LBRDA Options History — March 2017

In March 2017, LBRDA traded between $77.97 and $79.96. ATM implied volatility averaged 24.3%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 16.4% (HV 20d: 8.0%). Max pain ranged from $70.29 to $79.66. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 3.42.

Notable Days

2017-03-15: Highest Volume — 108 contracts
2017-03-29: Largest IV spike — 50.7% change
2017-03-03: Highest IV Rank — 20.7%
2017-03-03: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.87	$77.97	$79.96	$78.85	$79.96
Max Pain	$71.51	$70.29	$79.66	$79.66	$70.29
ATM IV	24.3%	16.4%	31.6%	24.2%	18.0%
Expected Move	6.7%	4.7%	9.1%	6.9%	5.2%
HV 20d	8.0%	6.3%	9.4%	8.9%	8.4%
HV 60d	21.6%	20.0%	23.6%	23.6%	20.0%
IV Rank	12.2%	2.9%	20.7%	12.0%	4.8%
IV Percentile	26.1%	0.8%	57.1%	22.2%	2.4%
Term Structure	-1.3%	-16.5%	5.3%	0.5%	5.3%
VWIV	29.0%	19.4%	49.6%	23.9%	19.4%
Skew 25d	5.0%	-7.9%	28.5%	12.9%	5.5%
Skew 10d	8.1%	-12.4%	40.0%	17.1%	8.7%
Call IV 25d	24.8%	16.5%	42.0%	19.2%	16.5%
Put IV 25d	29.8%	22.0%	59.4%	32.1%	22.0%
Bid-Ask Spread %	110.92	85.26	138.42	134.68	112.17
Gamma HHI	0.36	0.22	0.56	0.33	0.38
Net GEX	-8.7K	-19.5K	399	-11.4K	399
Net DEX	-162.2K	-262.6K	-95.7K	-124.7K	-262.6K
Net VEX	-736	-1.1K	-352	-1.1K	-352
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.42	3.17	3.55	3.55	3.41
Total Volume	104.87	100	108	106	103
Total OI	187.13	175	195	195	181

Daily Data (23 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
2017-03-01	$78.85	$79.66	24.2%	6.9%	8.9%	12.0%	23.9%	12.9%	0.5%	-11.4K	-124.7K	-1.1K	3.55	134.68	23	83	43	152
2017-03-02	$78.12	$79.66	26.1%	7.5%	9.4%	14.3%	27.2%	1.7%	-3.2%	-12.5K	-112.2K	-954	3.55	131.55	23	83	43	152
2017-03-03	$78.24	$79.66	31.6%	9.1%	9.4%	20.7%	35.3%	28.5%	-12.1%	-10.7K	-95.7K	-1.1K	3.55	138.42	23	83	43	152
2017-03-06	$78.54	$70.29	26.7%	7.6%	8.9%	14.9%	28.0%	3.3%	-2.7%	-13.3K	-113.0K	-968	3.55	87.11	23	83	43	152
2017-03-07	$78.45	$70.29	21.6%	6.3%	7.3%	9.0%	29.1%	6.2%	1.5%	-13.7K	-120.8K	-945	3.55	90.87	23	83	43	152
2017-03-08	$78.16	$70.29	29.4%	7.1%	6.5%	18.1%	30.4%	3.9%	-4.2%	-13.3K	-108.3K	-1.0K	3.55	96.35	23	83	43	152
2017-03-09	$78.36	$70.29	25.4%	6.2%	6.3%	13.4%	26.8%	2.3%	1.3%	-15.2K	-128.5K	-766	3.55	97.59	23	83	41	152
2017-03-10	$78.80	$70.29	27.9%	7.0%	6.7%	16.4%	29.4%	4.6%	-1.4%	-15.3K	-117.8K	-872	3.55	96.02	23	83	41	152
2017-03-13	$79.07	$70.29	28.9%	7.2%	6.8%	17.6%	29.8%	2.8%	-5.3%	-19.0K	-126.2K	-793	3.55	98.71	23	83	41	152
2017-03-14	$78.86	$70.29	27.7%	6.5%	6.6%	16.2%	29.0%	5.2%	0.8%	-19.5K	-119.6K	-783	3.55	85.26	23	83	41	152
2017-03-15	$79.33	$70.29	19.5%	5.6%	6.9%	6.6%	31.5%	0.6%	4.4%	-10.0K	-143.2K	-739	3.39	125.70	25	83	41	152
2017-03-16	$78.85	$70.29	21.1%	6.1%	6.8%	8.5%	22.2%	3.3%	1.3%	-13.6K	-136.9K	-680	3.39	96.04	25	83	42	152
2017-03-17	$79.18	$70.29	16.4%	4.7%	7.0%	2.9%	21.1%	3.5%	3.1%	-3.5K	-106.1K	-627	3.39	117.87	25	83	42	152
2017-03-20	$79.02	$70.29	22.3%	6.4%	7.0%	9.9%	22.2%	4.1%	-1.3%	-3.5K	-211.2K	-591	3.48	96.87	22	78	38	137
2017-03-21	$77.97	$70.29	23.5%	6.8%	8.4%	11.3%	22.5%	3.6%	1.4%	-4.4K	-196.2K	-624	3.48	101.57	22	78	38	137
2017-03-22	$78.33	$70.29	21.5%	6.2%	8.6%	8.9%	40.6%	-1.6%	2.7%	-4.1K	-195.6K	-612	3.32	120.37	23	78	38	137
2017-03-23	$78.81	$70.29	23.5%	6.7%	8.7%	11.2%	26.5%	-7.9%	-0.4%	-3.9K	-197.7K	-647	3.17	109.44	25	78	39	137
2017-03-24	$79.44	$70.29	19.8%	5.7%	9.0%	6.9%	21.7%	3.2%	3.7%	-1.9K	-243.6K	-507	3.17	98.31	25	78	42	137
2017-03-27	$79.01	$70.29	29.2%	8.4%	9.2%	17.9%	48.5%	6.1%	-16.5%	-2.2K	-200.4K	-594	3.17	132.49	25	78	42	137
2017-03-28	$79.20	$70.29	19.9%	5.7%	9.0%	7.1%	26.4%	7.7%	4.3%	-2.1K	-232.9K	-535	3.26	134.42	25	80	42	137
2017-03-29	$79.57	$70.29	30.0%	8.6%	9.1%	18.8%	49.6%	6.5%	-11.7%	-4.4K	-209.0K	-605	3.26	135.21	25	80	42	139
2017-03-30	$79.91	$70.29	25.2%	7.2%	8.4%	13.3%	26.0%	8.6%	-1.2%	-3.8K	-227.7K	-566	3.26	114.17	25	80	42	139
2017-03-31	$79.96	$70.29	18.0%	5.2%	8.4%	4.8%	19.4%	5.5%	5.3%	399	-262.6K	-352	3.41	112.17	23	80	42	139