LTPZ Options History — October 2020

In October 2020, LTPZ traded between $85.74 and $87.55. ATM implied volatility averaged 17.9%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 10.1% (HV 20d: 7.9%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.39.

Notable Days

2020-10-08: Highest Volume — 78 contracts
2020-10-08: Largest IV spike — 203.4% change
2020-10-08: Highest IV Rank — 20.5%
2020-10-30: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.71	$85.74	$87.55	$87.51	$85.86
Max Pain	$86.82	$86.00	$88.00	$87.00	$86.00
ATM IV	17.9%	11.4%	46.8%	14.2%	36.2%
Expected Move	5.1%	4.1%	10.4%	4.1%	10.4%
HV 20d	7.9%	6.4%	9.0%	6.5%	9.0%
HV 60d	10.1%	9.7%	10.2%	9.9%	10.2%
IV Rank	4.8%	1.3%	20.5%	2.7%	14.7%
IV Percentile	53.3%	9.9%	92.1%	40.5%	89.7%
Term Structure	-1.3%	-17.3%	3.0%	2.2%	-17.3%
VWIV	18.9%	14.4%	35.8%	18.9%	35.8%
Skew 25d	1.0%	-15.8%	2.9%	1.8%	-2.3%
Skew 10d	1.2%	-15.8%	4.3%	1.1%	-2.3%
Call IV 25d	17.2%	13.4%	40.0%	13.4%	40.0%
Put IV 25d	18.2%	13.0%	37.8%	15.2%	37.8%
Bid-Ask Spread %	54.38	21.09	198.33	96.28	192.78
Gamma HHI	0.20	0.12	0.27	0.15	0.15
Net GEX	103.8K	31.3K	172.1K	52.7K	80.2K
Net DEX	-759.9K	-1.0M	-436.3K	-606.9K	-981.8K
Net VEX	-4.0K	-4.5K	-3.4K	-3.6K	-4.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	2.00	0.25	1.00
Total Volume	13.818	0	78	0	6
Total OI	305.045	219	378	219	378

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
2020-10-01	$87.51	$87.00	14.2%	4.1%	6.5%	2.7%	0.0%	1.8%	2.2%	52.7K	-606.9K	-3.6K	0.00	96.28	0	0	165	54
2020-10-02	$87.37	$87.00	14.1%	4.1%	6.4%	2.7%	0.0%	1.1%	3.0%	52.5K	-590.5K	-3.5K	0.25	98.83	8	2	165	54
2020-10-05	$86.28	$87.00	17.5%	5.3%	6.8%	4.5%	18.9%	1.5%	-0.4%	45.0K	-482.0K	-3.6K	0.67	27.56	12	8	171	56
2020-10-06	$86.21	$87.00	15.5%	5.0%	6.6%	3.5%	0.0%	1.8%	0.2%	47.0K	-481.7K	-3.6K	2.00	41.57	1	2	173	58
2020-10-07	$85.74	$87.00	15.4%	5.1%	6.8%	3.4%	0.0%	1.9%	0.5%	43.5K	-436.3K	-3.5K	0.00	21.09	0	0	173	56
2020-10-08	$86.58	$87.00	46.8%	7.9%	7.7%	20.5%	27.3%	-15.8%	-8.0%	31.3K	-566.1K	-3.4K	0.04	198.33	75	3	173	56
2020-10-09	$86.69	$87.00	12.4%	4.5%	7.7%	1.8%	0.0%	2.0%	0.8%	99.2K	-724.3K	-4.2K	0.00	35.99	5	0	248	56
2020-10-12	$87.09	$87.00	13.3%	4.6%	7.8%	2.3%	0.0%	2.3%	0.6%	118.5K	-810.4K	-4.2K	0.00	35.98	0	0	253	54
2020-10-13	$87.44	$87.00	11.4%	4.3%	7.9%	1.3%	0.0%	2.1%	0.9%	139.9K	-869.3K	-4.1K	0.00	33.37	1	0	253	54
2020-10-14	$87.55	$87.00	14.3%	4.1%	7.8%	2.8%	14.4%	1.8%	0.9%	149.8K	-887.4K	-4.1K	0.00	25.90	2	0	253	54
2020-10-15	$87.49	$87.00	15.1%	4.3%	7.8%	3.2%	0.0%	1.8%	0.6%	144.0K	-882.0K	-4.0K	0.00	33.45	0	0	253	54
2020-10-16	$87.47	$87.00	15.1%	4.3%	7.7%	3.2%	14.7%	1.7%	0.2%	112.1K	-841.4K	-3.9K	0.50	25.70	4	2	253	54
2020-10-19	$86.93	$88.00	16.0%	4.6%	8.0%	3.7%	14.7%	2.9%	-0.2%	99.6K	-732.9K	-3.8K	0.00	34.87	15	0	233	54
2020-10-20	$86.20	$88.00	16.7%	4.8%	8.5%	4.1%	16.7%	2.9%	-1.0%	95.6K	-637.7K	-3.8K	2.00	38.38	3	6	248	54
2020-10-21	$86.25	$88.00	16.7%	4.8%	8.5%	4.1%	16.5%	1.9%	-0.5%	93.3K	-637.8K	-4.0K	0.02	25.38	58	1	251	60
2020-10-22	$85.82	$86.00	17.2%	4.9%	8.5%	4.4%	17.0%	1.9%	-1.0%	126.2K	-778.8K	-4.4K	0.00	43.84	3	0	309	61
2020-10-23	$86.11	$86.00	16.9%	4.9%	8.4%	4.2%	0.0%	1.5%	-0.6%	131.8K	-822.6K	-4.4K	0.00	34.69	10	0	306	61
2020-10-26	$86.67	$86.00	17.1%	4.9%	8.8%	4.3%	17.1%	2.2%	-1.8%	147.9K	-961.2K	-4.4K	0.00	37.37	45	0	314	61
2020-10-27	$87.13	$86.00	15.9%	4.5%	8.8%	3.7%	16.6%	2.1%	-1.7%	172.1K	-1.0M	-4.3K	0.50	51.29	6	3	314	61
2020-10-28	$86.92	$86.00	17.9%	5.1%	8.5%	4.8%	16.6%	2.7%	-3.0%	159.1K	-1.0M	-4.4K	0.00	31.75	20	0	320	58
2020-10-29	$86.27	$86.00	19.2%	5.5%	8.9%	5.5%	0.0%	1.0%	-2.0%	141.6K	-896.6K	-4.3K	0.00	32.01	3	0	317	58
2020-10-30	$85.86	$86.00	36.2%	10.4%	9.0%	14.7%	35.8%	-2.3%	-17.3%	80.2K	-981.8K	-4.5K	1.00	192.78	3	3	320	58