LBRDA Options History — February 2017

In February 2017, LBRDA traded between $78.09 and $79.70. ATM implied volatility averaged 26.6%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.9% (HV 20d: 28.5%). Max pain ranged from $74.98 to $79.66. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 3.64.

Notable Days

2017-02-17: Highest Volume — 153 contracts
2017-02-03: Largest IV spike — 43.6% change
2017-02-23: Highest IV Rank — 20.7%
2017-02-23: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.20	$78.09	$79.70	$78.68	$78.99
Max Pain	$79.42	$74.98	$79.66	$74.98	$79.66
ATM IV	26.6%	19.9%	31.6%	28.9%	31.5%
Expected Move	7.7%	6.6%	9.1%	8.3%	9.0%
HV 20d	28.5%	8.5%	32.7%	32.5%	8.9%
HV 60d	24.7%	23.8%	25.6%	25.6%	23.8%
IV Rank	14.8%	7.0%	20.7%	17.5%	20.6%
IV Percentile	32.7%	6.0%	55.6%	40.1%	55.6%
Term Structure	-2.6%	-15.0%	1.4%	-5.3%	-15.0%
VWIV	28.6%	24.0%	45.7%	45.7%	30.0%
Skew 25d	5.0%	-12.2%	26.0%	-11.5%	19.7%
Skew 10d	6.7%	-28.6%	34.1%	-28.6%	11.9%
Call IV 25d	29.1%	22.7%	65.5%	65.5%	27.7%
Put IV 25d	34.1%	24.5%	54.0%	54.0%	47.4%
Bid-Ask Spread %	106.78	80.91	140.72	140.72	136.93
Gamma HHI	0.32	0.22	0.98	0.23	0.25
Net GEX	24.9K	-14.6K	607.8K	-12.9K	-9.5K
Net DEX	-141.5K	-255.6K	-76.6K	-76.8K	-105.8K
Net VEX	-1.3K	-1.6K	-763	-1.4K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.64	2.76	5.18	5.18	3.55
Total Volume	134.421	105	153	145	106
Total OI	220.158	195	251	220	195

Daily Data (19 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
2017-02-01	$78.68	$74.98	28.9%	8.3%	32.5%	17.5%	45.7%	-11.5%	-5.3%	-12.9K	-76.8K	-1.4K	5.18	140.72	23	122	42	178
2017-02-02	$78.52	$79.66	19.9%	7.4%	31.8%	7.0%	26.2%	-0.6%	-0.4%	-13.5K	-83.8K	-1.5K	5.18	91.90	23	122	42	178
2017-02-03	$79.19	$79.66	28.5%	7.5%	31.8%	17.1%	27.7%	-12.2%	0.9%	-13.7K	-76.6K	-1.5K	4.38	103.43	28	122	42	178
2017-02-06	$78.09	$79.66	25.7%	7.5%	32.7%	13.7%	27.3%	4.5%	-0.9%	-12.3K	-104.5K	-1.5K	4.38	85.31	28	122	46	178
2017-02-07	$78.85	$79.66	25.8%	8.1%	32.2%	14.0%	29.0%	4.0%	-1.7%	-12.8K	-90.3K	-1.6K	4.04	92.44	28	112	46	178
2017-02-08	$79.23	$79.66	26.2%	7.5%	32.2%	14.4%	26.1%	3.7%	-2.0%	-11.3K	-121.3K	-1.4K	3.89	86.78	29	112	46	181
2017-02-09	$79.35	$79.66	25.8%	7.4%	32.3%	13.9%	28.8%	12.5%	-2.6%	-14.6K	-180.2K	-926	3.89	106.27	29	112	47	181
2017-02-10	$79.48	$79.66	24.5%	7.0%	32.0%	12.4%	25.0%	3.3%	-0.5%	-12.9K	-141.9K	-1.3K	2.84	80.91	39	112	47	181
2017-02-13	$79.05	$79.66	25.1%	7.2%	32.3%	13.1%	25.8%	4.8%	-1.7%	-2.8K	-149.8K	-1.5K	2.84	90.45	39	112	59	181
2017-02-14	$79.21	$79.66	25.2%	7.2%	31.8%	13.2%	27.8%	1.5%	1.4%	-4.3K	-186.0K	-1.2K	2.84	88.92	39	112	59	181
2017-02-15	$79.69	$79.66	25.8%	7.4%	31.6%	13.9%	25.6%	3.0%	-0.3%	1.1K	-203.3K	-1.2K	2.84	95.97	39	112	59	181
2017-02-16	$79.55	$79.66	24.2%	6.9%	31.6%	12.0%	24.1%	1.0%	0.2%	34.8K	-243.1K	-1.2K	2.84	101.70	39	112	70	181
2017-02-17	$79.66	$79.66	26.0%	7.5%	31.6%	14.2%	26.2%	3.2%	-1.0%	607.8K	-255.6K	-1.1K	2.76	95.78	41	112	70	181
2017-02-21	$79.70	$79.66	24.7%	7.1%	31.6%	12.7%	26.4%	1.7%	1.2%	-10.6K	-133.7K	-1.2K	3.50	119.30	23	82	43	152
2017-02-22	$79.57	$79.66	31.5%	9.0%	31.7%	20.5%	30.6%	26.0%	-10.8%	-8.9K	-134.1K	-1.1K	3.50	130.35	23	82	43	152
2017-02-23	$79.10	$79.66	31.6%	9.1%	31.8%	20.7%	32.3%	-1.9%	-2.0%	-10.4K	-96.4K	-1.3K	3.55	114.94	23	83	43	152
2017-02-24	$79.45	$79.66	30.8%	8.8%	12.4%	19.7%	34.8%	23.6%	-8.3%	-9.2K	-188.2K	-763	3.55	138.18	23	83	43	152
2017-02-27	$79.50	$79.66	23.1%	6.6%	8.5%	10.8%	24.0%	8.0%	-0.3%	-11.8K	-117.7K	-1.1K	3.55	128.56	23	83	43	152
2017-02-28	$78.99	$79.66	31.5%	9.0%	8.9%	20.6%	30.0%	19.7%	-15.0%	-9.5K	-105.8K	-1.2K	3.55	136.93	23	83	43	152