LBRDA Options History — May 2016

In May 2016, LBRDA traded between $53.66 and $55.99. ATM implied volatility averaged 34.2%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 7.7% (HV 20d: 26.5%). Max pain ranged from $46.86 to $51.55. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 3.48.

Notable Days

  • 2016-05-16: Highest Volume — 580 contracts
  • 2016-05-24: Largest IV spike — 73.7% change
  • 2016-05-09: Highest IV Rank — 44.5%
  • 2016-05-26: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.75$53.66$55.99$55.41$54.22
Max Pain$47.53$46.86$51.55$51.55$46.86
ATM IV34.2%19.5%63.5%33.7%40.8%
Expected Move9.1%5.6%14.5%9.7%11.7%
HV 20d26.5%24.3%28.6%26.3%24.3%
HV 60d25.0%23.8%26.1%26.1%25.6%
IV Rank17.1%3.3%44.5%16.6%23.2%
IV Percentile45.1%1.2%92.5%52.8%66.3%
Term Structure-5.9%-38.1%5.9%-5.2%0.6%
VWIV37.2%16.4%57.7%41.7%49.9%
Skew 25d2.5%-17.8%14.8%13.4%14.8%
Skew 10d3.1%-32.3%57.9%18.4%12.5%
Call IV 25d42.3%20.9%66.1%30.3%55.0%
Put IV 25d44.9%25.6%74.1%43.7%69.7%
Bid-Ask Spread %123.6593.25149.10134.76148.50
Gamma HHI0.480.380.590.530.44
Net GEX-24.2K-49.1K-7.9K-39.3K-26.8K
Net DEX14.7K-223.3K116.7K62.2K96.0K
Net VEX-2.8K-3.7K-1.8K-3.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.482.964.474.342.96
Total Volume462.524215580535215
Total OI640.381433783657434

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$55.41$51.5533.7%9.7%26.3%16.6%41.7%13.4%-5.2%-39.3K62.2K-3.1K4.34134.76100435106551
2016-05-03$54.73$51.5525.3%7.2%26.5%8.6%33.8%5.0%-3.7%-31.8K53.2K-3.2K3.8197.10114435106551
2016-05-04$54.84$51.5531.8%9.1%26.3%14.8%33.9%-5.2%-7.4%-29.9K-13.5K-3.1K3.81111.53114435120551
2016-05-05$54.58$46.8631.4%8.0%25.4%14.4%30.8%-7.1%-2.7%-29.8K4.6K-2.9K4.0598.04114462120551
2016-05-06$55.08$46.8638.1%7.8%25.5%20.7%42.0%4.6%-4.7%-21.5K-60.0K-3.0K4.0599.69114462146577
2016-05-09$54.80$46.8663.5%7.6%25.5%44.5%35.1%10.7%3.5%-26.0K91.7K-3.7K3.84108.98114439146577
2016-05-10$55.75$46.8628.1%8.2%26.2%11.4%29.5%7.6%-5.4%-7.9K-132.2K-3.1K3.84108.83114439146574
2016-05-11$55.99$46.8619.5%5.6%25.9%3.3%16.4%4.9%-1.5%-16.8K-86.1K-2.7K3.84127.26114439146574
2016-05-12$55.17$46.8623.7%6.8%26.1%7.2%23.7%0.7%-0.4%-21.0K78.0K-3.1K3.84114.45114439146574
2016-05-13$55.70$46.8624.1%6.9%26.2%7.6%23.1%10.8%5.9%-22.8K-16.7K-2.9K4.47132.5998439146574
2016-05-16$54.24$46.8622.1%6.3%27.9%5.7%25.0%5.4%-8.3%-31.6K69-2.8K3.11132.12141439157574
2016-05-17$53.93$46.8627.7%7.9%28.0%11.0%25.8%0.1%-1.9%-24.4K116.1K-3.0K3.1193.25141439209574
2016-05-18$53.84$46.8643.7%12.5%26.6%26.0%56.6%8.0%1.3%-49.1K58.9K-3.0K3.11145.26141439209574
2016-05-19$54.02$46.8626.8%7.7%26.5%10.1%28.0%9.4%-3.8%-14.0K-17.4K-2.4K3.11119.93141439209574
2016-05-20$55.81$46.8638.2%10.9%28.6%20.8%45.0%-17.8%-10.5%-15.7K-223.3K-1.8K3.04138.62141428209574
2016-05-23$54.23$46.8623.7%6.8%26.9%7.2%24.5%-6.2%-1.6%-14.9K35.5K-2.1K2.96127.725416164369
2016-05-24$55.32$46.8641.1%11.8%27.9%23.5%57.7%12.0%-23.7%-20.7K-28.4K-2.0K2.96133.185416165369
2016-05-25$54.54$46.8639.2%11.2%27.0%21.7%53.0%-12.4%-38.1%-18.9K74.3K-2.5K2.96128.135416165369
2016-05-26$53.66$46.8650.6%14.5%26.9%32.4%49.9%-17.4%-6.3%-21.4K116.7K-2.6K2.96147.525416165369
2016-05-27$53.94$46.8646.1%13.2%26.9%28.2%56.4%12.2%-9.5%-23.6K99.4K-2.6K2.96149.105416165369
2016-05-31$54.22$46.8640.8%11.7%24.3%23.2%49.9%14.8%0.6%-26.8K96.0K-2.4K2.96148.505416165369