LBRDA Options History — November 2016

In November 2016, LBRDA traded between $58.60 and $65.66. ATM implied volatility averaged 31.7%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.4% (HV 20d: 23.3%). Max pain ranged from $56.23 to $60.92. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.49.

Notable Days

2016-11-04: Highest Volume — 122 contracts
2016-11-07: Largest IV spike — 86.6% change
2016-11-07: Highest IV Rank — 39.8%
2016-11-18: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.91	$58.60	$65.66	$59.87	$65.04
Max Pain	$60.43	$56.23	$60.92	$56.23	$60.92
ATM IV	31.7%	16.4%	57.2%	31.5%	26.0%
Expected Move	8.4%	4.7%	11.1%	9.0%	7.5%
HV 20d	23.3%	20.6%	25.2%	20.6%	22.4%
HV 60d	21.3%	19.5%	22.8%	22.8%	21.2%
IV Rank	16.4%	2.4%	39.8%	16.2%	11.2%
IV Percentile	39.2%	0.8%	91.3%	37.3%	24.2%
Term Structure	-4.8%	-21.8%	8.4%	-12.4%	-3.6%
VWIV	26.8%	15.7%	38.8%	38.8%	37.4%
Skew 25d	8.3%	-14.8%	41.8%	3.8%	14.8%
Skew 10d	9.6%	-17.0%	30.1%	4.2%	-12.8%
Call IV 25d	32.3%	17.0%	49.0%	38.9%	49.0%
Put IV 25d	40.6%	22.2%	64.0%	42.7%	63.8%
Bid-Ask Spread %	120.30	74.23	140.51	114.28	132.57
Gamma HHI	0.36	0.24	0.52	0.30	0.49
Net GEX	-8.5K	-12.1K	-3.4K	-10.6K	-10.4K
Net DEX	103.8K	32.0K	238.0K	225.5K	70.5K
Net VEX	-1.6K	-1.9K	-1.3K	-1.9K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.49	1.62	3.67	2.70	3.06
Total Volume	98.857	64	122	118	78
Total OI	164.476	144	175	171	144

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
2016-11-01	$59.87	$56.23	31.5%	9.0%	20.6%	16.2%	38.8%	3.8%	-12.4%	-10.6K	225.5K	-1.9K	2.70	114.28	32	86	43	128
2016-11-02	$60.14	$56.23	30.5%	8.8%	20.8%	15.3%	33.3%	8.7%	-1.5%	-9.5K	219.8K	-1.9K	2.70	127.50	32	86	43	128
2016-11-03	$58.60	$0.00	46.6%	8.8%	22.2%	30.1%	0.0%	4.9%	-9.2%	-8.6K	179.7K	-1.9K	2.70	131.24	32	86	43	128
2016-11-04	$59.57	$0.00	30.6%	6.9%	23.4%	15.4%	23.6%	2.9%	-0.4%	-11.1K	238.0K	-1.8K	2.38	74.23	36	86	43	128
2016-11-07	$60.87	$60.92	57.2%	8.7%	24.8%	39.8%	27.4%	7.0%	-6.6%	-10.2K	174.4K	-1.9K	2.38	140.51	36	86	47	128
2016-11-08	$62.26	$60.92	29.1%	7.7%	23.1%	14.0%	26.8%	9.3%	-0.1%	-3.4K	125.9K	-1.8K	2.38	105.28	36	86	47	128
2016-11-09	$63.70	$60.92	33.5%	9.6%	24.5%	18.0%	23.6%	9.9%	-13.3%	-8.9K	90.1K	-1.8K	2.38	127.82	36	86	47	128
2016-11-10	$63.94	$60.92	28.6%	8.2%	24.0%	13.5%	24.8%	1.2%	-2.6%	-5.0K	32.0K	-1.7K	2.38	106.49	36	86	47	128
2016-11-11	$63.92	$60.92	35.9%	10.3%	23.8%	20.2%	20.4%	18.7%	-7.0%	-10.6K	59.9K	-1.7K	2.38	128.38	36	86	47	128
2016-11-14	$63.04	$60.92	29.7%	8.5%	24.4%	14.6%	32.3%	1.4%	-1.9%	-5.4K	51.3K	-1.6K	1.62	113.76	36	59	47	128
2016-11-15	$62.70	$60.92	22.2%	6.4%	24.4%	7.6%	15.7%	7.6%	8.4%	-4.5K	55.5K	-1.6K	1.62	122.35	36	59	47	128
2016-11-16	$62.61	$60.92	28.0%	8.0%	24.4%	12.9%	28.5%	9.9%	-1.5%	-4.0K	91.7K	-1.7K	1.62	105.60	36	59	47	128
2016-11-17	$63.34	$60.92	37.1%	10.6%	24.7%	21.4%	29.7%	9.4%	-11.0%	-4.1K	70.7K	-1.6K	1.62	138.99	36	59	47	128
2016-11-18	$63.22	$60.92	38.8%	11.1%	24.4%	22.9%	28.8%	20.4%	-4.5%	-10.2K	51.7K	-1.6K	1.62	133.78	36	59	47	128
2016-11-21	$63.60	$60.92	24.5%	7.0%	24.3%	9.7%	27.5%	0.6%	-1.9%	-11.6K	111.7K	-1.5K	3.00	130.57	16	48	30	117
2016-11-22	$64.97	$60.92	36.9%	10.6%	25.2%	21.2%	19.1%	-7.3%	-21.8%	-12.1K	68.9K	-1.4K	3.00	126.18	16	48	30	117
2016-11-23	$64.49	$60.92	31.7%	9.1%	22.7%	16.4%	23.5%	-14.8%	-18.9%	-10.1K	60.2K	-1.4K	3.67	125.05	16	59	30	117
2016-11-25	$65.20	$60.92	26.9%	7.7%	21.4%	12.0%	18.3%	41.8%	1.2%	-8.3K	65.7K	-1.5K	3.06	126.83	19	59	30	117
2016-11-28	$64.40	$60.92	16.4%	4.7%	22.0%	2.4%	25.6%	6.3%	6.3%	-10.8K	81.8K	-1.4K	3.06	104.96	19	59	27	117
2016-11-29	$65.66	$60.92	24.3%	7.0%	22.6%	9.6%	30.2%	18.1%	1.8%	-9.4K	54.0K	-1.3K	3.06	109.98	19	59	27	117
2016-11-30	$65.04	$60.92	26.0%	7.5%	22.4%	11.2%	37.4%	14.8%	-3.6%	-10.4K	70.5K	-1.3K	3.06	132.57	19	59	27	117