LBRDA Options History — December 2014

In December 2014, LBRDA traded between $44.77 and $49.05. ATM implied volatility averaged 47.9%. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 24.2% (HV 20d: 23.7%). Max pain ranged from $62.78 to $65.60. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2014-12-12: Highest Volume — 985 contracts
  • 2014-12-24: Largest IV spike — 56.3% change
  • 2014-12-29: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.36$44.77$49.05$48.45$46.94
Max Pain$63.99$62.78$65.60$62.78$65.60
ATM IV47.9%33.7%63.0%36.5%55.8%
Expected Move10.6%9.1%11.7%10.4%9.2%
HV 20d23.7%20.2%25.9%20.2%23.0%
Term Structure-12.6%-41.2%1.2%-0.3%-23.4%
VWIV40.7%36.6%48.1%38.1%48.1%
Skew 25d0.2%-24.5%41.4%-1.1%5.8%
Skew 10d-9.2%-59.1%39.6%30.2%-3.5%
Call IV 25d62.0%31.1%99.3%40.0%75.6%
Put IV 25d62.2%37.2%97.1%38.9%81.5%
Bid-Ask Spread %91.3244.32134.8599.31134.85
Gamma HHI0.290.180.440.300.24
Net GEX-3.1K-6.7K766-2.0K0
Net DEX1.8M02.8M2.6M0
Net VEX-4.5K-8.0K0-5.8K0
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.001.401.121.08
Total Volume754.86409859340
Total OI1,056.18201,5301,4720

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$48.45$62.7836.5%10.4%0.0%0.0%38.1%-1.1%-0.3%-2.0K2.6M-5.8K1.1299.31441493735737
2014-12-02$48.72$62.7843.8%9.9%0.0%0.0%36.6%8.8%-7.9%-6.0K2.8M-6.0K1.19102.88414492735770
2014-12-03$48.08$62.7856.4%9.6%0.0%0.0%40.2%-16.6%-18.4%-3.8K2.7M-6.5K1.2298.91414503735782
2014-12-04$48.45$62.7837.0%10.6%0.0%0.0%37.1%-2.2%1.2%-6.1K2.7M-6.9K0.0057.1120735793
2014-12-05$49.05$62.7837.0%10.7%0.0%0.0%39.6%-2.7%0.5%-6.7K2.7M-6.8K1.2351.55410503737793
2014-12-08$48.87$62.7840.7%10.0%0.0%0.0%38.5%14.7%-10.2%-5.5K2.7M-6.4K1.2344.32410503737793
2014-12-09$48.99$62.7839.6%10.5%0.0%0.0%40.2%-4.4%-0.4%-6.0K2.7M-6.7K1.2353.22410503737793
2014-12-10$48.53$62.7838.9%10.7%0.0%0.0%41.0%-3.4%-0.3%-6.3K2.7M-6.6K1.2552.14429538737793
2014-12-11$47.64$65.6036.3%10.2%20.2%0.0%38.1%11.0%0.3%-3.3K2.4M-8.0K1.2555.92411514724802
2014-12-12$46.01$65.6052.1%10.5%24.6%0.0%41.8%-11.2%-26.4%-3.2K1.3M-5.8K1.4076.24411574411540
2014-12-15$45.26$65.6048.5%10.6%24.7%0.0%42.0%2.0%-12.3%-3.3K1.4M-4.7K1.4079.96411574411540
2014-12-16$44.77$65.6055.5%11.7%24.3%0.0%44.2%-24.5%-27.8%-4.1K1.3M-4.8K1.4080.60411574376529
2014-12-17$45.17$65.6063.0%11.2%23.9%0.0%45.0%-23.0%-41.2%-4.5K1.3M-5.0K1.4074.37411574376529
2014-12-18$45.33$65.6058.9%10.6%23.3%0.0%48.1%-11.6%-28.3%-5.2K1.7M-3.8K1.4085.19411574376507
2014-12-19$46.21$0.0043.9%11.5%24.1%0.0%0.0%3.7%-6.5%0000.00117.500000
2014-12-22$47.53$0.0052.8%11.3%25.9%0.0%0.0%8.9%-3.8%-1.1K1.5M-2.9K1.11125.48405449369420
2014-12-23$48.04$0.0033.7%11.0%24.6%0.0%0.0%-22.4%-1.5%-1.5K1.3M-3.7K1.11121.04405449369410
2014-12-24$47.69$0.0052.7%10.6%23.7%0.0%0.0%-6.3%-7.3%-941.3M-3.4K1.11127.17405449369410
2014-12-26$47.55$0.0055.3%10.7%23.5%0.0%0.0%31.4%-18.9%-2652.7M-2.7K1.08124.45416449660653
2014-12-29$47.16$0.0061.8%11.7%23.3%0.0%0.0%41.4%-24.2%7662.7M-2.1K1.08114.45416449660653
2014-12-30$47.41$0.0053.8%9.1%22.9%0.0%0.0%6.0%-20.8%0000.00132.380000
2014-12-31$46.94$0.0055.8%9.2%23.0%0.0%0.0%5.8%-23.4%0000.00134.850000