LTPZ Options History — January 2021

In January 2021, LTPZ traded between $85.64 and $88.94. ATM implied volatility averaged 11.9%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.3% (HV 20d: 8.6%). Max pain ranged from $85.00 to $89.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.46.

Notable Days

2021-01-11: Highest Volume — 31 contracts
2021-01-13: Largest IV drop — 20.3% change
2021-01-04: Highest IV Rank — 6.5%
2021-01-04: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.26	$85.64	$88.94	$88.94	$87.60
Max Pain	$87.95	$85.00	$89.00	$85.00	$89.00
ATM IV	11.9%	10.4%	15.0%	15.0%	12.0%
Expected Move	3.3%	3.0%	3.7%	3.7%	3.4%
HV 20d	8.6%	5.2%	10.0%	6.3%	10.0%
HV 60d	9.5%	8.8%	9.8%	8.9%	9.5%
IV Rank	3.1%	1.4%	6.5%	6.5%	2.3%
IV Percentile	13.1%	1.2%	42.1%	42.1%	13.9%
Term Structure	1.3%	0.3%	1.7%	1.5%	0.5%
VWIV	11.9%	10.3%	13.2%	13.0%	11.5%
Skew 25d	0.8%	-0.4%	1.7%	1.7%	-0.4%
Skew 10d	0.5%	-3.8%	3.5%	1.8%	-3.8%
Call IV 25d	11.4%	10.1%	12.8%	12.8%	12.3%
Put IV 25d	12.2%	11.1%	14.5%	14.5%	11.8%
Bid-Ask Spread %	76.83	34.66	120.93	34.66	95.13
Gamma HHI	0.16	0.14	0.18	0.16	0.16
Net GEX	51.3K	31.6K	74.7K	73.6K	50.7K
Net DEX	-543.0K	-800.3K	-275.4K	-800.3K	-606.2K
Net VEX	-3.5K	-3.7K	-3.1K	-3.1K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.00	12.00	0.60	0.00
Total Volume	9.474	0	31	8	13
Total OI	284.684	250	309	250	304

Daily Data (19 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
2021-01-04	$88.94	$85.00	15.0%	3.7%	6.3%	6.5%	13.0%	1.7%	1.5%	73.6K	-800.3K	-3.1K	0.60	34.66	5	3	181	69
2021-01-05	$88.45	$89.00	14.7%	3.6%	5.2%	6.2%	13.2%	1.2%	1.3%	74.7K	-737.4K	-3.2K	3.00	42.25	1	3	186	70
2021-01-06	$87.37	$89.00	12.2%	3.5%	6.8%	3.5%	12.2%	0.6%	1.4%	57.2K	-561.0K	-3.2K	0.17	53.70	6	1	187	73
2021-01-07	$86.98	$89.00	10.9%	3.2%	6.6%	2.0%	0.0%	0.6%	1.6%	46.6K	-492.8K	-3.1K	1.00	55.10	12	12	183	73
2021-01-08	$85.84	$89.00	12.0%	3.4%	8.0%	3.2%	0.0%	0.6%	1.3%	33.1K	-295.6K	-3.4K	0.00	64.85	0	0	195	83
2021-01-11	$85.64	$89.00	14.0%	3.5%	7.7%	5.4%	11.8%	0.7%	1.0%	31.6K	-275.4K	-3.3K	0.19	59.18	26	5	195	82
2021-01-12	$86.00	$85.00	14.4%	3.5%	7.9%	5.9%	12.4%	1.0%	1.4%	46.2K	-378.7K	-3.7K	0.00	62.47	20	0	221	87
2021-01-13	$86.94	$85.00	11.5%	3.3%	9.0%	2.7%	11.8%	0.7%	1.5%	52.5K	-543.2K	-3.7K	1.00	74.47	5	5	222	87
2021-01-14	$86.38	$85.00	12.1%	3.5%	9.2%	3.3%	0.0%	0.7%	1.5%	49.3K	-455.8K	-3.7K	0.00	60.95	0	0	222	87
2021-01-15	$86.76	$85.00	11.3%	3.3%	9.4%	2.5%	0.0%	0.9%	1.6%	50.1K	-513.2K	-3.6K	1.00	57.19	1	1	222	87
2021-01-19	$87.15	$89.00	10.9%	3.1%	9.5%	2.0%	0.0%	0.7%	1.6%	43.5K	-494.4K	-3.3K	3.00	86.38	2	6	185	81
2021-01-20	$87.49	$89.00	10.6%	3.0%	9.6%	1.6%	10.3%	0.8%	1.7%	48.9K	-543.6K	-3.5K	0.00	80.17	4	0	190	87
2021-01-21	$87.60	$89.00	10.8%	3.1%	9.6%	1.9%	0.0%	1.1%	1.4%	52.3K	-572.3K	-3.5K	0.00	79.85	20	0	194	87
2021-01-22	$87.54	$89.00	10.5%	3.0%	9.6%	1.5%	0.0%	0.9%	1.5%	51.6K	-579.5K	-3.6K	0.00	98.96	0	0	197	87
2021-01-25	$88.03	$89.00	10.7%	3.1%	9.8%	1.8%	10.6%	0.8%	0.9%	57.0K	-663.1K	-3.4K	12.00	108.91	1	12	197	87
2021-01-26	$87.63	$89.00	10.4%	3.0%	9.7%	1.4%	0.0%	1.1%	1.2%	49.5K	-555.0K	-3.5K	0.00	120.93	15	0	198	95
2021-01-27	$87.56	$89.00	11.4%	3.3%	9.7%	2.6%	0.0%	0.4%	0.6%	51.5K	-583.6K	-3.7K	0.00	118.42	0	0	209	95
2021-01-28	$87.99	$89.00	11.4%	3.3%	9.9%	1.7%	11.5%	0.9%	0.3%	53.8K	-665.5K	-3.6K	0.00	106.17	1	0	209	95
2021-01-29	$87.60	$89.00	12.0%	3.4%	10.0%	2.3%	0.0%	-0.4%	0.5%	50.7K	-606.2K	-3.6K	0.00	95.13	13	0	209	95