5K	0.00	103.52	11	0	161	55
2020-09-02	$88.64	$83.00	15.7%	4.5%	14.2%	3.6%	16.2%	0.5%	0.4%	50.5K	-801.9K	-3.6K	0.00	108.00	7	0	172	55
2020-09-03	$88.22	$88.00	17.8%	5.0%	14.3%	4.7%	0.0%	0.1%	2.9%	53.8K	-779.9K	-3.7K	0.00	24.33	0	9	179	55
2020-09-04	$87.29	$88.00	17.6%	5.0%	14.4%	4.6%	0.0%	1.1%	3.2%	54.8K	-720.8K	-3.5K	0.29	42.23	7	2	179	46
2020-09-08	$87.59	$88.00	18.8%	5.1%	14.5%	5.2%	18.0%	0.8%	2.9%	55.4K	-736.6K	-3.5K	0.50	24.55	2	1	178	48
2020-09-09	$87.41	$87.00	17.5%	5.0%	14.3%	4.5%	18.1%	1.6%	2.9%	55.1K	-712.4K	-3.4K	3.00	29.02	1	3	178	49
2020-09-10	$87.70	$87.00	16.8%	4.8%	14.3%	4.2%	0.0%	1.4%	3.5%	54.2K	-734.5K	-3.4K	1.00	23.21	1	1	178	52
2020-09-11	$87.44	$87.00	16.1%	4.6%	13.6%	3.8%	0.0%	0.9%	4.0%	56.1K	-708.5K	-3.4K	0.00	23.90	0	11	179	51
2020-09-14	$87.24	$87.00	15.3%	4.4%	13.4%	3.3%	15.3%	0.9%	3.7%	50.9K	-641.6K	-3.3K	0.00	41.06	31	0	174	62
2020-09-15	$87.43	$87.00	15.7%	4.5%	13.3%	3.6%	0.0%	0.5%	3.3%	46.9K	-708.8K	-3.6K	0.00	29.52	10	0	184	62
2020-09-16	$87.11	$87.00	19.0%	5.5%	11.7%	5.4%	16.6%	-9.5%	-1.8%	49.8K	-669.7K	-3.8K	11.00	127.47	1	11	194	62
2020-09-17	$87.34	$87.00	13.9%	4.0%	11.0%	2.6%	0.0%	0.3%	3.3%	26.8K	-627.3K	-3.6K	0.00	47.08	2	0	195	73
2020-09-18	$87.06	$87.00	14.0%	4.0%	11.0%	2.7%	0.0%	0.8%	3.1%	27.4K	-576.7K	-3.5K	0.00	44.68	19	0	195	73
2020-09-21	$86.96	$87.00	14.0%	4.0%	10.5%	2.7%	0.0%	0.4%	2.8%	26.8K	-487.8K	-3.5K	0.00	63.38	0	0	140	51
2020-09-22	$86.83	$87.00	13.6%	3.9%	10.3%	2.4%	0.0%	0.6%	3.3%	26.8K	-477.4K	-3.5K	0.00	63.44	1	0	140	51
2020-09-23	$86.96	$87.00	13.5%	3.9%	10.2%	2.4%	13.3%	1.1%	3.4%	27.2K	-490.1K	-3.5K	0.27	93.97	15	4	141	51
2020-09-24	$87.33	$87.00	13.9%	4.0%	10.3%	2.6%	13.8%	0.8%	3.3%	37.9K	-554.0K	-3.7K	0.00	71.67	0	1	156	55
2020-09-25	$87.69	$87.00	13.7%	3.9%	8.4%	2.5%	0.0%	0.0%	3.2%	40.6K	-591.0K	-3.6K	0.00	69.46	0	0	156	54
2020-09-28	$87.79	$87.00	13.6%	3.9%	8.3%	2.4%	13.6%	0.3%	3.4%	41.6K	-600.8K	-3.6K	0.00	77.03	6	0	156	54
2020-09-29	$88.24	$87.00	13.3%	3.8%	6.5%	2.3%	13.4%	1.0%	3.3%	47.1K	-651.1K	-3.5K	0.00	98.59	6	0	158	54
2020-09-30	$87.62	$87.00	14.3%	4.1%	6.9%	2.8%	0.0%	0.9%	2.5%	51.1K	-610.1K	-3.6K	0.00	93.98	0	0	164	54