LBRDA Options History — December 2015

In December 2015, LBRDA traded between $45.82 and $50.12. ATM implied volatility averaged 45.1%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 21.7% (HV 20d: 23.3%). Max pain ranged from $46.86 to $46.86. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2015-12-18: Highest Volume — 143 contracts
  • 2015-12-28: Largest IV spike — 77.4% change
  • 2015-12-08: Highest IV Rank — 62.1%
  • 2015-12-02: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.00$45.82$50.12$50.12$48.49
Max Pain$46.86$46.86$46.86$46.86$46.86
ATM IV45.1%24.6%73.5%53.2%42.3%
Expected Move11.8%7.0%20.1%15.3%12.1%
HV 20d23.3%16.4%26.6%16.6%26.3%
HV 60d26.2%22.4%28.0%26.4%22.4%
IV Rank31.4%9.2%62.1%40.2%28.3%
IV Percentile73.3%21.0%96.0%87.7%79.0%
Term Structure-10.0%-32.3%10.5%-23.7%-21.4%
VWIV42.1%25.0%75.5%75.5%46.3%
Skew 25d4.7%-2.9%16.0%5.6%5.6%
Skew 10d11.2%-5.7%25.5%13.2%14.8%
Call IV 25d42.5%25.7%84.3%74.7%31.4%
Put IV 25d47.1%26.7%91.6%80.3%37.0%
Bid-Ask Spread %135.35115.55151.81151.81145.43
Gamma HHI0.590.400.810.460.77
Net GEX-3.8K-14.7K6.6K3.6K-7.4K
Net DEX14.8K-234.0K191.2K-141.9K-6.8K
Net VEX-1.7K-2.1K-1.2K-2.0K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.310.660.650.35
Total Volume118.22701430112
Total OI338.455314363314343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$50.12$46.8653.2%15.3%16.6%40.2%0.0%5.6%-23.7%3.6K-141.9K-2.0K0.00151.8100178136
2015-12-02$50.03$46.8670.0%20.1%16.4%58.3%75.5%7.2%-32.3%6.0K-224.4K-2.1K0.65145.368354178136
2015-12-03$48.19$46.8646.4%10.9%20.6%32.8%47.6%5.3%7.4%6.6K-234.0K-2.0K0.66148.058254182136
2015-12-04$48.83$46.8669.5%13.9%21.4%57.7%52.2%4.1%-22.5%3.1K-94.1K-2.0K0.66123.718254187136
2015-12-07$49.01$46.8669.4%11.1%21.4%57.7%45.7%4.0%-8.3%2.3K-77.4K-1.9K0.00145.8301187136
2015-12-08$48.68$46.8673.5%12.8%21.4%62.1%52.5%4.2%-4.9%3.2K-76.5K-2.0K0.66139.318254187137
2015-12-09$48.29$46.8641.4%11.9%21.3%27.4%53.0%1.9%-3.0%2.6K-53.0K-1.9K0.60143.748249187137
2015-12-10$47.90$46.8633.1%9.5%21.3%18.5%30.1%0.4%-5.3%-7.8K58.1K-1.6K0.57125.018247187147
2015-12-11$47.18$46.8629.6%8.5%21.4%14.7%30.6%4.0%-0.6%-10.9K122.9K-1.7K0.57121.518247187156
2015-12-14$45.82$46.8643.0%12.3%21.0%29.1%60.2%6.6%-23.8%-1.4K89.0K-1.8K0.60141.128249187156
2015-12-15$46.53$46.8630.5%8.7%22.2%15.6%32.8%2.8%10.5%-11.6K191.2K-1.7K0.53121.659349187166
2015-12-16$48.36$46.8635.1%10.1%26.5%20.6%38.5%14.5%-11.4%-9.6K65.8K-1.8K0.53138.289349197166
2015-12-17$47.92$46.8624.6%7.0%26.1%9.2%25.0%-0.2%6.6%-14.7K69.1K-1.7K0.53116.979349197166
2015-12-18$47.21$46.8625.1%7.2%26.0%9.8%25.2%3.5%-4.4%-7.9K137.9K-1.5K0.54115.559350197166
2015-12-21$46.86$46.8634.7%10.0%25.7%20.2%32.3%-0.1%-0.7%-4.4K134.3K-1.6K0.31123.219329197146
2015-12-22$47.44$46.8649.0%14.0%26.3%35.6%41.4%4.2%-16.9%-1.9K73.9K-1.8K0.31143.539329197146
2015-12-23$47.41$46.8633.5%9.6%26.1%18.8%34.1%-1.8%-8.9%-6.4K80.4K-1.5K0.31139.719329197146
2015-12-24$47.45$46.8634.2%9.8%26.0%19.6%33.2%-2.9%-2.2%-6.8K110.5K-1.5K0.31130.199329197146
2015-12-28$47.68$46.8660.7%17.4%26.1%48.3%43.8%7.5%-30.4%-1.5K59.6K-1.7K0.31138.299329197146
2015-12-29$48.30$46.8638.3%11.0%26.6%24.1%36.5%10.2%-10.5%-6.9K37.4K-1.4K0.31140.259329197146
2015-12-30$48.40$46.8654.6%15.6%26.3%41.6%46.7%16.0%-13.0%-11.3K3.2K-1.2K0.31139.189329197146
2015-12-31$48.49$46.8642.3%12.1%26.3%28.3%46.3%5.6%-21.4%-7.4K-6.8K-1.4K0.35145.438329197146