LTPZ Options History — September 2021

In September 2021, LTPZ traded between $86.37 and $89.93. ATM implied volatility averaged 12.5%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.4% (HV 20d: 11.1%). Max pain ranged from $87.00 to $90.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2021-09-14: Highest Volume — 25 contracts
2021-09-20: Largest IV spike — 14.4% change
2021-09-29: Highest IV Rank — 9.0%
2021-09-29: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.56	$86.37	$89.93	$88.75	$86.65
Max Pain	$88.05	$87.00	$90.00	$87.00	$88.00
ATM IV	12.5%	10.8%	14.1%	11.7%	13.5%
Expected Move	3.6%	3.2%	4.0%	3.4%	3.9%
HV 20d	11.1%	9.3%	12.5%	9.7%	10.9%
HV 60d	9.8%	9.3%	10.5%	9.9%	9.7%
IV Rank	5.3%	1.4%	9.0%	3.6%	7.5%
IV Percentile	33.9%	2.4%	69.0%	11.9%	57.5%
Term Structure	0.3%	-0.9%	1.6%	0.9%	-0.8%
VWIV	11.8%	9.7%	13.6%	12.2%	10.0%
Skew 25d	0.9%	-0.8%	1.9%	1.0%	1.1%
Skew 10d	1.5%	-3.5%	6.3%	0.7%	6.3%
Call IV 25d	12.0%	10.6%	13.5%	11.7%	13.2%
Put IV 25d	12.9%	11.5%	14.3%	12.7%	14.3%
Bid-Ask Spread %	71.24	49.61	109.43	95.67	109.43
Gamma HHI	0.37	0.23	0.54	0.23	0.29
Net GEX	54.5K	-41.6K	124.1K	41.1K	26.9K
Net DEX	-194.0K	-323.3K	-46.9K	-323.3K	-61.0K
Net VEX	-1.1K	-1.4K	-614	-1.2K	-614
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	3.33	0.00	0.00
Total Volume	6.714	0	25	1	0
Total OI	220.619	109	332	287	129

Daily Data (21 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
2021-09-01	$88.75	$87.00	11.7%	3.4%	9.7%	3.6%	12.2%	1.0%	0.9%	41.1K	-323.3K	-1.2K	0.00	95.67	1	0	101	186
2021-09-02	$88.79	$0.00	11.5%	3.6%	9.4%	3.1%	12.3%	0.4%	0.8%	47.6K	-275.5K	-1.2K	0.00	54.87	19	0	95	188
2021-09-03	$88.21	$0.00	10.8%	3.6%	9.3%	1.4%	12.9%	1.0%	0.6%	41.2K	-222.5K	-1.1K	0.00	49.61	0	2	95	188
2021-09-07	$87.61	$90.00	12.0%	3.6%	9.5%	4.2%	0.0%	1.3%	1.0%	-41.6K	-46.9K	-1.1K	0.00	53.76	0	0	90	188
2021-09-08	$88.55	$88.00	12.4%	3.5%	10.3%	5.1%	0.0%	0.6%	1.0%	34.7K	-123.8K	-1.1K	0.00	57.42	7	0	90	190
2021-09-09	$89.93	$88.00	11.3%	3.2%	11.6%	2.6%	0.0%	1.0%	1.6%	47.4K	-247.0K	-1.3K	0.00	74.07	15	0	90	190
2021-09-10	$89.32	$88.00	11.5%	3.3%	11.9%	3.1%	11.3%	0.9%	1.0%	54.5K	-204.9K	-1.2K	0.00	59.38	3	0	96	190
2021-09-13	$89.43	$88.00	12.2%	3.5%	11.5%	4.8%	12.4%	0.8%	0.2%	91.6K	-250.4K	-1.2K	3.33	57.21	3	10	110	190
2021-09-14	$89.88	$88.00	12.1%	3.5%	11.6%	4.5%	12.1%	0.4%	0.5%	101.0K	-294.3K	-1.4K	0.04	71.30	24	1	110	200
2021-09-15	$89.62	$88.00	11.8%	3.4%	11.5%	3.8%	10.7%	1.8%	0.7%	108.2K	-278.7K	-1.2K	0.29	57.19	7	2	110	190
2021-09-16	$89.54	$88.00	11.9%	3.4%	11.5%	4.1%	0.0%	1.9%	-0.1%	124.1K	-289.5K	-1.3K	0.00	62.54	0	0	134	191
2021-09-17	$88.89	$88.00	12.2%	3.5%	11.7%	4.7%	11.8%	0.9%	0.4%	73.2K	-178.5K	-1.2K	0.08	73.17	12	1	141	191
2021-09-20	$89.26	$88.00	13.9%	4.0%	11.7%	8.6%	11.9%	1.6%	-0.9%	69.2K	-258.2K	-1.2K	0.00	68.82	2	0	111	7
2021-09-21	$89.13	$88.00	13.2%	3.8%	11.7%	7.0%	0.0%	1.1%	-0.7%	58.7K	-212.1K	-1.1K	0.00	67.28	3	0	102	7
2021-09-22	$89.28	$88.00	12.7%	3.6%	11.7%	5.9%	12.3%	0.4%	0.2%	62.7K	-228.8K	-1.2K	0.00	75.05	10	0	104	7
2021-09-23	$88.39	$88.00	12.9%	3.7%	12.1%	6.3%	0.0%	0.2%	0.8%	53.8K	-176.5K	-1.0K	0.00	77.21	1	0	108	7
2021-09-24	$87.58	$88.00	13.2%	3.8%	12.5%	6.8%	9.7%	-0.8%	1.1%	44.4K	-128.6K	-897	0.00	70.53	1	0	118	7
2021-09-27	$87.70	$88.00	13.3%	3.8%	10.7%	7.2%	13.6%	1.4%	0.0%	47.5K	-128.6K	-865	0.00	81.07	0	2	119	7
2021-09-28	$86.85	$88.00	14.0%	4.0%	11.1%	8.8%	0.0%	0.6%	-0.5%	34.7K	-86.5K	-702	0.00	73.84	0	0	120	7
2021-09-29	$86.37	$88.00	14.1%	4.0%	10.8%	9.0%	10.0%	0.6%	-0.9%	24.1K	-57.3K	-620	0.00	106.55	15	0	120	9
2021-09-30	$86.65	$88.00	13.5%	3.9%	10.9%	7.5%	0.0%	1.1%	-0.8%	26.9K	-61.0K	-614	0.00	109.43	0	0	120	9