LBRDA Options History — November 2015

In November 2015, LBRDA traded between $49.31 and $51.78. ATM implied volatility averaged 48.2%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 25.4% (HV 20d: 22.9%). Max pain ranged from $46.86 to $51.55. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.45.

Notable Days

2015-11-04: Highest Volume — 179 contracts
2015-11-30: Largest IV spike — 133.3% change
2015-11-10: Highest IV Rank — 62.3%
2015-11-02: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.50	$49.31	$51.78	$51.56	$49.68
Max Pain	$47.09	$46.86	$51.55	$51.55	$46.86
ATM IV	48.2%	23.3%	73.7%	61.4%	54.3%
Expected Move	12.5%	6.7%	17.6%	17.6%	15.6%
HV 20d	22.9%	16.3%	25.5%	24.9%	16.3%
HV 60d	27.7%	26.3%	28.9%	28.9%	26.3%
IV Rank	34.8%	7.8%	62.3%	49.0%	41.3%
IV Percentile	81.2%	14.7%	96.3%	93.3%	88.9%
Term Structure	-15.4%	-27.6%	17.7%	-24.4%	-23.3%
VWIV	60.7%	29.4%	84.4%	30.2%	29.4%
Skew 25d	10.7%	-22.8%	50.3%	50.3%	5.7%
Skew 10d	14.9%	-0.6%	46.0%	18.3%	10.2%
Call IV 25d	51.4%	20.6%	74.6%	27.5%	73.6%
Put IV 25d	62.1%	29.2%	81.8%	77.8%	79.3%
Bid-Ask Spread %	138.70	111.38	150.49	136.52	150.49
Gamma HHI	0.53	0.35	0.69	0.62	0.48
Net GEX	9.7K	-2.0K	18.5K	15.6K	3.3K
Net DEX	-245.4K	-425.9K	-80.7K	-384.7K	-119.9K
Net VEX	-2.3K	-2.6K	-1.7K	-2.5K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.31	0.65	0.31	0.65
Total Volume	119.5	0	179	163	0
Total OI	351	314	369	349	314

Daily Data (20 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
2015-11-02	$51.56	$51.55	61.4%	17.6%	24.9%	49.0%	30.2%	50.3%	-24.4%	15.6K	-384.7K	-2.5K	0.31	136.52	125	38	229	120
2015-11-03	$51.78	$46.86	54.8%	15.7%	24.4%	41.9%	51.9%	24.8%	-23.3%	17.1K	-399.3K	-2.5K	0.31	146.70	125	38	230	120
2015-11-04	$51.30	$46.86	54.6%	15.7%	24.5%	41.7%	75.0%	5.1%	-22.2%	14.3K	-344.7K	-2.6K	0.44	149.10	125	54	230	120
2015-11-05	$51.12	$46.86	67.0%	12.6%	24.2%	55.1%	63.0%	8.3%	-23.3%	13.5K	-333.3K	-2.6K	0.44	125.05	125	54	230	136
2015-11-06	$51.31	$46.86	58.4%	9.7%	24.2%	45.7%	0.0%	4.2%	-16.2%	14.7K	-299.4K	-2.6K	0.00	143.99	0	0	230	136
2015-11-09	$50.90	$46.86	41.1%	7.1%	24.4%	27.0%	0.0%	8.0%	17.7%	6.4K	-187.7K	-2.0K	0.00	129.09	0	0	230	136
2015-11-10	$51.15	$46.86	73.7%	12.4%	24.5%	62.3%	65.3%	9.5%	-27.6%	15.1K	-425.9K	-2.6K	0.44	143.74	125	54	230	136
2015-11-11	$51.24	$46.86	36.6%	10.5%	24.1%	22.2%	65.2%	42.4%	-13.6%	18.5K	-334.4K	-2.4K	0.44	113.93	125	54	230	136
2015-11-12	$51.56	$46.86	37.9%	10.9%	23.1%	23.6%	73.2%	14.1%	-8.2%	14.1K	-366.1K	-2.6K	0.44	142.48	125	54	230	136
2015-11-13	$49.96	$46.86	46.4%	13.3%	25.5%	32.8%	37.4%	5.7%	-21.0%	9.9K	-345.1K	-2.6K	0.44	119.81	125	54	230	136
2015-11-16	$49.70	$46.86	41.7%	11.9%	25.3%	27.7%	0.0%	-22.8%	-22.2%	7.5K	-140.4K	-2.2K	0.00	145.71	0	0	230	136
2015-11-17	$50.00	$46.86	44.4%	12.7%	25.5%	30.6%	64.1%	9.8%	-25.3%	6.9K	-144.9K	-2.1K	0.44	143.02	125	54	230	136
2015-11-18	$50.65	$46.86	40.8%	11.7%	21.3%	26.8%	76.2%	2.5%	-10.1%	12.8K	-277.1K	-2.3K	0.44	146.67	125	54	233	136
2015-11-19	$49.79	$46.86	43.6%	12.5%	22.2%	29.8%	62.1%	2.5%	-12.1%	10.6K	-214.5K	-2.3K	0.44	142.18	125	54	233	136
2015-11-20	$50.16	$46.86	43.2%	12.4%	21.9%	29.4%	72.1%	13.1%	-5.7%	4.9K	-144.9K	-2.2K	0.44	140.55	125	54	233	136
2015-11-23	$49.91	$46.86	46.1%	13.2%	22.0%	32.5%	0.0%	4.9%	-16.2%	3.7K	-127.8K	-2.1K	0.00	148.51	0	0	178	136
2015-11-24	$49.31	$46.86	46.9%	13.5%	21.4%	33.4%	0.0%	5.0%	-17.9%	2.4K	-80.7K	-2.1K	0.00	147.84	0	0	178	136
2015-11-25	$49.49	$46.86	48.5%	13.9%	21.0%	35.0%	84.4%	16.8%	-7.5%	4.4K	-152.9K	-2.2K	0.65	147.25	83	54	178	136
2015-11-27	$49.43	$46.86	23.3%	6.7%	16.4%	7.8%	29.4%	3.2%	-4.7%	-2.0K	-84.0K	-1.7K	0.65	111.38	83	54	178	136
2015-11-30	$49.68	$46.86	54.3%	15.6%	16.3%	41.3%	0.0%	5.7%	-23.3%	3.3K	-119.9K	-2.0K	0.00	150.49	0	0	178	136