LBRDA Options History — January 2017

In January 2017, LBRDA traded between $66.57 and $80.40. ATM implied volatility averaged 30.4%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 9.3% (HV 20d: 21.2%). Max pain ranged from $65.60 to $74.98. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 3.73.

Notable Days

2017-01-18: Highest Volume — 146 contracts
2017-01-06: Largest IV spike — 117.7% change
2017-01-10: Highest IV Rank — 33.8%
2017-01-04: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.36	$66.57	$80.40	$66.57	$78.29
Max Pain	$71.23	$65.60	$74.98	$65.60	$74.98
ATM IV	30.4%	18.3%	50.6%	22.8%	26.8%
Expected Move	7.9%	5.2%	11.2%	6.5%	7.7%
HV 20d	21.2%	15.6%	34.4%	21.5%	33.6%
HV 60d	22.7%	20.4%	26.5%	22.3%	26.4%
IV Rank	17.5%	5.2%	33.8%	8.2%	15.0%
IV Percentile	40.2%	2.0%	88.9%	11.9%	32.9%
Term Structure	0.1%	-13.8%	14.5%	13.6%	2.9%
VWIV	35.6%	15.6%	54.0%	26.9%	47.2%
Skew 25d	-1.5%	-35.0%	19.7%	-2.8%	-16.5%
Skew 10d	3.5%	-44.7%	45.0%	-0.8%	-33.7%
Call IV 25d	39.6%	21.2%	77.8%	31.4%	71.1%
Put IV 25d	38.1%	22.3%	54.6%	28.7%	54.6%
Bid-Ask Spread %	120.13	76.36	142.88	125.01	142.88
Gamma HHI	0.30	0.20	0.40	0.40	0.20
Net GEX	-3.9K	-14.5K	2.7K	-9.2K	-14.5K
Net DEX	-81.2K	-243.8K	40.3K	40.3K	-18.6K
Net VEX	-1.4K	-1.9K	-709	-1.8K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.73	2.22	5.18	2.72	5.18
Total Volume	123.7	79	146	100	145
Total OI	193.25	152	220	209	220

Daily Data (20 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
2017-01-03	$66.57	$65.60	22.8%	6.5%	21.5%	8.2%	26.9%	-2.8%	13.6%	-9.2K	40.3K	-1.8K	2.72	125.01	27	73	44	165
2017-01-04	$68.43	$65.60	39.0%	11.2%	22.4%	23.1%	54.0%	-2.8%	-12.6%	-7.6K	17.5K	-1.9K	2.72	130.33	27	73	44	165
2017-01-05	$69.08	$74.98	21.8%	7.7%	21.9%	7.3%	23.3%	5.5%	-2.2%	-3.0K	-35.4K	-1.7K	3.68	76.36	27	98	44	165
2017-01-06	$69.50	$74.98	47.4%	7.1%	18.8%	30.8%	42.3%	-2.0%	-6.0%	-6.5K	-36.5K	-1.5K	3.68	138.53	27	98	44	150
2017-01-09	$68.89	$74.98	48.9%	8.5%	17.7%	32.2%	43.9%	5.7%	-3.1%	-5.5K	-19.4K	-1.6K	3.68	135.76	27	98	44	150
2017-01-10	$69.59	$74.98	50.6%	8.1%	17.5%	33.8%	43.1%	7.2%	-2.9%	-4.9K	-8.0K	-1.7K	3.68	136.83	27	98	44	150
2017-01-11	$70.19	$74.98	22.5%	6.5%	17.4%	10.1%	20.8%	4.7%	1.6%	-51	-91.9K	-1.3K	3.76	91.52	27	100	44	150
2017-01-12	$69.83	$74.98	23.2%	6.7%	16.3%	10.9%	23.4%	5.8%	2.0%	-4.6K	-35.6K	-1.5K	3.76	113.68	27	100	44	153
2017-01-13	$70.25	$74.98	32.4%	9.3%	15.6%	21.6%	39.6%	9.2%	-8.5%	-2.6K	-114.3K	-1.1K	3.76	119.15	27	100	44	153
2017-01-17	$71.78	$74.98	28.8%	8.3%	17.1%	17.5%	42.6%	8.7%	7.8%	-331	-120.6K	-1.2K	3.36	126.79	30	100	44	153
2017-01-18	$71.42	$74.98	33.1%	9.5%	16.7%	22.4%	25.1%	-2.3%	1.3%	-655	-131.8K	-1.4K	3.89	109.26	30	116	50	153
2017-01-19	$72.26	$65.60	28.1%	8.0%	17.0%	16.6%	26.5%	3.4%	-13.8%	-1.6K	-143.5K	-1.4K	3.89	113.13	30	116	50	169
2017-01-20	$73.01	$65.60	25.0%	7.2%	17.2%	13.0%	45.7%	-0.8%	1.8%	-1.3K	-167.5K	-1.4K	3.89	91.76	30	116	50	169
2017-01-23	$73.25	$65.60	19.2%	5.5%	17.2%	6.3%	24.9%	5.5%	14.5%	1.1K	-139.5K	-1.1K	3.26	110.85	25	80	41	112
2017-01-24	$73.54	$65.60	32.1%	9.2%	17.2%	21.3%	37.7%	-7.8%	-6.4%	-1.0K	-110.6K	-1.3K	3.26	128.21	25	80	41	112
2017-01-25	$74.09	$65.60	18.3%	5.2%	17.0%	5.2%	15.6%	-9.3%	3.2%	2.7K	-137.4K	-1.2K	2.22	110.78	25	54	41	112
2017-01-26	$80.40	$65.60	31.0%	8.9%	32.4%	19.9%	42.8%	19.7%	-2.2%	2.2K	-243.8K	-709	3.85	127.39	21	82	41	111
2017-01-27	$78.43	$74.98	25.7%	7.4%	34.3%	13.8%	46.6%	-26.3%	5.2%	-7.3K	-124.8K	-1.2K	5.09	139.08	23	120	42	139
2017-01-30	$78.34	$74.98	32.3%	9.3%	34.4%	21.5%	39.5%	-35.0%	6.6%	-13.8K	-2.6K	-1.9K	5.18	135.26	23	122	42	176
2017-01-31	$78.29	$74.98	26.8%	7.7%	33.6%	15.0%	47.2%	-16.5%	2.9%	-14.5K	-18.6K	-1.8K	5.18	142.88	23	122	42	178