LBRDA Options History — November 2014

In November 2014, LBRDA traded between $45.49 and $49.18. ATM implied volatility averaged 36.0%. The 30-day expected move averaged 10.4%. Max pain ranged from $49.33 to $62.78. Net GEX was positive for 0 of 7 trading days. Term structure was in contango for 2 of 7 days. Put/call ratio averaged 1.07.

Notable Days

  • 2014-11-25: Highest Volume — 965 contracts
  • 2014-11-21: Largest IV spike — 22.3% change
  • 2014-11-25: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.35$45.49$49.18$45.49$49.18
Max Pain$57.40$49.33$62.78$49.33$62.78
ATM IV36.0%32.0%39.1%34.8%36.7%
Expected Move10.4%10.1%10.7%10.1%10.5%
Term Structure-1.2%-4.7%4.6%-0.1%0.7%
VWIV35.4%29.2%39.2%35.1%35.4%
Skew 25d6.7%3.0%12.5%3.0%12.5%
Skew 10d14.1%6.2%32.1%9.3%32.1%
Call IV 25d38.5%35.9%40.7%35.9%37.0%
Put IV 25d45.3%38.9%49.5%38.9%49.5%
Bid-Ask Spread %88.2148.92108.2164.01107.79
Gamma HHI0.600.271.001.000.27
Net GEX-2.8K-6.8K00-1.4K
Net DEX1.0M02.6M02.6M
Net VEX-3.1K-6.5K00-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.001.551.410.00
Total Volume294.286096530
Total OI600.14301,47201,472

Daily Data (7 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-19$45.49$0.0034.8%10.1%0.0%0.0%0.0%0.0%-0.1%0000.0064.010300
2014-11-20$45.90$0.0032.0%10.7%0.0%0.0%35.1%0.0%4.6%-7066.2K-171.4178.329112703
2014-11-21$46.28$49.3339.1%10.2%0.0%0.0%38.0%0.0%-4.7%-3.4K176.8K-1.9K1.33103.719612791116
2014-11-24$47.46$49.3335.6%10.4%0.0%0.0%29.2%3.0%-2.5%-4.4K138.0K-1.9K1.55106.5125038796116
2014-11-25$48.42$62.7835.9%10.7%0.0%0.0%39.2%4.0%-2.2%-6.8K1.6M-4.9K1.0448.92472493346503
2014-11-26$48.74$62.7837.6%10.4%0.0%0.0%35.4%7.4%-3.9%-2.9K2.6M-6.2K0.00108.21140721737
2014-11-28$49.18$62.7836.7%10.5%0.0%0.0%0.0%12.5%0.7%-1.4K2.6M-6.5K0.00107.7900735737