LBRDA Options History — June 2016

In June 2016, LBRDA traded between $52.83 and $56.24. ATM implied volatility averaged 32.0%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 8.0% (HV 20d: 24.0%). Max pain ranged from $46.86 to $51.55. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.47.

Notable Days

  • 2016-06-10: Highest Volume — 234 contracts
  • 2016-06-23: Largest IV spike — 78.8% change
  • 2016-06-03: Highest IV Rank — 31.1%
  • 2016-06-23: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.20$52.83$56.24$55.67$55.60
Max Pain$51.33$46.86$51.55$46.86$51.55
ATM IV32.0%17.6%49.1%37.6%31.9%
Expected Move8.0%5.0%12.4%10.8%9.1%
HV 20d24.0%16.8%26.3%25.8%25.9%
HV 60d24.2%22.1%26.0%26.0%25.6%
IV Rank13.9%0.0%31.1%20.2%13.6%
IV Percentile39.7%0.0%80.2%60.3%42.1%
Term Structure-1.8%-29.2%27.2%-13.4%5.5%
VWIV31.6%17.2%59.1%32.5%36.1%
Skew 25d1.4%-14.5%22.8%19.0%0.8%
Skew 10d14.4%-25.6%49.9%-4.1%42.9%
Call IV 25d36.4%16.8%81.1%52.1%32.7%
Put IV 25d37.7%21.7%71.1%71.1%33.5%
Bid-Ask Spread %118.9283.62146.67146.67137.90
Gamma HHI0.550.360.770.480.65
Net GEX-15.9K-26.4K-2.5K-8.3K-17.9K
Net DEX88.4K-74.9K248.6K-62.9K71.1K
Net VEX-1.8K-2.2K-1.4K-1.7K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.472.964.062.964.06
Total Volume207.545183234215183
Total OI414.455392434434394

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$55.67$46.8637.6%10.8%25.8%20.2%32.5%19.0%-13.4%-8.3K-62.9K-1.7K2.96146.675416165369
2016-06-02$56.18$51.5542.2%5.1%25.9%24.5%29.0%-14.0%9.0%-13.6K-41.4K-2.1K2.96103.705416165369
2016-06-03$55.98$51.5549.1%5.9%25.9%31.1%18.9%13.5%8.1%-4.6K-74.9K-1.8K2.96107.025416165369
2016-06-06$55.26$51.5529.6%5.3%26.2%12.8%22.7%1.1%6.6%-11.1K-50.3K-1.8K2.96105.035416165369
2016-06-07$55.76$51.5548.2%5.3%26.3%28.6%23.6%-12.4%5.2%-18.8K-2.7K-1.5K2.96112.165416149369
2016-06-08$56.07$51.5520.8%5.9%25.7%2.4%25.3%-12.1%1.7%-10.8K11.6K-1.7K2.9683.625416149369
2016-06-09$56.11$51.5517.6%5.0%25.6%0.0%17.2%22.8%4.9%-2.5K-7.4K-1.6K2.96102.185416149369
2016-06-10$56.13$51.5527.8%8.0%25.0%9.7%28.6%0.0%3.0%-10.8K83.8K-2.0K3.31112.625418049369
2016-06-13$54.99$51.5535.2%10.1%25.9%16.8%37.1%-14.5%-5.7%-16.0K221.7K-2.2K3.31107.195418049385
2016-06-14$54.72$51.5533.0%9.5%24.1%14.7%38.9%-10.3%-17.3%-21.9K204.0K-2.1K3.31130.505418049385
2016-06-15$54.70$51.5522.7%6.5%24.0%4.9%34.5%-0.5%1.1%-19.7K112.2K-1.7K3.31118.925418049385
2016-06-16$55.20$51.5530.4%8.7%24.2%12.2%32.1%1.1%-3.8%-16.2K198.2K-1.9K3.31127.745418049385
2016-06-17$55.23$51.5529.6%8.5%24.2%11.5%30.6%3.7%-2.6%-15.8K193.6K-1.7K3.31124.435418049385
2016-06-20$55.26$51.5531.5%9.0%21.1%13.2%26.6%1.4%27.2%-17.3K94.1K-1.7K3.63126.394114735357
2016-06-21$55.07$51.5520.3%5.8%18.3%2.6%29.3%6.7%2.5%-16.0K94.1K-1.7K3.63113.494114735357
2016-06-22$55.45$51.5524.2%7.0%17.0%6.4%33.7%5.7%-2.3%-23.1K81.5K-1.5K4.06128.043614735357
2016-06-23$56.24$51.5543.3%12.4%16.8%24.5%59.1%9.7%-22.4%-19.4K72.3K-1.4K4.06132.753614737357
2016-06-24$53.47$51.5535.9%10.3%24.4%17.5%41.8%-12.0%-29.2%-26.4K248.6K-2.1K4.06129.373614737357
2016-06-27$52.83$51.5529.8%8.5%24.6%11.7%31.1%7.4%-0.5%-23.2K195.9K-1.8K4.06120.103614737357
2016-06-28$53.29$51.5534.0%9.7%24.8%15.6%36.8%13.9%-15.2%-20.8K189.5K-1.8K4.06132.183614737357
2016-06-29$55.10$51.5529.4%8.4%25.9%11.3%30.7%-1.2%-1.0%-16.7K111.4K-1.7K4.06114.173614737357
2016-06-30$55.60$51.5531.9%9.1%25.9%13.6%36.1%0.8%5.5%-17.9K71.1K-1.5K4.06137.903614737357