LBRDA Options History — September 2015

In September 2015, LBRDA traded between $46.93 and $53.36. ATM implied volatility averaged 33.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 7.4% (HV 20d: 26.3%). 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 13 of 21 days. Put/call ratio averaged 0.40.

Notable Days

2015-09-09: Highest Volume — 201 contracts
2015-09-28: Largest IV spike — 128.9% change
2015-09-29: Highest IV Rank — 73.4%
2015-09-29: Largest Expected Move — 24.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.10	$46.93	$53.36	$50.53	$48.26
Max Pain	$47.31	$46.86	$51.55	$51.55	$46.86
ATM IV	33.7%	24.7%	84.0%	27.5%	30.7%
Expected Move	9.7%	7.1%	24.1%	7.9%	8.8%
HV 20d	26.3%	22.2%	31.3%	27.6%	31.3%
HV 60d	23.3%	22.1%	26.4%	22.1%	26.4%
IV Rank	19.1%	9.3%	73.4%	12.3%	15.8%
IV Percentile	60.5%	26.7%	99.1%	45.9%	64.8%
Term Structure	0.0%	-26.0%	8.4%	1.6%	7.9%
VWIV	37.9%	27.3%	98.3%	29.6%	38.3%
Skew 25d	4.6%	-4.0%	18.6%	-1.1%	8.3%
Skew 10d	7.7%	-7.4%	29.5%	6.6%	14.5%
Call IV 25d	35.2%	25.4%	84.6%	31.7%	37.1%
Put IV 25d	39.8%	25.8%	103.2%	30.5%	45.4%
Bid-Ask Spread %	104.68	89.75	138.69	115.13	100.63
Gamma HHI	0.35	0.33	0.42	0.34	0.39
Net GEX	46.1K	33.3K	55.3K	39.7K	33.3K
Net DEX	-1.1M	-1.5M	-509.6K	-994.7K	-509.6K
Net VEX	-4.3K	-5.0K	-3.6K	-4.7K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	0.82	0.34	0.82
Total Volume	160.095	0	201	197	151
Total OI	665.524	634	686	634	686

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
2015-09-01	$50.53	$51.55	27.5%	7.9%	27.6%	12.3%	29.6%	-1.1%	1.6%	39.7K	-994.7K	-4.7K	0.34	115.13	147	50	453	181
2015-09-02	$51.03	$51.55	30.5%	8.8%	26.0%	15.7%	34.8%	10.0%	1.5%	42.4K	-1.1M	-5.0K	0.34	115.39	147	50	480	181
2015-09-03	$51.96	$46.86	29.9%	8.7%	26.4%	14.9%	32.0%	2.2%	-0.1%	44.8K	-1.3M	-4.9K	0.35	98.52	147	51	480	181
2015-09-04	$51.63	$46.86	28.4%	9.0%	26.5%	13.4%	32.2%	3.2%	-0.8%	44.1K	-1.2M	-4.8K	0.35	96.84	148	51	480	182
2015-09-08	$52.46	$46.86	32.8%	9.3%	26.5%	18.1%	0.0%	4.4%	-2.6%	46.6K	-1.3M	-4.7K	0.00	89.75	6	0	482	181
2015-09-09	$52.02	$46.86	30.1%	8.6%	26.7%	15.2%	30.9%	4.3%	-0.0%	50.7K	-1.3M	-4.6K	0.34	95.96	150	51	489	182
2015-09-10	$51.11	$46.86	32.1%	9.2%	27.2%	17.3%	30.3%	-1.3%	0.9%	48.8K	-1.3M	-4.5K	0.34	90.01	149	51	489	182
2015-09-11	$51.07	$46.86	28.8%	8.3%	27.0%	13.8%	33.6%	2.9%	2.5%	50.3K	-1.2M	-4.6K	0.34	103.21	149	51	490	182
2015-09-14	$50.79	$46.86	31.4%	9.0%	27.0%	16.6%	35.6%	5.2%	0.9%	49.8K	-1.1M	-4.4K	0.34	97.54	149	51	490	182
2015-09-15	$51.31	$46.86	32.9%	9.4%	25.7%	18.3%	0.0%	2.9%	-2.5%	48.5K	-1.1M	-4.5K	0.00	104.85	0	0	490	181
2015-09-16	$51.58	$46.86	30.6%	8.8%	25.6%	15.7%	33.8%	7.9%	-2.8%	52.0K	-1.1M	-4.3K	0.38	97.96	136	51	490	182
2015-09-17	$52.99	$46.86	29.3%	8.4%	27.5%	14.3%	34.2%	7.3%	-0.7%	55.3K	-1.5M	-4.1K	0.36	94.02	141	51	492	182
2015-09-18	$52.29	$46.86	28.2%	8.1%	26.5%	13.2%	34.3%	0.4%	1.5%	51.8K	-1.4M	-4.1K	0.38	103.36	136	51	496	182
2015-09-21	$53.36	$46.86	26.5%	7.6%	24.8%	11.3%	39.2%	9.4%	4.1%	47.3K	-1.4M	-4.3K	0.35	105.90	128	45	490	176
2015-09-22	$52.35	$46.86	24.7%	7.1%	22.8%	9.3%	27.3%	-0.7%	8.4%	50.8K	-1.4M	-3.8K	0.47	98.85	96	45	490	176
2015-09-23	$51.94	$46.86	27.8%	8.0%	23.0%	12.7%	31.8%	-4.0%	4.6%	49.8K	-1.3M	-3.7K	0.47	112.74	96	45	480	176
2015-09-24	$50.67	$46.86	28.7%	8.2%	24.7%	13.7%	35.9%	5.8%	0.5%	46.3K	-1.0M	-4.0K	0.47	108.39	96	45	480	176
2015-09-25	$50.60	$46.86	28.0%	8.0%	22.2%	12.9%	37.0%	9.1%	0.7%	46.9K	-1.0M	-3.8K	0.47	108.46	96	45	480	176
2015-09-28	$48.19	$46.86	64.1%	18.4%	28.0%	51.9%	51.1%	1.9%	0.7%	35.0K	-658.7K	-3.8K	0.47	122.05	96	45	485	176
2015-09-29	$46.93	$46.86	84.0%	24.1%	29.2%	73.4%	98.3%	18.6%	-26.0%	33.4K	-815.6K	-4.1K	0.67	138.69	101	68	491	176
2015-09-30	$48.26	$46.86	30.7%	8.8%	31.3%	15.8%	38.3%	8.3%	7.9%	33.3K	-509.6K	-3.6K	0.82	100.63	83	68	483	203