LTPZ Options History — December 2021

In December 2021, LTPZ traded between $89.14 and $93.27. ATM implied volatility averaged 15.2%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.4% (HV 20d: 15.5%). Max pain ranged from $88.00 to $92.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.12.

Notable Days

2021-12-14: Highest Volume — 132 contracts
2021-12-13: Largest IV spike — 40.7% change
2021-12-13: Highest IV Rank — 20.5%
2021-12-03: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.70	$89.14	$93.27	$91.69	$90.95
Max Pain	$89.77	$88.00	$92.00	$89.00	$88.00
ATM IV	15.2%	12.3%	19.2%	17.1%	13.6%
Expected Move	4.1%	3.5%	5.4%	4.9%	3.9%
HV 20d	15.5%	11.0%	18.2%	17.9%	11.0%
HV 60d	15.1%	14.7%	15.3%	15.0%	15.2%
IV Rank	11.3%	4.8%	20.5%	15.7%	7.3%
IV Percentile	70.4%	22.6%	98.0%	96.8%	52.8%
Term Structure	0.1%	-2.5%	1.5%	-1.1%	0.7%
VWIV	14.3%	12.6%	18.6%	16.3%	13.9%
Skew 25d	0.6%	-1.1%	1.9%	-0.3%	-0.1%
Skew 10d	0.0%	-6.3%	1.3%	-0.4%	0.5%
Call IV 25d	14.2%	12.7%	18.4%	16.5%	13.7%
Put IV 25d	14.7%	13.6%	17.4%	16.2%	13.6%
Bid-Ask Spread %	65.04	28.68	97.68	94.52	67.68
Gamma HHI	0.37	0.21	0.61	0.49	0.24
Net GEX	58.0K	25.7K	109.4K	77.2K	52.6K
Net DEX	-238.7K	-580.4K	-104.8K	-374.1K	-237.8K
Net VEX	-698	-929	-553	-568	-832
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.07	0.23	0.13	0.20
Total Volume	91.136	58	132	96	89
Total OI	90.636	60	121	87	87

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
2021-12-01	$91.69	$89.00	17.1%	4.9%	17.9%	15.7%	16.3%	-0.3%	-1.1%	77.2K	-374.1K	-568	0.13	94.52	85	11	78	9
2021-12-02	$92.78	$89.00	18.1%	5.2%	18.2%	18.0%	16.5%	-0.2%	-2.3%	73.2K	-477.7K	-573	0.23	91.65	47	11	81	9
2021-12-03	$93.27	$89.00	18.8%	5.4%	17.6%	19.6%	18.6%	-1.1%	-2.5%	76.8K	-580.4K	-553	0.17	97.68	66	11	89	7
2021-12-06	$91.83	$92.00	17.3%	4.3%	18.2%	16.3%	15.8%	0.7%	-1.0%	109.4K	-511.8K	-828	0.15	28.68	75	11	114	7
2021-12-07	$91.44	$92.00	16.4%	4.3%	17.6%	14.1%	14.4%	1.5%	0.1%	97.2K	-308.9K	-754	0.11	33.14	99	11	95	7
2021-12-08	$90.46	$92.00	15.8%	4.1%	17.0%	12.9%	13.8%	0.7%	0.3%	91.7K	-250.4K	-929	0.11	40.58	99	11	114	7
2021-12-09	$90.25	$92.00	16.8%	4.2%	16.7%	15.0%	14.2%	0.8%	0.5%	85.7K	-231.7K	-885	0.11	46.44	99	11	114	7
2021-12-10	$89.57	$92.00	13.6%	3.9%	16.8%	7.9%	13.4%	0.8%	1.5%	57.7K	-133.6K	-692	0.11	49.02	102	11	114	7
2021-12-13	$90.09	$92.00	19.2%	4.0%	17.0%	20.5%	13.9%	0.7%	1.2%	73.4K	-175.9K	-727	0.10	44.50	105	11	107	7
2021-12-14	$89.62	$89.00	18.6%	4.0%	16.8%	19.1%	14.0%	0.8%	0.4%	52.2K	-134.7K	-654	0.09	60.10	121	11	110	7
2021-12-15	$89.61	$89.00	13.3%	3.8%	16.4%	7.2%	14.1%	0.1%	0.4%	31.0K	-111.3K	-589	0.13	62.80	88	11	86	7
2021-12-16	$89.14	$89.00	13.4%	3.9%	16.3%	7.5%	13.9%	0.4%	0.4%	25.7K	-104.8K	-595	0.13	63.77	88	11	87	7
2021-12-17	$89.76	$89.00	13.5%	3.9%	16.3%	7.6%	14.3%	0.3%	0.8%	31.2K	-137.2K	-647	0.13	55.96	87	11	87	7
2021-12-20	$89.71	$89.00	13.9%	4.0%	16.0%	8.6%	14.3%	-0.2%	0.3%	31.1K	-136.1K	-621	0.08	60.61	65	5	60	0
2021-12-21	$90.11	$89.00	14.0%	4.0%	14.3%	8.8%	14.0%	1.9%	0.4%	32.6K	-145.0K	-626	0.08	57.90	65	5	60	0
2021-12-22	$91.06	$89.00	13.8%	4.0%	13.9%	8.3%	13.0%	1.1%	0.0%	39.6K	-184.8K	-685	0.08	67.38	64	5	60	0
2021-12-23	$90.51	$89.00	12.3%	3.5%	13.9%	4.8%	12.6%	1.3%	0.8%	37.3K	-156.4K	-629	0.07	93.62	73	5	61	0
2021-12-27	$91.17	$89.00	13.5%	3.9%	13.3%	7.5%	13.1%	0.6%	1.3%	52.0K	-226.9K	-733	0.07	73.18	73	5	70	0
2021-12-28	$90.80	$89.00	13.2%	3.8%	13.3%	6.4%	13.0%	0.7%	0.8%	49.9K	-208.8K	-714	0.08	78.75	64	5	70	0
2021-12-29	$90.43	$90.00	14.0%	4.0%	11.6%	8.1%	13.1%	0.5%	0.0%	44.2K	-166.4K	-642	0.20	87.77	74	15	67	0
2021-12-30	$91.20	$88.00	13.8%	4.0%	11.9%	7.8%	13.6%	1.3%	-0.3%	54.8K	-257.0K	-870	0.20	75.11	74	15	78	10
2021-12-31	$90.95	$88.00	13.6%	3.9%	11.0%	7.3%	13.9%	-0.1%	0.7%	52.6K	-237.8K	-832	0.20	67.68	74	15	77	10