LTPZ Options History — March 2021

In March 2021, LTPZ traded between $78.90 and $81.92. ATM implied volatility averaged 15.1%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 6.3% (HV 20d: 21.4%). Max pain ranged from $81.00 to $85.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.81.

Notable Days

  • 2021-03-01: Highest Volume — 29 contracts
  • 2021-03-10: Largest IV drop — 18.3% change
  • 2021-03-12: Highest IV Rank — 9.6%
  • 2021-03-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.63$78.90$81.92$80.66$80.62
Max Pain$81.52$81.00$85.00$85.00$81.00
ATM IV15.1%13.4%17.2%16.7%14.8%
Expected Move4.2%3.8%4.8%4.8%4.2%
HV 20d21.4%16.3%24.7%20.3%16.3%
HV 60d15.0%13.6%16.1%13.7%16.1%
IV Rank6.7%3.7%9.6%7.4%7.0%
IV Percentile43.2%24.6%60.3%56.0%44.0%
Term Structure-0.2%-1.5%0.6%-1.2%-1.0%
VWIV15.9%13.5%17.2%17.2%16.9%
Skew 25d2.2%1.4%3.5%2.2%2.1%
Skew 10d3.7%0.3%6.8%2.2%5.7%
Call IV 25d14.0%12.9%16.0%16.0%14.1%
Put IV 25d16.3%14.7%18.6%18.2%16.2%
Bid-Ask Spread %64.5634.57116.5395.2968.01
Gamma HHI0.150.090.200.140.18
Net GEX1.2K-30.6K46.9K14.1K-25.3K
Net DEX583.3K185.1K1.2M647.1K364.1K
Net VEX-3.7K-4.2K-2.8K-4.0K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.006.670.040.00
Total Volume5.957029290
Total OI453.043355552469355

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$80.66$85.0016.7%4.8%20.3%7.4%17.2%2.2%-1.2%14.1K647.1K-4.0K0.0495.29281285184
2021-03-02$81.08$85.0014.8%4.3%20.5%5.3%0.0%1.8%-1.1%35.3K518.0K-4.2K0.00110.0200312185
2021-03-03$80.79$85.0015.9%4.5%20.5%6.5%0.0%1.7%-1.5%30.9K581.9K-4.1K0.00116.53130312185
2021-03-04$80.08$81.0017.2%4.4%20.6%8.0%0.0%1.9%0.1%26.0K691.3K-3.8K0.0036.8201320185
2021-03-05$80.47$81.0016.7%4.3%20.8%7.4%0.0%1.9%0.3%29.7K635.5K-4.0K6.6734.57320320186
2021-03-08$80.00$81.0017.2%4.3%20.8%8.0%0.0%1.6%0.1%13.2K748.9K-3.5K0.0049.9530305194
2021-03-09$81.02$81.0016.4%4.0%21.5%7.1%13.5%2.0%0.4%30.8K587.3K-3.6K0.0044.7610302194
2021-03-10$81.80$81.0013.4%3.8%21.9%3.7%0.0%2.0%0.4%46.9K416.2K-3.8K0.0056.9120303194
2021-03-11$81.44$81.0014.0%4.0%21.8%5.8%0.0%1.9%0.5%38.5K524.5K-3.6K0.0065.9300301194
2021-03-12$79.19$81.0016.6%4.8%23.5%9.6%16.1%3.5%-0.7%-4.5K926.5K-2.8K1.0078.481010301194
2021-03-15$79.92$81.0015.0%4.3%23.9%7.3%15.6%2.9%0.2%-1.1K825.0K-3.0K1.2037.0056301194
2021-03-16$80.17$81.0014.6%4.2%23.8%6.6%0.0%2.9%0.4%-620807.0K-3.0K0.0046.6400301194
2021-03-17$79.78$81.0014.8%4.2%23.8%6.9%0.0%2.8%0.4%-12.9K875.4K-2.8K0.0053.7450301194
2021-03-18$78.90$81.0015.8%4.5%23.8%8.5%16.1%3.3%-0.3%-30.5K1.2M-3.7K0.0066.3805301250
2021-03-19$79.33$81.0015.9%4.6%23.4%8.6%16.0%3.1%-0.5%-30.6K1.2M-3.8K0.0060.49010301251
2021-03-22$80.87$81.0014.4%4.1%24.5%6.3%16.9%3.0%0.6%-25.6K390.6K-3.9K0.0088.5201189176
2021-03-23$81.58$81.0013.6%3.9%24.7%5.1%0.0%2.1%-0.1%-20.0K249.0K-4.1K0.0055.5600189176
2021-03-24$81.92$81.0013.5%3.9%24.7%5.0%0.0%1.7%0.1%-15.9K185.1K-4.1K0.0054.8670189176
2021-03-25$81.62$81.0013.8%3.9%22.0%5.4%0.0%1.7%0.0%-13.9K191.2K-3.9K0.0072.0060189166
2021-03-26$81.47$81.0013.8%4.0%17.1%5.5%0.0%2.1%0.2%-14.4K200.5K-3.9K0.0060.6800195166
2021-03-29$80.89$81.0015.0%4.3%16.4%7.2%0.0%1.4%-0.8%-21.0K309.1K-3.7K0.0064.9600190165
2021-03-30$80.96$81.0014.0%4.0%16.3%5.8%0.0%1.8%-0.3%-22.5K304.2K-3.6K0.0066.7200190165
2021-03-31$80.62$81.0014.8%4.2%16.3%7.0%0.0%2.1%-1.0%-25.3K364.1K-3.6K0.0068.0100190165