LBRDA Options History — September 2016

In September 2016, LBRDA traded between $64.10 and $67.11. ATM implied volatility averaged 34.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 12.4% (HV 20d: 22.1%). Max pain ranged from $51.55 to $51.55. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 6.30.

Notable Days

2016-09-26: Highest Volume — 219 contracts
2016-09-07: Largest IV spike — 209.0% change
2016-09-13: Highest IV Rank — 78.1%
2016-09-02: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.58	$64.10	$67.11	$66.07	$65.77
Max Pain	$51.55	$51.55	$51.55	$51.55	$51.55
ATM IV	34.5%	13.9%	99.6%	36.0%	13.9%
Expected Move	6.9%	4.0%	10.8%	10.3%	4.0%
HV 20d	22.1%	17.5%	26.7%	26.7%	19.3%
HV 60d	21.6%	19.7%	23.4%	22.2%	20.1%
IV Rank	16.7%	0.0%	78.1%	17.6%	0.0%
IV Percentile	30.6%	0.0%	99.6%	49.2%	0.0%
Term Structure	0.6%	-14.9%	27.6%	-13.4%	10.5%
VWIV	29.8%	13.9%	41.5%	21.7%	13.9%
Skew 25d	11.8%	-11.0%	41.4%	20.5%	41.4%
Skew 10d	18.2%	-13.3%	70.3%	45.9%	70.3%
Call IV 25d	29.7%	14.1%	51.3%	38.6%	18.5%
Put IV 25d	41.5%	22.2%	59.9%	59.1%	59.9%
Bid-Ask Spread %	109.94	65.04	134.53	134.53	124.64
Gamma HHI	0.41	0.29	0.68	0.68	0.40
Net GEX	-3.6K	-10.9K	2.0K	-6.6K	-3.8K
Net DEX	-42.3K	-101.5K	64.3K	-74.3K	-18.8K
Net VEX	-850	-1.3K	-285	-285	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.30	5.41	8.52	6.09	5.41
Total Volume	200.048	174	219	174	219
Total OI	199.905	166	231	166	228

Daily Data (21 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
2016-09-01	$66.07	$0.00	36.0%	10.3%	26.7%	17.6%	0.0%	20.5%	-13.4%	-6.6K	-74.3K	-285	6.09	134.53	25	149	17	149
2016-09-02	$65.82	$0.00	37.8%	10.8%	25.6%	19.2%	0.0%	5.3%	-14.9%	-1.9K	-77.5K	-529	6.09	133.33	25	149	21	149
2016-09-06	$66.04	$51.55	18.3%	6.2%	25.6%	0.7%	21.7%	1.7%	-0.0%	1.5K	-101.5K	-336	5.83	65.04	26	149	21	149
2016-09-07	$66.71	$51.55	56.6%	7.6%	17.5%	37.1%	23.6%	10.3%	-0.3%	-2.7K	-59.1K	-604	5.83	113.97	26	149	22	149
2016-09-08	$65.19	$51.55	45.5%	7.9%	19.6%	26.6%	37.4%	5.0%	2.4%	-419	-89.9K	-406	5.83	99.15	26	149	22	149
2016-09-09	$64.10	$51.55	66.6%	7.9%	20.6%	46.6%	38.4%	9.2%	-2.4%	-5.5K	-10.2K	-850	5.83	108.14	26	149	22	149
2016-09-12	$65.39	$51.55	86.1%	7.1%	21.1%	65.2%	30.0%	17.9%	-0.8%	2.0K	-92.3K	-395	5.83	106.97	26	149	22	149
2016-09-13	$64.41	$51.55	99.6%	7.1%	21.4%	78.1%	38.5%	4.8%	-9.4%	-2.2K	-65.6K	-542	5.83	105.11	26	149	22	149
2016-09-14	$64.51	$51.55	22.3%	6.4%	21.0%	4.5%	35.6%	2.8%	0.5%	-1.2K	-78.9K	-472	6.68	87.24	27	178	22	149
2016-09-15	$65.08	$51.55	18.7%	5.4%	21.2%	1.1%	18.8%	16.1%	4.0%	-2.0K	-51.7K	-730	8.52	96.07	22	191	25	178
2016-09-16	$64.45	$51.55	25.0%	7.2%	21.4%	7.1%	40.8%	7.0%	-5.5%	-10.7K	64.3K	-1.3K	8.52	106.61	22	191	25	191
2016-09-19	$64.29	$51.55	27.4%	7.9%	21.4%	9.4%	40.4%	3.6%	27.6%	-10.9K	59.5K	-1.3K	8.52	108.28	22	191	25	191
2016-09-20	$64.29	$51.55	30.8%	8.8%	21.3%	12.6%	25.0%	11.3%	-3.1%	-8.4K	21.1K	-1.2K	8.52	94.20	22	191	25	191
2016-09-21	$65.94	$51.55	22.5%	6.5%	23.0%	4.7%	39.4%	25.0%	1.6%	-3.4K	-16.4K	-989	5.77	113.80	32	185	25	191
2016-09-22	$66.50	$51.55	18.9%	5.4%	22.7%	1.2%	26.6%	20.3%	4.4%	-2.0K	-80.8K	-1.0K	5.77	123.43	32	185	34	194
2016-09-23	$66.36	$51.55	22.8%	6.5%	22.8%	5.0%	24.7%	23.3%	3.5%	-2.7K	-44.6K	-1.2K	5.77	118.25	32	185	34	197
2016-09-26	$66.32	$51.55	19.7%	5.7%	22.8%	2.0%	30.7%	-11.0%	-9.3%	-2.8K	-68.1K	-962	5.41	122.27	34	185	31	197
2016-09-27	$66.80	$51.55	14.3%	4.1%	22.8%	0.0%	16.3%	9.7%	-1.6%	-2.8K	-33.4K	-1.2K	5.41	124.16	34	185	31	197
2016-09-28	$67.11	$51.55	22.0%	6.3%	22.8%	7.1%	22.0%	24.9%	3.1%	-3.4K	-50.3K	-1.1K	5.41	104.27	34	185	31	197
2016-09-29	$66.08	$51.55	20.0%	5.7%	23.7%	5.3%	41.5%	-1.4%	16.0%	-6.2K	-19.5K	-1.2K	5.41	119.31	34	185	31	197
2016-09-30	$65.77	$51.55	13.9%	4.0%	19.3%	0.0%	13.9%	41.4%	10.5%	-3.8K	-18.8K	-1.2K	5.41	124.64	34	185	31	197