LBRDA Options History — August 2016

In August 2016, LBRDA traded between $57.92 and $63.67. ATM implied volatility averaged 34.2%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 13.5% (HV 20d: 20.7%). Max pain ranged from $51.55 to $51.55. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 19.85.

Notable Days

  • 2016-08-01: Highest Volume — 177 contracts
  • 2016-08-22: Largest IV spike — 87.2% change
  • 2016-08-04: Highest IV Rank — 31.7%
  • 2016-08-03: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.67$57.92$63.67$58.97$63.54
Max Pain$51.55$51.55$51.55$51.55$51.55
ATM IV34.2%19.8%50.9%46.0%43.1%
Expected Move9.2%5.7%14.1%13.2%12.4%
HV 20d20.7%10.9%24.2%10.9%23.7%
HV 60d22.2%20.9%24.5%21.8%20.9%
IV Rank15.8%2.1%31.7%27.0%24.3%
IV Percentile41.0%0.8%80.6%73.0%66.7%
Term Structure-5.5%-22.3%5.9%-7.6%-10.4%
VWIV38.3%29.3%44.2%41.4%44.2%
Skew 25d12.2%-5.7%50.0%47.1%27.8%
Skew 10d15.1%-16.1%40.4%17.5%40.4%
Call IV 25d32.0%19.4%51.3%27.3%43.7%
Put IV 25d44.1%19.1%78.3%74.4%71.5%
Bid-Ask Spread %132.68108.97149.51141.32145.17
Gamma HHI0.640.360.750.750.62
Net GEX-7.7K-13.3K605-12.5K-6.7K
Net DEX11.4K-82.9K133.2K68.0K6.7K
Net VEX-742-1.3K-162-1.0K-796
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.850.0026.6726.6715.56
Total Volume141.1740177177159
Total OI178.478166189184166

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$58.97$51.5546.0%13.2%10.9%27.0%41.4%47.1%-7.6%-12.5K68.0K-1.0K26.67141.32617113171
2016-08-02$58.50$51.5535.9%10.3%11.2%17.4%29.3%-1.5%-19.4%-13.3K85.0K-1.2K26.67138.33617113171
2016-08-03$58.67$51.5549.1%14.1%11.2%30.0%44.2%50.0%-22.3%-12.2K133.2K-1.3K26.67149.51617113171
2016-08-04$58.93$0.0050.9%8.3%11.1%31.7%0.0%14.3%-9.9%-13.2K89.0K-1.1K26.67130.25617113171
2016-08-05$57.92$0.0032.1%8.3%12.5%13.9%0.0%4.0%-5.8%-11.6K121.6K-1.3K23.50132.09615013171
2016-08-08$58.14$0.0040.9%6.9%12.4%22.2%0.0%7.1%5.9%-13.2K76.0K-1.1K23.50111.97615013171
2016-08-09$61.55$0.0028.6%7.4%23.5%10.5%0.0%19.4%-5.9%-7.7K8.8K-77223.67111.68615213171
2016-08-10$61.11$0.0019.8%5.7%23.8%2.1%0.0%-1.7%2.7%-8.3K31.2K-84623.67129.49615213172
2016-08-11$61.82$0.0024.7%7.1%23.9%6.8%0.0%8.9%0.5%-8.5K-20.4K-45023.67118.98615213172
2016-08-12$62.70$0.0027.4%7.8%23.7%9.3%0.0%19.7%1.2%-9.7K18.5K-70923.67128.58615213172
2016-08-15$63.67$0.0025.2%7.2%24.0%7.3%0.0%16.3%5.2%-11.1K56.7K-89223.67135.11615213172
2016-08-16$63.10$0.0035.3%10.1%24.1%16.9%0.0%11.0%-0.8%-6.4K-34.2K-34220.29132.10715213172
2016-08-17$63.32$0.0031.1%8.9%23.9%12.9%0.0%8.2%-11.2%-6.0K-30.2K-4420.00138.613014172
2016-08-18$62.95$0.0034.8%10.0%24.2%16.5%0.0%7.8%-5.0%-6.9K13.4K-8380.00144.400017172
2016-08-19$62.64$0.0020.8%6.0%24.2%3.1%0.0%11.5%1.5%-5.0K-38.1K-49815.78108.971015217172
2016-08-22$62.90$0.0039.0%11.2%24.0%20.4%0.0%6.5%-0.3%605-74.1K-24615.56139.531014917149
2016-08-23$63.11$0.0026.3%7.5%23.8%8.3%0.0%-5.7%-3.3%-6.0K-13.4K-74315.56143.741014917149
2016-08-24$62.54$0.0037.5%10.8%24.2%19.0%0.0%6.8%-9.5%-4.9K-37.8K-5320.00142.820017149
2016-08-25$62.82$0.0031.3%9.0%24.2%13.0%0.0%13.7%-10.1%-5.2K-30.9K-61315.56131.911014917149
2016-08-26$62.83$0.0041.1%11.8%24.0%22.4%0.0%0.7%-4.6%332-82.9K-16215.56138.601014917149
2016-08-29$63.28$0.0026.2%7.5%24.0%8.2%0.0%6.1%2.0%-4.0K-48.4K-50115.56119.601014917149
2016-08-30$63.30$0.0039.1%11.2%23.7%20.5%0.0%1.7%-19.8%-5.1K-34.7K-57615.56138.991014917149
2016-08-31$63.54$0.0043.1%12.4%23.7%24.3%0.0%27.8%-10.4%-6.7K6.7K-79615.56145.171014917149