LBRDA Options History — April 2015

In April 2015, LBRDA traded between $49.71 and $52.48. ATM implied volatility averaged 31.4%. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.4% (HV 20d: 23.9%). Max pain ranged from $51.55 to $51.55. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2015-04-27: Highest Volume — 871 contracts
  • 2015-04-24: Largest IV spike — 25.4% change
  • 2015-04-30: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.38$49.71$52.48$52.06$50.85
Max Pain$51.55$51.55$51.55$51.55$51.55
ATM IV31.4%27.3%39.9%29.2%39.9%
Expected Move8.9%7.6%11.4%8.4%11.4%
HV 20d23.9%16.3%31.1%31.1%16.3%
HV 60d27.4%25.1%30.0%30.0%25.1%
Term Structure-2.6%-8.5%1.8%-0.7%-8.3%
VWIV31.8%24.7%42.3%29.7%42.3%
Skew 25d2.0%-1.0%5.5%2.3%1.6%
Skew 10d3.2%-5.1%17.3%4.2%-0.6%
Call IV 25d31.0%23.5%40.6%29.4%40.6%
Put IV 25d33.0%28.8%42.1%31.7%42.1%
Bid-Ask Spread %65.4850.4389.3189.3166.18
Gamma HHI0.420.360.530.450.39
Net GEX43.8K9.8K122.8K31.6K113.4K
Net DEX-205.9K-1.2M529.9K26.3K-1.0M
Net VEX-5.7K-7.8K-4.8K-5.5K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.271.540.901.54
Total Volume403.190871444428
Total OI1,213.197541,5601,2311,560

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$52.06$51.5529.2%8.4%31.1%0.0%29.7%2.3%-0.7%31.6K26.3K-5.5K0.9089.31234210707524
2015-04-02$52.20$51.5529.0%7.6%31.0%0.0%24.7%5.5%1.8%33.2K-15.9K-5.9K0.8862.26240210734546
2015-04-06$52.31$51.5531.0%8.2%30.5%0.0%28.6%2.5%-0.9%29.2K-17.3K-5.5K0.8852.68240210734546
2015-04-07$52.23$51.5530.7%8.2%28.9%0.0%28.0%2.5%-2.4%28.1K-8.4K-5.4K0.8850.43240210734548
2015-04-08$52.29$51.5528.0%8.0%27.7%0.0%0.0%2.2%-0.4%28.6K-30.5K-5.4K0.0053.2700734550
2015-04-09$52.41$51.5528.0%8.0%27.7%0.0%27.9%2.5%-0.6%28.7K-74.7K-5.3K0.9458.97224210734550
2015-04-10$52.48$51.5527.9%8.0%21.9%0.0%27.1%2.8%-0.9%29.9K-129.8K-5.3K1.0568.13184193740550
2015-04-13$52.14$51.5528.2%8.1%22.0%0.0%28.0%1.8%-0.6%31.3K-52.3K-5.0K1.0667.45184194740550
2015-04-14$52.11$51.5527.6%7.9%22.0%0.0%27.5%2.1%-0.5%34.1K-39.3K-5.0K0.9869.34198194740554
2015-04-15$51.97$51.5527.5%7.9%21.5%0.0%27.1%2.4%0.1%40.7K-104.6K-5.1K0.9868.19198194754554
2015-04-16$52.02$51.5527.3%7.8%21.5%0.0%26.9%2.9%-0.5%48.0K-118.3K-4.9K0.9868.05198194754554
2015-04-17$51.18$51.5530.4%8.7%22.3%0.0%31.8%0.5%-2.8%9.8K529.9K-4.8K0.8561.13242207754554
2015-04-20$50.42$51.5531.3%9.0%22.9%0.0%31.7%2.4%-2.6%20.2K-129.9K-4.9K0.8067.98133107447307
2015-04-21$51.17$51.5530.2%8.7%23.4%0.0%30.8%2.3%-2.1%28.2K-261.0K-5.0K0.7869.36138107476307
2015-04-22$50.22$51.5530.3%8.7%23.7%0.0%31.7%1.5%-1.7%23.4K-110.2K-4.9K0.9570.90112107480307
2015-04-23$49.71$51.5529.6%8.5%23.2%0.0%32.5%2.0%-2.0%24.1K-62.2K-4.9K1.1271.5899111506307
2015-04-24$49.88$51.5537.1%10.6%23.0%0.0%38.8%-1.0%-7.2%22.8K-86.6K-5.2K0.2757.73612168506321
2015-04-27$50.06$51.5539.1%11.2%22.6%0.0%39.4%1.2%-8.5%104.0K-771.1K-7.5K0.4264.366122591,060366
2015-04-28$50.01$51.5538.8%11.1%22.6%0.0%41.7%2.3%-8.1%88.3K-641.9K-7.7K1.4971.501742591,060468
2015-04-29$51.32$51.5537.4%10.7%16.9%0.0%39.3%-0.1%-6.5%122.8K-1.2M-7.8K1.4966.181742591,092468
2015-04-30$50.85$51.5539.9%11.4%16.3%0.0%42.3%1.6%-8.3%113.4K-1.0M-7.8K1.5466.181692591,092468