LBRDA Options History — March 2016

In March 2016, LBRDA traded between $48.28 and $54.98. ATM implied volatility averaged 34.2%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.7% (HV 20d: 25.5%). Max pain ranged from $42.17 to $51.55. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.75.

Notable Days

  • 2016-03-31: Highest Volume — 432 contracts
  • 2016-03-09: Largest IV drop — 69.4% change
  • 2016-03-08: Highest IV Rank — 56.6%
  • 2016-03-01: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.56$48.28$54.98$48.47$54.57
Max Pain$43.03$42.17$51.55$42.17$51.55
ATM IV34.2%21.5%76.4%52.2%27.0%
Expected Move8.8%6.2%15.0%15.0%7.7%
HV 20d25.5%19.0%30.4%30.4%26.2%
HV 60d28.1%25.9%29.0%28.7%28.5%
IV Rank17.0%5.1%56.6%33.9%10.3%
IV Percentile40.6%4.8%98.0%84.9%24.6%
Term Structure2.2%-14.2%33.8%-7.5%4.8%
VWIV35.6%26.6%53.7%42.0%28.8%
Skew 25d7.1%-26.6%27.3%-2.2%2.8%
Skew 10d13.2%-25.0%54.0%2.6%9.1%
Call IV 25d32.5%21.6%75.4%48.7%25.7%
Put IV 25d39.6%26.5%85.3%46.5%28.5%
Bid-Ask Spread %123.4194.47149.03140.65134.43
Gamma HHI0.660.470.840.470.72
Net GEX37.3K1.8K88.0K1.8K33.3K
Net DEX-875.2K-1.5M-99.6K-99.6K-1.5M
Net VEX-2.8K-3.6K-2.0K-3.2K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.453.940.453.94
Total Volume244.955185432187432
Total OI705.864571791571791

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$48.47$42.1752.2%15.0%30.4%33.9%42.0%-2.2%-7.5%1.8K-99.6K-3.2K0.45140.6512958249322
2016-03-02$48.28$42.1746.6%13.4%27.5%28.7%34.5%-26.6%4.4%9.9K-301.7K-2.8K0.45149.0312958249322
2016-03-03$48.96$42.1745.7%10.4%27.3%27.8%34.5%9.8%-10.8%19.8K-363.1K-2.9K0.45123.9912758249322
2016-03-04$49.03$42.1764.8%11.8%26.4%45.7%45.4%27.3%-14.2%20.3K-321.7K-3.2K1.29138.19127163294322
2016-03-07$49.44$42.1745.6%9.6%25.0%27.7%38.8%9.1%-7.7%18.5K-437.5K-3.5K2.19102.7875163294428
2016-03-08$49.12$42.1776.4%12.0%24.0%56.6%51.3%17.2%-13.3%13.6K-353.7K-3.6K2.19139.1875163300428
2016-03-09$49.63$42.1723.4%6.7%24.0%6.9%34.4%7.0%4.2%36.4K-490.2K-3.4K2.19132.4475163300428
2016-03-10$49.09$42.1732.9%9.4%22.6%15.8%32.9%11.1%-5.7%16.2K-342.1K-3.3K1.76125.2793163300428
2016-03-11$49.96$42.1726.0%7.5%20.6%9.3%35.6%9.8%-1.1%40.3K-536.2K-3.4K1.7694.4793163323428
2016-03-14$49.64$42.1721.5%6.2%19.0%5.1%53.7%25.6%-0.2%20.3K-564.0K-3.4K1.76112.1793163323428
2016-03-15$49.70$42.1724.8%7.1%19.1%8.2%36.3%10.2%-1.4%40.3K-506.1K-2.4K1.63122.4981132335429
2016-03-16$52.96$42.1731.5%9.0%26.9%14.5%27.3%4.4%-4.0%88.0K-1.1M-2.3K1.36131.4797132335429
2016-03-17$53.18$42.1726.4%7.6%26.9%9.8%26.6%14.4%5.9%55.1K-1.3M-2.4K1.36127.2897132363428
2016-03-18$54.03$42.1722.9%6.6%27.0%6.5%27.4%6.3%0.5%49.1K-1.4M-2.6K1.58120.8497154363428
2016-03-21$53.95$42.1723.9%6.9%27.2%7.4%28.0%4.4%31.6%52.0K-1.4M-2.1K1.38113.1796132362320
2016-03-22$54.04$42.1733.7%9.7%27.1%16.6%44.1%2.8%33.8%38.5K-1.3M-2.9K1.72118.2977132362320
2016-03-23$53.64$42.1727.8%8.0%27.7%11.0%43.6%15.9%25.1%50.4K-1.3M-2.6K1.72122.7377132364320
2016-03-24$53.27$42.1723.2%6.7%26.5%6.7%26.9%-1.0%8.0%61.1K-1.3M-2.7K1.72107.2477132364320
2016-03-28$53.53$42.1728.4%8.2%26.2%11.6%32.6%-0.8%-2.1%58.2K-1.3M-2.5K1.72125.5977132364320
2016-03-29$54.77$42.1725.5%7.3%26.8%8.9%29.9%4.8%-1.2%67.5K-1.5M-2.0K3.10118.2877238364320
2016-03-30$54.98$51.5522.3%6.4%26.0%5.9%29.5%4.4%-1.4%30.5K-1.5M-2.0K2.72115.1387238364427
2016-03-31$54.57$51.5527.0%7.7%26.2%10.3%28.8%2.8%4.8%33.3K-1.5M-2.1K3.94134.4387345364427