LBRDA Options History — August 2015

In August 2015, LBRDA traded between $48.65 and $53.00. ATM implied volatility averaged 29.7%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.3% (HV 20d: 23.4%). Max pain ranged from $46.86 to $51.55. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2015-08-14: Highest Volume — 220 contracts
2015-08-04: Largest IV drop — 48.6% change
2015-08-03: Highest IV Rank — 39.3%
2015-08-03: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.03	$48.65	$53.00	$51.37	$51.02
Max Pain	$48.42	$46.86	$51.55	$51.55	$51.55
ATM IV	29.7%	20.2%	52.4%	52.4%	28.8%
Expected Move	8.2%	5.8%	15.0%	15.0%	8.3%
HV 20d	23.4%	18.1%	29.1%	18.1%	28.6%
HV 60d	20.3%	18.5%	22.3%	18.5%	22.1%
IV Rank	14.7%	4.5%	39.3%	39.3%	13.8%
IV Percentile	51.8%	3.2%	90.3%	90.3%	53.8%
Term Structure	-0.2%	-25.9%	8.0%	-25.9%	2.7%
VWIV	30.8%	19.2%	38.6%	29.7%	32.8%
Skew 25d	3.7%	-3.4%	13.2%	4.7%	9.2%
Skew 10d	6.1%	-9.5%	28.7%	28.7%	12.3%
Call IV 25d	32.1%	22.0%	71.0%	71.0%	30.6%
Put IV 25d	35.8%	22.3%	75.7%	75.7%	39.8%
Bid-Ask Spread %	109.74	82.18	146.96	146.96	115.28
Gamma HHI	0.33	0.31	0.35	0.35	0.33
Net GEX	46.2K	35.3K	56.9K	52.0K	40.7K
Net DEX	-1.2M	-1.6M	-781.7K	-1.4M	-957.9K
Net VEX	-5.5K	-6.1K	-4.7K	-4.7K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.00	1.43	0.00	0.42
Total Volume	152.476	0	220	27	171
Total OI	705.952	634	751	656	634

Daily Data (21 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
2015-08-03	$51.37	$51.55	52.4%	15.0%	18.1%	39.3%	0.0%	4.7%	-25.9%	52.0K	-1.4M	-4.7K	0.00	146.96	27	0	480	176
2015-08-04	$52.44	$51.55	26.9%	7.7%	19.0%	11.7%	29.7%	4.0%	1.0%	42.9K	-1.4M	-5.5K	1.43	118.70	47	67	476	177
2015-08-05	$50.97	$51.55	27.8%	8.0%	21.5%	12.7%	30.6%	1.6%	-3.9%	44.0K	-1.3M	-5.3K	0.73	119.48	92	67	476	177
2015-08-06	$50.38	$46.86	30.9%	7.2%	22.1%	16.1%	29.4%	-0.1%	0.2%	47.7K	-1.1M	-5.7K	0.73	111.02	92	67	523	177
2015-08-07	$50.22	$46.86	31.8%	6.9%	21.6%	17.0%	31.2%	6.7%	0.5%	47.2K	-1.1M	-5.6K	1.15	99.33	92	106	523	177
2015-08-10	$51.06	$46.86	29.3%	7.2%	21.4%	14.3%	33.1%	2.1%	-0.1%	48.4K	-1.3M	-5.9K	1.15	99.69	92	106	523	224
2015-08-11	$51.10	$46.86	28.8%	7.8%	21.4%	13.8%	0.0%	0.5%	-1.0%	46.2K	-1.2M	-6.1K	0.00	108.57	0	0	523	223
2015-08-12	$50.58	$46.86	29.8%	8.6%	21.0%	14.9%	29.9%	-1.6%	-3.5%	45.9K	-1.1M	-6.1K	1.10	103.22	96	106	523	224
2015-08-13	$51.12	$46.86	25.9%	7.4%	20.8%	10.7%	26.3%	1.1%	0.5%	52.2K	-1.3M	-6.0K	1.10	82.18	96	106	527	224
2015-08-14	$51.21	$46.86	24.7%	7.1%	20.8%	9.4%	28.0%	4.2%	1.8%	49.7K	-1.2M	-5.9K	0.93	112.83	114	106	527	224
2015-08-17	$52.49	$46.86	25.1%	7.2%	22.6%	9.7%	26.5%	13.2%	4.5%	54.9K	-1.5M	-5.5K	0.93	100.59	113	106	517	224
2015-08-18	$52.91	$46.86	20.2%	5.8%	22.5%	4.5%	19.2%	-2.2%	6.8%	56.9K	-1.6M	-5.4K	0.93	110.45	113	106	517	224
2015-08-19	$53.00	$46.86	29.4%	8.4%	22.5%	14.4%	38.4%	4.5%	-9.5%	46.8K	-1.6M	-5.1K	0.00	141.98	1	0	517	223
2015-08-20	$51.73	$46.86	25.6%	7.3%	22.8%	10.3%	26.3%	-3.4%	1.5%	56.6K	-1.3M	-5.5K	0.93	110.58	114	106	519	224
2015-08-21	$50.22	$46.86	25.1%	7.2%	25.4%	9.8%	29.9%	2.8%	3.5%	44.5K	-1.1M	-5.5K	0.93	105.06	114	106	519	224
2015-08-24	$48.65	$46.86	35.8%	10.3%	27.1%	21.3%	38.6%	4.3%	3.6%	35.3K	-781.7K	-5.5K	0.94	95.23	51	48	496	179
2015-08-25	$49.10	$46.86	34.3%	9.8%	27.0%	19.7%	38.3%	-0.7%	3.3%	36.8K	-859.1K	-5.5K	0.71	109.32	67	48	495	179
2015-08-26	$49.68	$51.55	36.9%	10.6%	27.1%	22.5%	37.4%	3.4%	0.3%	38.2K	-933.1K	-5.8K	0.75	113.34	67	50	517	181
2015-08-27	$51.20	$51.55	22.5%	6.5%	29.1%	7.0%	27.2%	12.7%	8.0%	44.9K	-1.2M	-5.6K	0.42	96.75	121	50	517	181
2015-08-28	$51.14	$51.55	31.0%	8.9%	29.1%	16.2%	32.9%	11.1%	1.2%	39.3K	-987.0K	-4.9K	0.42	104.05	121	50	453	181
2015-08-31	$51.02	$51.55	28.8%	8.3%	28.6%	13.8%	32.8%	9.2%	2.7%	40.7K	-957.9K	-4.7K	0.42	115.28	121	50	453	181