LBRDA Options History — October 2015

In October 2015, LBRDA traded between $48.96 and $52.37. ATM implied volatility averaged 52.8%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 19.7% (HV 20d: 33.2%). Max pain ranged from $46.86 to $56.23. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2015-10-13: Highest Volume — 292 contracts
  • 2015-10-21: Largest IV spike — 59.9% change
  • 2015-10-13: Highest IV Rank — 88.8%
  • 2015-10-01: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.02$48.96$52.37$48.96$51.27
Max Pain$52.25$46.86$56.23$46.86$51.55
ATM IV52.8%31.6%98.3%76.2%52.3%
Expected Move12.3%8.7%21.8%21.8%15.0%
HV 20d33.2%27.5%35.5%31.6%27.5%
HV 60d28.1%26.5%28.9%26.5%28.9%
IV Rank39.7%16.8%88.8%65.0%39.1%
IV Percentile86.9%65.2%99.1%97.7%88.7%
Term Structure-10.0%-26.7%20.0%-25.7%-13.9%
VWIV33.7%23.4%91.8%91.8%26.6%
Skew 25d19.7%-13.6%58.2%13.8%9.6%
Skew 10d16.2%-2.5%54.6%43.9%12.0%
Call IV 25d35.9%24.4%89.0%89.0%50.7%
Put IV 25d55.7%24.0%102.8%102.8%60.2%
Bid-Ask Spread %128.6091.67150.41139.51150.41
Gamma HHI0.560.330.730.400.60
Net GEX27.5K4.6K54.8K27.2K14.3K
Net DEX-683.2K-1.2M-146.2K-847.2K-334.0K
Net VEX-3.0K-4.4K-2.1K-4.4K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.300.820.820.31
Total Volume204.2730292151162
Total OI520327692692349

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$48.96$46.8676.2%21.8%31.6%65.0%91.8%13.8%-25.7%27.2K-847.2K-4.4K0.82139.518368489203
2015-10-02$50.68$46.8651.9%14.9%33.5%38.7%53.1%5.7%2.4%36.5K-888.2K-3.9K0.44128.2015768489203
2015-10-05$52.37$0.0045.3%10.0%35.5%31.6%0.0%4.0%-12.5%45.8K-1.2M-3.3K0.00145.5000455202
2015-10-06$51.59$0.0047.3%8.7%35.4%33.8%28.3%-4.9%-2.6%42.5K-1.2M-3.1K0.31121.9322268451203
2015-10-07$51.38$56.2357.0%13.4%35.3%44.2%30.1%16.0%-19.2%42.7K-958.0K-3.6K0.3397.2220768468203
2015-10-08$51.96$56.2370.3%9.0%35.0%58.6%26.7%6.1%-1.3%44.0K-922.8K-3.3K0.33115.6420768455203
2015-10-09$51.99$56.2383.4%10.9%35.0%72.7%26.6%30.8%-14.1%40.6K-995.3K-3.5K0.33134.9020768455203
2015-10-12$51.79$56.2366.2%10.2%34.9%54.2%31.1%5.8%-6.1%45.1K-994.6K-3.1K0.3391.6720768455203
2015-10-13$51.68$56.2398.3%9.2%34.8%88.8%30.6%30.2%-3.5%41.5K-965.2K-3.0K0.30105.6022468455203
2015-10-14$51.12$51.5541.5%11.9%34.9%27.5%29.3%13.0%-17.7%36.3K-810.6K-3.1K0.30122.7222468455203
2015-10-15$52.16$51.5539.6%11.4%34.3%25.5%23.4%16.1%-14.9%54.8K-1.1M-2.9K0.30135.7122468455203
2015-10-16$52.10$51.5535.0%10.0%34.0%20.5%34.3%-3.1%-2.0%18.8K-1.2M-2.3K0.42114.7016468455203
2015-10-19$51.50$51.5551.3%14.7%33.3%38.1%29.0%-13.6%-20.8%15.5K-376.5K-2.8K0.31125.141243822998
2015-10-20$51.33$51.5531.6%9.1%32.7%16.8%30.5%-5.5%4.0%20.2K-404.5K-2.6K0.3199.4812438229120
2015-10-21$49.30$51.5550.5%14.5%35.5%37.3%41.6%24.0%-19.1%10.7K-253.8K-2.9K0.31139.3212438229120
2015-10-22$49.56$51.5544.8%12.8%34.7%31.1%32.1%50.6%-6.3%12.0K-229.4K-2.9K0.31144.2612438229120
2015-10-23$50.15$51.5544.0%12.6%35.0%30.3%26.8%49.9%-13.8%13.1K-301.5K-2.7K0.31137.6912438229120
2015-10-26$50.33$51.5535.9%10.3%29.9%21.4%27.7%45.7%-7.5%13.1K-282.1K-2.8K0.31148.2012438229120
2015-10-27$49.42$51.5552.0%14.9%29.0%38.9%33.0%43.9%-26.7%10.6K-252.3K-2.8K0.31142.0812438229120
2015-10-28$50.01$51.5534.5%9.9%27.7%19.9%28.7%38.2%20.0%4.6K-146.2K-2.1K0.31148.3512438229120
2015-10-29$51.77$51.5553.2%15.3%29.7%40.2%26.6%58.2%-19.6%15.5K-353.4K-2.4K0.31141.0912438229120
2015-10-30$51.27$51.5552.3%15.0%27.5%39.1%26.6%9.6%-13.9%14.3K-334.0K-2.8K0.31150.4112438229120