LBRDA Options History — July 2015

In July 2015, LBRDA traded between $47.78 and $51.50. ATM implied volatility averaged 26.9%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.1% (HV 20d: 19.8%). Max pain ranged from $46.86 to $51.55. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-07-14: Highest Volume — 518 contracts
  • 2015-07-14: Largest IV spike — 130.5% change
  • 2015-07-14: Highest IV Rank — 35.9%
  • 2015-07-15: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.83$47.78$51.50$48.51$50.59
Max Pain$48.56$46.86$51.55$51.55$51.55
ATM IV26.9%20.2%49.2%29.2%27.6%
Expected Move7.3%5.6%10.0%8.4%7.9%
HV 20d19.8%17.5%21.6%19.6%17.5%
HV 60d18.6%18.3%19.3%18.4%18.4%
IV Rank11.8%4.5%35.9%14.2%12.4%
IV Percentile37.2%3.9%88.8%54.9%48.9%
Term Structure0.0%-8.0%7.9%-2.9%-3.9%
VWIV30.3%22.1%41.5%30.2%34.9%
Skew 25d6.8%-2.0%31.9%12.3%8.4%
Skew 10d15.5%-0.3%82.7%52.9%10.8%
Call IV 25d25.9%20.3%30.2%28.9%29.5%
Put IV 25d32.7%22.4%58.6%41.1%37.8%
Bid-Ask Spread %111.7795.86132.10110.32115.14
Gamma HHI0.350.280.570.290.33
Net GEX25.2K-32.8K48.1K3.3K46.3K
Net DEX-756.3K-1.4M75.8K-107.8K-1.2M
Net VEX-6.0K-6.7K-5.3K-6.7K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.461.810.521.75
Total Volume310.86491518462105
Total OI1,104.5456201,5461,464657

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$48.51$51.5529.2%8.4%19.6%14.2%30.2%12.3%-2.9%3.3K-107.8K-6.7K0.52110.32304158949515
2015-07-02$48.48$51.5520.2%5.8%19.2%4.5%22.1%-0.5%7.9%-7.4K-214.9K-6.7K0.52107.41306158950527
2015-07-06$48.56$46.8629.1%8.5%18.8%14.1%30.3%-0.5%-1.9%-665-147.0K-6.4K0.5295.86306158946527
2015-07-07$48.37$46.8628.5%8.3%18.4%13.5%29.2%2.5%-2.3%2.2K-86.2K-6.5K0.52103.92306158946527
2015-07-08$47.78$46.8628.8%8.1%18.8%13.8%28.8%31.9%-0.2%-32.8K75.8K-6.1K0.51105.42310158946527
2015-07-09$48.13$46.8629.7%6.8%18.9%14.8%24.0%3.7%3.6%-22.9K-28.2K-6.1K0.47114.06336158946532
2015-07-10$48.88$46.8627.8%7.6%19.8%12.7%30.5%5.4%4.1%9.4K-285.1K-6.3K0.47102.73336158971532
2015-07-13$49.78$46.8621.3%5.6%20.8%5.7%24.5%4.2%4.7%28.2K-611.3K-6.0K0.46106.20341158971532
2015-07-14$49.75$46.8649.2%7.5%20.3%35.9%22.4%2.4%5.0%24.1K-616.2K-6.3K0.49132.10347171968532
2015-07-15$50.57$46.8634.8%10.0%21.0%20.2%41.5%18.4%-8.0%31.5K-848.3K-6.4K0.60119.00291175964562
2015-07-16$51.23$46.8625.3%7.3%21.4%10.0%29.1%7.7%0.6%38.0K-1.3M-6.4K0.60116.08292175984562
2015-07-17$51.36$46.8624.6%7.0%21.4%9.2%31.6%9.3%0.4%40.6K-674.3K-6.2K0.70109.40250175962562
2015-07-20$51.50$46.8624.0%6.9%21.4%8.6%32.4%8.5%-0.8%46.6K-1.4M-5.3K0.63114.3110164472148
2015-07-21$51.10$46.8622.8%6.5%21.6%7.3%29.9%1.5%-2.0%48.1K-1.3M-5.4K0.61117.3410162478148
2015-07-22$51.31$46.8623.0%6.6%21.4%7.6%36.3%9.3%4.1%43.2K-1.3M-5.8K1.75115.333867478145
2015-07-23$50.22$46.8623.6%6.8%21.6%8.2%24.9%-0.7%1.3%45.8K-1.2M-5.7K1.81116.883869480145
2015-07-24$50.19$51.5522.9%6.6%21.1%7.5%30.1%5.5%1.3%42.9K-1.2M-5.8K1.69118.493865480147
2015-07-27$49.27$51.5525.6%7.3%19.5%10.4%33.6%6.7%-7.2%43.2K-974.3K-5.7K1.39104.813853480149
2015-07-28$49.76$51.5524.9%7.2%17.8%9.6%32.5%7.4%-6.0%39.9K-1.0M-5.8K1.75111.443867480159
2015-07-29$50.29$51.5523.8%6.8%18.0%8.4%34.2%-2.0%1.1%40.1K-1.1M-5.8K1.75108.343867480177
2015-07-30$50.69$51.5525.4%7.3%17.5%10.2%33.3%8.7%1.7%44.3K-1.2M-5.5K1.75114.333867480177
2015-07-31$50.59$51.5527.6%7.9%17.5%12.4%34.9%8.4%-3.9%46.3K-1.2M-5.5K1.75115.143867480177