LTPZ Options History — November 2020

In November 2020, LTPZ traded between $84.23 and $87.97. ATM implied volatility averaged 14.6%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.0% (HV 20d: 10.6%). Max pain ranged from $85.00 to $87.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.11.

Notable Days

2020-11-30: Highest Volume — 35 contracts
2020-11-12: Largest IV spike — 68.5% change
2020-11-04: Highest IV Rank — 14.7%
2020-11-04: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.29	$84.23	$87.97	$86.20	$87.97
Max Pain	$85.30	$85.00	$87.00	$87.00	$85.00
ATM IV	14.6%	11.3%	36.2%	22.1%	12.1%
Expected Move	4.2%	3.2%	10.4%	6.3%	3.5%
HV 20d	10.6%	7.7%	11.8%	8.0%	11.2%
HV 60d	9.9%	9.0%	10.9%	10.1%	9.0%
IV Rank	4.2%	1.2%	14.7%	7.0%	3.3%
IV Percentile	28.2%	9.1%	89.7%	75.4%	15.9%
Term Structure	0.1%	-17.2%	6.1%	-3.7%	0.4%
VWIV	18.8%	11.5%	45.6%	19.7%	12.2%
Skew 25d	1.3%	-5.3%	24.6%	1.7%	0.2%
Skew 10d	1.9%	-1.6%	7.9%	3.1%	-0.2%
Call IV 25d	13.7%	9.6%	29.0%	21.1%	12.2%
Put IV 25d	15.0%	10.2%	38.0%	22.8%	12.5%
Bid-Ask Spread %	112.50	44.83	188.93	44.83	121.67
Gamma HHI	0.20	0.15	0.47	0.19	0.16
Net GEX	142.2K	72.5K	285.7K	125.2K	132.7K
Net DEX	-717.9K	-1.1M	-304.0K	-825.7K	-871.3K
Net VEX	-3.1K	-4.1K	-2.5K	-4.1K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	1.00	0.00	0.06
Total Volume	5.35	0	35	26	35
Total OI	345.5	246	388	356	248

Daily Data (20 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
2020-11-02	$86.20	$87.00	22.1%	6.3%	8.0%	7.0%	19.7%	1.7%	-3.7%	125.2K	-825.7K	-4.1K	0.00	44.83	26	0	298	58
2020-11-03	$85.96	$87.00	21.6%	6.2%	8.1%	6.8%	0.0%	0.4%	-3.7%	123.2K	-784.8K	-4.0K	0.00	65.68	10	0	298	58
2020-11-04	$86.67	$87.00	36.2%	10.4%	8.3%	14.7%	37.6%	24.6%	-17.2%	164.8K	-936.3K	-4.1K	0.00	188.93	0	1	324	58
2020-11-05	$86.94	$85.00	12.5%	3.6%	7.7%	1.8%	12.8%	3.8%	2.0%	221.9K	-937.1K	-3.8K	1.00	99.96	2	2	324	57
2020-11-06	$85.78	$85.00	13.2%	3.8%	9.0%	2.2%	13.2%	1.2%	1.3%	159.7K	-628.3K	-3.5K	0.00	103.41	8	0	324	57
2020-11-09	$84.23	$85.00	13.4%	3.7%	10.8%	2.3%	0.0%	0.8%	1.9%	72.5K	-304.0K	-2.8K	0.00	113.47	0	0	324	55
2020-11-10	$84.69	$85.00	11.3%	3.5%	10.9%	1.2%	0.0%	1.2%	2.0%	86.2K	-366.1K	-2.9K	0.00	92.13	0	0	324	55
2020-11-11	$85.01	$85.00	12.1%	3.5%	11.0%	1.6%	0.0%	0.5%	1.6%	98.3K	-407.4K	-2.9K	0.00	112.57	0	0	324	55
2020-11-12	$85.88	$85.00	20.3%	5.8%	11.8%	12.5%	0.0%	-5.3%	6.1%	115.2K	-945.8K	-3.9K	0.00	157.37	0	0	324	55
2020-11-13	$86.01	$85.00	11.8%	3.4%	11.8%	3.0%	11.5%	0.8%	2.0%	163.0K	-598.3K	-3.0K	0.00	103.86	4	0	324	55
2020-11-16	$85.68	$85.00	11.3%	3.2%	11.7%	2.4%	0.0%	0.2%	2.5%	129.5K	-505.9K	-2.8K	0.00	116.09	0	0	326	55
2020-11-17	$86.08	$85.00	11.3%	3.2%	11.5%	2.4%	0.0%	-0.1%	2.5%	159.1K	-576.8K	-2.8K	0.00	113.44	0	0	326	55
2020-11-18	$86.12	$85.00	11.9%	3.4%	11.5%	3.0%	0.0%	-0.3%	2.1%	157.3K	-581.2K	-2.7K	0.00	109.79	0	0	326	55
2020-11-19	$86.57	$85.00	11.7%	3.4%	11.5%	2.9%	12.3%	-0.4%	0.8%	160.6K	-1.1M	-2.9K	0.00	114.58	8	0	326	55
2020-11-20	$87.33	$85.00	12.1%	3.5%	11.8%	3.3%	45.6%	0.4%	0.3%	285.7K	-1.0M	-2.8K	0.00	113.55	1	0	333	55
2020-11-23	$87.11	$85.00	12.1%	3.5%	11.6%	3.3%	11.8%	-1.4%	0.5%	116.3K	-739.1K	-2.7K	0.00	104.55	6	0	196	50
2020-11-24	$86.92	$85.00	11.9%	3.4%	11.5%	3.0%	0.0%	-1.7%	0.6%	118.3K	-703.5K	-2.7K	0.00	120.09	0	0	201	50
2020-11-25	$87.02	$85.00	11.6%	3.3%	11.5%	2.8%	0.0%	-0.9%	0.6%	122.8K	-725.0K	-2.7K	0.00	127.07	0	0	201	50
2020-11-27	$87.58	$85.00	12.2%	3.5%	11.3%	3.5%	11.8%	0.1%	0.2%	131.2K	-820.2K	-2.6K	0.00	126.91	4	0	201	50
2020-11-30	$87.97	$85.00	12.1%	3.5%	11.2%	3.3%	12.2%	0.2%	0.4%	132.7K	-871.3K	-2.5K	0.06	121.67	33	2	198	50