LBRDA Options History — January 2016

In January 2016, LBRDA traded between $43.30 and $47.32. ATM implied volatility averaged 51.2%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 26.0% (HV 20d: 25.2%). Max pain ranged from $46.86 to $46.86. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.21.

Notable Days

2016-01-25: Highest Volume — 326 contracts
2016-01-11: Largest IV spike — 190.5% change
2016-01-11: Highest IV Rank — 100.0%
2016-01-29: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.21	$43.30	$47.32	$47.32	$44.10
Max Pain	$46.86	$46.86	$46.86	$46.86	$46.86
ATM IV	51.2%	32.3%	122.7%	58.5%	56.8%
Expected Move	11.4%	8.9%	16.3%	13.2%	16.3%
HV 20d	25.2%	24.0%	27.1%	24.3%	27.1%
HV 60d	23.6%	22.8%	25.2%	22.9%	23.5%
IV Rank	34.4%	15.3%	100.0%	45.9%	38.2%
IV Percentile	81.0%	63.1%	100.0%	91.3%	91.7%
Term Structure	-5.8%	-19.8%	8.0%	-17.4%	-4.8%
VWIV	41.4%	32.5%	79.6%	39.6%	79.6%
Skew 25d	7.0%	-15.2%	33.2%	33.2%	19.4%
Skew 10d	6.0%	-18.5%	48.7%	3.6%	-5.3%
Call IV 25d	37.2%	25.3%	75.1%	32.3%	39.4%
Put IV 25d	44.2%	25.5%	65.5%	65.5%	58.8%
Bid-Ask Spread %	125.69	100.40	142.34	105.37	138.54
Gamma HHI	0.56	0.34	0.76	0.68	0.58
Net GEX	-7.8K	-32.2K	1.2K	-6.0K	-17.5K
Net DEX	173.0K	-4.6K	416.5K	62.0K	273.4K
Net VEX	-1.5K	-2.6K	-808	-1.4K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.21	0.35	6.26	0.35	4.47
Total Volume	171.474	103	326	112	321
Total OI	315.579	103	422	343	422

Daily Data (19 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
2016-01-04	$47.32	$0.00	58.5%	13.2%	24.3%	45.9%	0.0%	33.2%	-17.4%	-6.0K	62.0K	-1.4K	0.35	105.37	83	29	197	146
2016-01-05	$46.76	$0.00	55.2%	11.3%	24.0%	42.3%	0.0%	4.0%	-2.8%	-7.0K	198.3K	-1.2K	0.35	116.55	83	29	197	146
2016-01-06	$46.08	$0.00	55.2%	12.2%	24.3%	42.3%	39.6%	12.6%	-14.7%	-5.7K	212.4K	-1.2K	0.49	100.40	83	41	197	146
2016-01-07	$45.84	$46.86	57.6%	10.8%	24.3%	44.9%	39.9%	2.8%	-3.5%	-8.6K	315.8K	-1.3K	0.66	113.58	62	41	197	169
2016-01-08	$46.14	$46.86	42.2%	10.1%	24.5%	28.3%	34.5%	6.2%	-7.2%	-9.5K	219.0K	-1.4K	0.66	107.16	62	41	202	169
2016-01-11	$46.06	$46.86	122.7%	11.8%	24.4%	100.0%	35.0%	-1.8%	-19.8%	-3.5K	142.3K	-1.4K	0.61	142.34	66	41	202	169
2016-01-12	$46.67	$46.86	96.1%	8.9%	24.4%	75.1%	32.5%	-0.6%	3.1%	-10.2K	231.6K	-1.3K	0.94	127.86	66	62	206	169
2016-01-13	$45.07	$46.86	36.9%	10.6%	25.3%	19.6%	41.7%	11.5%	-1.2%	-5.6K	128.0K	-924	0.84	133.44	74	62	206	137
2016-01-14	$46.31	$46.86	45.9%	13.1%	26.6%	28.0%	43.6%	3.0%	-17.7%	-3.9K	123.9K	-982	0.84	112.89	74	62	213	128
2016-01-15	$44.85	$46.86	46.0%	13.2%	24.7%	28.1%	44.9%	-6.3%	-13.5%	1.2K	323.6K	-836	0.96	124.88	74	70	213	128
2016-01-19	$44.82	$46.86	32.3%	9.3%	24.7%	15.3%	38.5%	10.2%	8.0%	572	1.1K	-808	3.46	135.85	26	89	64	39
2016-01-20	$44.37	$46.86	41.1%	11.8%	24.4%	23.5%	38.8%	12.9%	-8.6%	-4.3K	55.5K	-1.2K	1.52	137.90	45	68	75	82
2016-01-21	$44.08	$46.86	41.6%	11.9%	24.4%	24.0%	40.6%	4.4%	-5.6%	-313	34.4K	-1.3K	1.52	127.53	45	68	94	83
2016-01-22	$45.16	$46.86	33.7%	9.6%	25.8%	16.5%	36.1%	21.9%	7.6%	-1.7K	-4.6K	-1.3K	1.52	130.34	45	68	94	83
2016-01-25	$44.38	$46.86	37.2%	10.7%	26.3%	19.8%	41.3%	8.4%	4.8%	-1.3K	21.0K	-1.2K	6.26	120.70	45	281	94	83
2016-01-26	$44.29	$46.86	40.2%	11.5%	26.3%	22.7%	34.3%	-2.5%	-8.7%	-18.9K	301.2K	-2.6K	6.26	137.48	45	281	120	294
2016-01-27	$43.30	$46.86	39.5%	11.3%	26.9%	22.0%	48.5%	-15.2%	-2.3%	-14.3K	230.9K	-2.6K	5.35	142.06	49	262	120	294
2016-01-28	$43.50	$46.86	34.2%	9.8%	26.3%	17.0%	35.1%	9.2%	-5.2%	-32.2K	416.5K	-2.4K	4.92	133.27	53	262	120	298
2016-01-29	$44.10	$46.86	56.8%	16.3%	27.1%	38.2%	79.6%	19.4%	-4.8%	-17.5K	273.4K	-2.5K	4.47	138.54	59	262	124	298