LBRDA Options History — February 2015

In February 2015, LBRDA traded between $42.40 and $49.15. ATM implied volatility averaged 25.6%. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 7.7% (HV 20d: 33.3%). Max pain ranged from $42.17 to $42.17. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2015-02-11: Highest Volume — 522 contracts
  • 2015-02-06: Largest IV spike — 21.9% change
  • 2015-02-10: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.94$42.40$49.15$42.40$48.72
Max Pain$42.17$42.17$42.17$42.17$42.17
ATM IV25.6%19.9%28.1%25.1%25.1%
Expected Move7.5%6.4%8.1%7.2%7.2%
HV 20d33.3%28.7%37.5%29.6%28.7%
HV 60d28.2%25.8%29.5%25.8%27.6%
Term Structure1.0%-0.6%6.4%2.8%0.5%
VWIV25.8%18.4%32.9%18.4%25.2%
Skew 25d2.3%1.0%9.4%1.8%1.6%
Skew 10d4.9%-0.5%13.8%2.5%0.8%
Call IV 25d25.3%16.5%27.7%22.2%23.5%
Put IV 25d27.6%24.0%29.6%24.0%25.1%
Bid-Ask Spread %81.7470.30112.38112.3890.75
Gamma HHI0.520.360.820.820.49
Net GEX17.3K12.1K23.1K17.3K22.6K
Net DEX395.6K159.7K915.7K915.7K184.9K
Net VEX-3.7K-4.4K-1.9K-1.9K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.001.300.001.15
Total Volume400.42135223440
Total OI908.895724989724989

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$42.40$42.1725.1%7.2%29.6%0.0%0.0%1.8%2.8%17.3K915.7K-1.9K0.00112.3830410314
2015-02-03$44.15$42.1722.1%6.4%33.1%0.0%18.4%9.4%6.4%14.1K803.9K-2.1K1.12107.76185207413314
2015-02-04$45.62$42.1722.7%6.5%33.9%0.0%32.9%2.0%2.5%12.1K673.9K-2.5K0.9594.89236223421314
2015-02-05$47.78$42.1719.9%7.5%37.5%0.0%23.0%1.3%0.4%14.7K308.7K-3.5K1.0176.14223225503335
2015-02-06$46.89$42.1724.3%7.4%36.5%0.0%22.9%2.5%0.7%19.6K288.4K-3.6K1.0178.67223225528335
2015-02-09$46.37$42.1726.1%7.6%36.6%0.0%23.3%2.3%-0.1%20.1K349.3K-3.6K1.0681.95223237528335
2015-02-10$46.82$42.1728.1%8.1%36.8%0.0%27.9%1.9%0.0%19.4K343.0K-3.7K0.9977.91258256528354
2015-02-11$46.29$42.1726.8%7.7%36.5%0.0%26.6%1.9%1.8%21.7K397.4K-4.4K1.0279.44258264572405
2015-02-12$47.02$42.1726.4%7.6%34.5%0.0%26.2%1.7%1.7%15.4K361.2K-4.4K1.0470.75253264560416
2015-02-13$46.68$42.1727.1%7.8%34.1%0.0%26.8%1.7%0.8%16.6K395.4K-4.4K1.0473.96253264560416
2015-02-17$47.27$42.1727.5%7.9%34.3%0.0%27.3%1.8%0.1%15.2K322.8K-4.2K1.1373.92233264560416
2015-02-18$47.29$42.1726.8%7.7%32.1%0.0%26.8%2.5%0.1%15.4K302.2K-4.2K1.1370.60233264560416
2015-02-19$47.31$42.1726.6%7.6%31.8%0.0%0.0%1.7%0.5%15.6K352.3K-4.2K0.0070.3030550416
2015-02-20$47.43$42.1726.6%7.6%31.8%0.0%26.6%2.5%0.1%16.1K343.6K-4.2K0.1185.28192550416
2015-02-23$47.69$42.1727.7%7.9%31.7%0.0%27.7%2.6%-0.6%15.3K445.0K-4.0K1.3074.04204266523418
2015-02-24$48.08$42.1726.6%7.6%31.7%0.0%26.2%2.7%0.4%13.7K398.0K-3.9K1.1971.61223266514418
2015-02-25$49.15$42.1725.4%7.3%32.2%0.0%25.9%1.3%-0.2%19.7K159.7K-4.1K1.0781.04220236557418
2015-02-26$48.81$42.1724.6%7.1%29.2%0.0%24.5%1.0%1.4%23.1K170.3K-4.1K1.0781.60220235569418
2015-02-27$48.72$42.1725.1%7.2%28.7%0.0%25.2%1.6%0.5%22.6K184.9K-4.1K1.1590.75205235569420