LTPZ Options History — December 2020

In December 2020, LTPZ traded between $86.81 and $88.53. ATM implied volatility averaged 13.3%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.4% (HV 20d: 8.9%). Max pain ranged from $85.00 to $87.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.10.

Notable Days

2020-12-14: Highest Volume — 33 contracts
2020-12-23: Largest IV spike — 174.3% change
2020-12-23: Highest IV Rank — 23.2%
2020-12-23: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.78	$86.81	$88.53	$87.13	$88.53
Max Pain	$86.82	$85.00	$87.00	$85.00	$87.00
ATM IV	13.3%	10.1%	29.8%	12.3%	13.1%
Expected Move	3.8%	2.9%	8.5%	3.5%	3.8%
HV 20d	8.9%	6.5%	12.3%	11.8%	6.6%
HV 60d	9.3%	8.9%	9.5%	9.0%	8.9%
IV Rank	4.6%	1.1%	23.2%	3.5%	4.5%
IV Percentile	21.7%	1.6%	86.5%	17.9%	24.2%
Term Structure	0.9%	-7.9%	13.2%	0.2%	-0.3%
VWIV	15.4%	10.1%	30.8%	13.4%	12.1%
Skew 25d	1.3%	-3.4%	9.0%	0.2%	1.7%
Skew 10d	1.9%	-7.8%	9.1%	1.2%	-1.1%
Call IV 25d	13.5%	9.8%	32.4%	12.3%	12.5%
Put IV 25d	14.8%	10.5%	41.5%	12.5%	14.3%
Bid-Ask Spread %	76.33	30.93	190.15	125.88	98.99
Gamma HHI	0.15	0.12	0.17	0.15	0.14
Net GEX	95.5K	28.7K	140.9K	126.8K	81.4K
Net DEX	-786.4K	-1.0M	-508.3K	-801.6K	-784.7K
Net VEX	-3.1K	-3.8K	-2.6K	-3.0K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.40	0.00	0.00
Total Volume	7.136	0	33	2	0
Total OI	273.091	215	335	272	261

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
2020-12-01	$87.13	$85.00	12.3%	3.5%	11.8%	3.5%	0.0%	0.2%	0.2%	126.8K	-801.6K	-3.0K	0.00	125.88	2	0	221	51
2020-12-02	$87.08	$85.00	13.0%	3.7%	11.7%	4.4%	13.4%	0.7%	0.1%	122.7K	-797.1K	-3.1K	0.00	111.86	0	4	223	51
2020-12-03	$87.75	$87.00	12.5%	3.6%	11.7%	3.7%	0.0%	0.8%	1.2%	131.3K	-912.4K	-3.0K	0.00	43.24	0	0	223	54
2020-12-04	$86.81	$87.00	14.0%	3.7%	12.3%	5.5%	0.0%	0.9%	0.9%	118.3K	-737.5K	-3.0K	0.00	30.93	1	0	223	54
2020-12-07	$87.25	$87.00	14.6%	3.6%	11.4%	6.1%	0.0%	1.2%	1.1%	129.0K	-814.3K	-2.9K	0.00	34.03	1	0	223	54
2020-12-08	$87.72	$87.00	13.5%	3.6%	8.9%	4.9%	0.0%	1.2%	1.1%	136.4K	-900.9K	-2.8K	0.00	31.79	0	0	224	54
2020-12-09	$87.53	$87.00	12.7%	3.6%	9.0%	4.0%	0.0%	1.4%	1.0%	139.5K	-873.9K	-2.8K	0.00	36.34	12	0	224	54
2020-12-10	$88.03	$87.00	12.4%	3.5%	9.0%	3.6%	0.0%	1.1%	1.4%	138.7K	-995.8K	-2.8K	0.00	38.10	0	0	227	54
2020-12-11	$88.08	$87.00	12.8%	3.7%	8.5%	4.1%	12.6%	1.5%	1.2%	140.9K	-1.0M	-2.8K	0.25	48.00	8	2	227	54
2020-12-14	$88.00	$87.00	11.9%	3.4%	8.5%	3.1%	0.0%	1.5%	1.5%	139.2K	-998.3K	-2.6K	0.00	40.52	0	33	230	56
2020-12-15	$88.01	$87.00	11.6%	3.3%	8.3%	2.8%	0.0%	1.1%	1.7%	124.7K	-984.8K	-3.0K	0.00	59.76	0	28	230	77
2020-12-16	$87.79	$87.00	17.6%	5.1%	8.3%	9.5%	21.1%	-3.4%	13.2%	47.5K	-783.4K	-3.8K	0.00	190.15	0	2	230	105
2020-12-17	$87.82	$87.00	10.9%	3.1%	8.3%	2.0%	0.0%	1.2%	0.6%	52.8K	-795.1K	-3.5K	0.00	56.05	0	0	223	107
2020-12-18	$87.66	$87.00	11.1%	3.2%	8.2%	2.2%	10.1%	1.4%	0.7%	91.6K	-770.3K	-3.3K	0.00	57.80	2	0	223	107
2020-12-21	$87.75	$87.00	11.4%	3.3%	7.7%	2.5%	0.0%	0.7%	0.6%	32.7K	-508.3K	-3.2K	0.33	67.70	12	4	144	71
2020-12-22	$87.88	$87.00	10.9%	3.1%	7.6%	1.9%	0.0%	1.5%	0.4%	43.4K	-577.8K	-3.2K	0.00	67.61	7	0	156	67
2020-12-23	$87.75	$87.00	29.8%	8.5%	7.6%	23.2%	30.8%	9.0%	-7.9%	28.7K	-530.6K	-3.6K	0.00	178.90	11	0	163	67
2020-12-24	$88.28	$87.00	10.1%	2.9%	7.8%	1.1%	0.0%	0.7%	1.7%	62.4K	-678.8K	-3.3K	0.00	106.95	0	0	174	67
2020-12-28	$88.12	$87.00	11.2%	3.2%	7.6%	2.3%	11.2%	1.3%	0.5%	61.8K	-648.3K	-3.2K	0.40	108.89	10	4	174	67
2020-12-29	$88.05	$87.00	11.8%	3.4%	7.4%	3.0%	11.9%	1.3%	-0.0%	72.8K	-680.7K	-3.3K	0.18	78.45	11	2	184	70
2020-12-30	$88.14	$87.00	12.4%	3.5%	6.5%	3.6%	12.1%	1.4%	-0.2%	77.8K	-725.9K	-3.4K	0.00	67.26	1	0	190	70
2020-12-31	$88.53	$87.00	13.1%	3.8%	6.6%	4.5%	0.0%	1.7%	-0.3%	81.4K	-784.7K	-3.4K	0.00	98.99	0	0	191	70