LBRDA Options History — June 2015

In June 2015, LBRDA traded between $46.99 and $50.45. ATM implied volatility averaged 22.3%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.7% (HV 20d: 17.6%). Max pain ranged from $46.86 to $51.55. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2015-06-15: Highest Volume — 861 contracts
  • 2015-06-08: Largest IV spike — 33.7% change
  • 2015-06-26: Highest IV Rank — 11.6%
  • 2015-06-26: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.76$46.99$50.45$50.34$47.75
Max Pain$50.91$46.86$51.55$46.86$51.55
ATM IV22.3%16.0%26.8%20.3%22.6%
Expected Move6.5%5.2%7.7%5.8%6.5%
HV 20d17.6%12.9%19.8%18.6%19.8%
HV 60d19.7%16.4%22.7%22.7%18.1%
IV Rank6.2%0.0%11.6%1.3%7.1%
IV Percentile14.9%0.0%41.3%2.3%12.5%
Term Structure1.9%-0.6%8.8%1.2%1.1%
VWIV23.0%17.6%27.6%26.0%23.1%
Skew 25d2.7%-8.1%29.0%3.0%9.0%
Skew 10d5.6%-15.7%44.5%4.2%16.9%
Call IV 25d22.6%18.6%32.0%20.6%20.8%
Put IV 25d25.3%16.9%56.4%23.6%29.8%
Bid-Ask Spread %98.1790.29111.1092.6899.88
Gamma HHI0.360.260.620.380.34
Net GEX-673-67.6K71.7K71.7K-8.7K
Net DEX-471.1K-1.5M477.7K-1.5M78.7K
Net VEX-8.0K-10.0K-5.9K-9.5K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.000.680.280.46
Total Volume544.538861573461
Total OI1,892.1821,4182,1992,1111,473

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$50.34$46.8620.3%5.8%18.6%1.3%26.0%3.0%1.2%71.7K-1.5M-9.5K0.2892.684461271,294817
2015-06-02$50.45$46.8619.6%5.6%17.5%0.4%0.0%-3.2%1.9%69.2K-1.5M-9.1K0.00100.693801,294817
2015-06-03$49.42$46.8618.3%5.2%18.7%0.0%17.6%2.5%3.2%29.4K-1.1M-9.8K0.28102.894511271,333817
2015-06-04$48.85$51.5521.4%7.2%18.7%3.5%22.0%1.2%0.1%-19.4K-455.3K-10.0K0.2794.734491221,333817
2015-06-05$49.35$51.5516.0%5.7%19.0%0.0%20.1%3.0%3.8%3.9K-802.4K-9.4K0.2694.354491161,334817
2015-06-08$48.76$51.5521.4%7.0%18.4%5.8%21.9%2.2%-0.1%-36.9K-548.9K-9.1K0.2796.204001091,335823
2015-06-09$48.96$51.5523.2%6.4%18.4%7.8%21.9%1.6%2.3%-27.5K-570.1K-9.0K0.2992.704001171,331821
2015-06-10$49.15$51.5523.1%6.6%18.1%7.6%21.7%2.2%1.5%-16.5K-646.2K-9.0K0.3196.703841171,331849
2015-06-11$49.34$51.5520.8%6.0%18.1%5.2%22.0%2.0%2.7%7.4K-705.9K-9.3K0.2795.775111371,332867
2015-06-12$49.18$51.5522.7%6.5%17.7%7.2%20.7%2.9%1.7%-23.8K-539.8K-8.4K0.2797.355121371,302867
2015-06-15$48.60$51.5522.0%6.3%18.3%6.5%21.5%2.4%1.7%-67.6K-291.4K-7.8K0.6890.295123491,304867
2015-06-16$48.59$51.5524.3%7.0%17.2%9.0%24.2%3.0%1.1%1.5K-466.1K-7.6K0.6890.505123491,304654
2015-06-17$48.66$51.5525.7%7.4%17.1%10.5%24.5%3.8%-0.6%2.3K-511.5K-7.5K0.6890.855113491,304654
2015-06-18$48.74$51.5525.5%7.3%17.1%10.2%25.7%4.8%0.5%9.2K-716.7K-7.5K0.3395.834091371,305654
2015-06-19$48.85$51.5521.6%6.2%17.2%6.1%21.3%0.4%3.3%10.1K-766.2K-7.1K0.3496.484091381,305654
2015-06-22$48.74$51.5518.3%5.2%17.0%2.4%20.4%2.1%8.8%7.5K-196.8K-6.8K0.4396.00318137895524
2015-06-23$48.47$51.5524.1%6.9%12.9%8.8%26.8%-8.1%1.5%3.9K-6.4K-6.7K0.43103.53318137895524
2015-06-24$47.51$51.5525.9%7.4%14.5%10.7%27.0%-8.0%0.9%-3.8K302.2K-6.4K0.47106.01292137895524
2015-06-25$46.99$51.5520.8%5.9%14.7%5.1%20.8%29.0%4.8%-19.2K477.7K-5.9K0.44107.30314137894524
2015-06-26$48.52$51.5526.8%7.7%18.4%11.6%27.6%7.3%0.1%2.5K-83.3K-6.8K0.43107.92315137947524
2015-06-29$47.48$51.5526.1%7.5%19.6%10.9%26.9%-4.2%-0.6%-10.1K200.6K-6.7K0.43111.10315137949524
2015-06-30$47.75$51.5522.6%6.5%19.8%7.1%23.1%9.0%1.1%-8.7K78.7K-6.6K0.4699.88315146949524