LBRDA Options History — March 2015 In March 2015, LBRDA traded between $48.88 and $52.90. ATM implied volatility averaged 23.9%. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 1.2% (HV 20d: 25.1%). Max pain ranged from $42.17 to $65.60. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2015-03-31 : Highest Volume — 605 contracts2015-03-09 : Largest IV spike — 46.4% change2015-03-31 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $50.59 $48.88 $52.90 $49.60 $52.90 Max Pain $53.46 $42.17 $65.60 $42.17 $51.55 ATM IV 23.9% 19.2% 29.8% 23.0% 29.1% Expected Move 6.9% 6.1% 8.3% 6.6% 8.3% HV 20d 25.1% 18.4% 30.8% 27.6% 30.8% HV 60d 28.6% 27.8% 30.1% 27.8% 30.1% Term Structure 0.6% -1.4% 5.2% 0.5% -0.2% VWIV 23.2% 18.6% 30.5% 18.6% 30.5% Skew 25d 2.3% -7.2% 6.6% 2.1% 3.9% Skew 10d 6.7% -0.2% 15.2% 4.2% 11.4% Call IV 25d 22.8% 18.7% 28.3% 23.2% 28.3% Put IV 25d 25.1% 14.6% 32.2% 25.4% 32.2% Bid-Ask Spread % 89.83 71.60 102.13 83.34 86.17 Gamma HHI 0.40 0.31 0.55 0.42 0.37 Net GEX 13.1K -35.4K 40.5K 19.6K 32.6K Net DEX 77.1K -553.0K 451.8K 91.7K -130.0K Net VEX -4.1K -5.0K -3.6K -4.0K -3.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.00 1.20 1.20 0.90 Total Volume 198.364 0 605 431 605 Total OI 1,114.409 988 1,324 988 1,062
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 2015-03-02 $49.60 $42.17 23.0% 6.6% 27.6% 0.0% 18.6% 2.1% 0.5% 19.6K 91.7K -4.0K 1.20 83.34 196 235 568 420 2015-03-03 $50.24 $42.17 23.2% 6.7% 27.5% 0.0% 19.8% 3.9% -0.1% 19.0K -8.1K -3.9K 0.92 83.38 254 235 568 420 2015-03-04 $49.63 $42.17 22.7% 6.5% 25.6% 0.0% 18.6% 1.8% -0.2% 22.3K 59.0K -4.1K 0.92 86.50 254 235 582 420 2015-03-05 $49.48 $65.60 19.2% 6.1% 23.7% 0.0% 23.2% 4.0% 5.2% 24.0K 52.1K -3.9K 0.92 90.68 254 235 582 420 2015-03-06 $48.88 $65.60 20.3% 7.1% 18.4% 0.0% 23.2% 2.4% 1.2% 25.1K 151.9K -4.0K 0.92 85.61 254 235 582 420 2015-03-09 $50.38 $65.60 29.8% 7.5% 19.6% 0.0% 0.0% 5.9% -1.4% 20.7K -34.8K -3.9K 0.00 96.06 42 0 582 420 2015-03-10 $49.38 $65.60 21.0% 6.6% 20.7% 0.0% 0.0% -7.2% 1.6% 31.9K 77.1K -4.1K 0.00 102.13 0 0 617 420 2015-03-11 $49.62 $65.60 23.2% 6.7% 20.6% 0.0% 23.1% 2.6% 1.6% 33.7K 37.3K -4.0K 0.00 92.79 32 0 617 420 2015-03-12 $52.05 $51.55 26.1% 7.5% 25.3% 0.0% 25.3% 2.3% -1.0% 40.5K -553.0K -3.8K 0.89 84.27 170 152 649 420 2015-03-13 $51.80 $51.55 24.7% 7.1% 25.3% 0.0% 0.0% 1.7% 0.3% -10.2K -267.0K -5.0K 0.00 86.11 0 0 752 572 2015-03-16 $51.88 $51.55 24.6% 7.1% 25.0% 0.0% 0.0% 2.4% 0.1% -22.7K -290.8K -4.7K 0.00 89.45 0 0 752 572 2015-03-17 $51.24 $51.55 23.5% 6.7% 25.6% 0.0% 0.0% 0.4% 1.5% -25.6K -49.0K -4.5K 0.00 83.48 0 0 752 572 2015-03-18 $51.13 $51.55 23.7% 6.8% 25.6% 0.0% 0.0% 3.7% 1.0% -35.1K 47.3K -4.6K 0.00 92.39 0 0 752 572 2015-03-19 $50.85 $51.55 24.6% 7.1% 25.8% 0.0% 0.0% 1.6% 0.1% -35.4K 151.9K -4.3K 0.00 89.42 1 0 752 572 2015-03-20 $50.75 $51.55 23.6% 6.8% 25.9% 0.0% 0.0% -3.8% 0.5% 23.1K 451.8K -4.1K 0.00 99.61 0 3 752 572 2015-03-23 $50.52 $51.55 23.9% 6.8% 26.0% 0.0% 23.9% 5.0% -0.1% 21.9K 329.8K -4.0K 0.00 94.12 3 0 619 448 2015-03-24 $51.31 $51.55 22.8% 6.5% 26.4% 0.0% 22.8% 6.6% 2.2% 28.6K 140.4K -3.8K 0.00 95.21 14 0 621 448 2015-03-25 $50.42 $51.55 24.0% 6.9% 26.4% 0.0% 0.0% 5.1% 0.0% 18.8K 335.8K -3.8K 0.00 95.27 0 0 614 448 2015-03-26 $49.97 $51.55 23.8% 6.8% 26.5% 0.0% 25.3% 0.1% 0.2% 18.0K 402.3K -3.7K 0.84 71.60 260 220 614 448 2015-03-27 $50.58 $51.55 24.8% 7.1% 26.7% 0.0% 0.0% 2.7% -0.4% 18.8K 353.2K -3.7K 0.00 96.24 0 3 614 448 2015-03-30 $50.40 $51.55 23.9% 6.9% 26.1% 0.0% 23.6% 3.4% 0.2% 18.7K 348.2K -3.6K 0.82 92.38 260 212 614 448 2015-03-31 $52.90 $51.55 29.1% 8.3% 30.8% 0.0% 30.5% 3.9% -0.2% 32.6K -130.0K -3.8K 0.90 86.17 318 287 614 448
« Feb 2015 | All History | Apr 2015 » Home LBRDA History March 2015