LBRDA Options History — May 2017

In May 2017, LBRDA traded between $76.30 and $84.10. ATM implied volatility averaged 27.0%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.2% (HV 20d: 20.8%). Max pain ranged from $79.66 to $84.35. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 2.35.

Notable Days

2017-05-19: Highest Volume — 129 contracts
2017-05-03: Largest IV spike — 52.0% change
2017-05-09: Highest IV Rank — 33.7%
2017-05-31: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.42	$76.30	$84.10	$84.10	$82.50
Max Pain	$83.71	$79.66	$84.35	$79.66	$84.35
ATM IV	27.0%	20.8%	42.8%	31.0%	34.5%
Expected Move	7.0%	5.4%	9.9%	8.9%	9.9%
HV 20d	20.8%	11.0%	24.1%	11.0%	23.9%
HV 60d	14.2%	9.6%	16.1%	9.6%	16.1%
IV Rank	15.3%	8.1%	33.7%	20.0%	24.1%
IV Percentile	39.6%	10.3%	88.1%	60.7%	76.2%
Term Structure	-3.3%	-20.0%	0.8%	-11.9%	-20.0%
VWIV	26.5%	18.4%	60.9%	33.6%	29.5%
Skew 25d	2.1%	-6.9%	8.6%	1.2%	-1.5%
Skew 10d	4.5%	-12.1%	17.4%	2.2%	2.8%
Call IV 25d	26.2%	19.1%	56.6%	27.4%	32.1%
Put IV 25d	28.3%	21.4%	60.9%	28.6%	30.6%
Bid-Ask Spread %	113.48	88.62	143.38	128.17	137.73
Gamma HHI	0.28	0.19	0.40	0.27	0.20
Net GEX	-5.9K	-14.5K	-303	-303	-678
Net DEX	-6.4K	-108.3K	73.5K	-106.8K	-108.3K
Net VEX	-866	-1.1K	-700	-729	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.35	1.34	3.65	2.41	1.34
Total Volume	110.364	89	129	106	117
Total OI	123.545	103	131	122	131

Daily Data (22 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
2017-05-01	$84.10	$79.66	31.0%	8.9%	11.0%	20.0%	33.6%	1.2%	-11.9%	-303	-106.8K	-729	2.41	128.17	31	75	25	97
2017-05-02	$82.79	$79.66	22.2%	6.4%	12.7%	9.7%	27.4%	5.7%	-4.1%	-777	-93.3K	-748	2.41	123.65	31	75	25	97
2017-05-03	$79.53	$79.66	33.7%	9.7%	18.4%	23.1%	60.9%	4.3%	-9.0%	-2.9K	-5.8K	-912	2.55	139.08	31	79	25	97
2017-05-04	$79.22	$84.35	35.5%	5.4%	18.4%	25.2%	21.3%	8.6%	-0.3%	-5.6K	25.8K	-994	2.55	143.38	31	79	25	101
2017-05-05	$80.98	$84.35	26.1%	6.5%	20.2%	14.2%	28.3%	4.7%	-1.6%	-4.5K	-28.8K	-854	2.55	90.28	31	79	25	101
2017-05-08	$79.18	$84.35	35.2%	6.3%	21.6%	24.8%	19.9%	3.9%	-2.0%	-5.5K	19.0K	-881	2.59	100.15	31	80	25	101
2017-05-09	$79.47	$84.35	42.8%	6.0%	21.6%	33.7%	22.5%	-0.8%	-1.1%	-7.5K	15.7K	-940	2.59	98.63	31	80	25	102
2017-05-10	$78.83	$84.35	20.9%	6.0%	21.8%	8.2%	23.8%	-0.8%	-0.3%	-8.8K	13.1K	-834	2.59	104.80	31	80	25	102
2017-05-11	$78.95	$84.35	21.0%	6.0%	21.7%	8.4%	23.1%	-6.9%	0.8%	-6.6K	7.3K	-811	2.59	102.24	31	80	25	102
2017-05-12	$78.51	$84.35	21.3%	6.1%	21.4%	8.7%	18.4%	4.0%	-1.3%	-7.0K	9.3K	-824	2.59	88.62	31	80	25	102
2017-05-15	$77.94	$84.35	21.7%	6.2%	21.5%	9.2%	22.4%	-0.1%	-0.5%	-9.0K	32.0K	-802	2.88	95.15	28	80	25	102
2017-05-16	$77.55	$84.35	20.8%	6.0%	21.5%	8.1%	25.6%	-2.8%	-0.9%	-8.9K	37.4K	-774	2.88	102.50	28	80	23	102
2017-05-17	$76.30	$84.35	25.7%	7.4%	21.5%	13.8%	27.1%	8.1%	-1.5%	-14.5K	73.5K	-763	2.88	106.34	28	80	23	102
2017-05-18	$77.18	$84.35	29.7%	8.5%	21.6%	18.5%	29.0%	-4.3%	-0.1%	-10.9K	41.3K	-745	2.88	132.14	28	80	23	102
2017-05-19	$76.78	$84.35	23.9%	6.8%	21.5%	11.7%	23.1%	2.6%	-1.0%	-1.2K	28.1K	-700	3.65	94.72	28	101	23	102
2017-05-22	$77.23	$84.35	23.4%	6.7%	21.2%	11.2%	22.5%	1.6%	-0.8%	-10.9K	60.6K	-851	2.32	105.01	27	62	19	84
2017-05-23	$77.49	$84.35	22.0%	6.3%	20.9%	9.5%	25.7%	2.7%	-2.4%	-8.9K	52.8K	-825	1.57	115.31	43	67	19	84
2017-05-24	$79.47	$84.35	22.3%	6.4%	23.3%	9.8%	26.1%	4.5%	-2.0%	-6.0K	-15.8K	-945	1.57	135.56	43	67	30	90
2017-05-25	$80.49	$84.35	23.2%	6.7%	23.7%	10.9%	25.1%	5.6%	-3.5%	-5.0K	-40.4K	-923	1.57	103.39	43	67	30	90
2017-05-26	$81.18	$84.35	31.8%	9.1%	24.0%	20.9%	23.3%	2.6%	-4.8%	-3.1K	-67.1K	-1.1K	1.34	131.13	50	67	41	90
2017-05-30	$81.61	$84.35	25.0%	7.2%	24.1%	13.0%	24.2%	3.2%	-4.8%	-1.9K	-91.3K	-1.0K	1.34	118.54	50	67	41	90
2017-05-31	$82.50	$84.35	34.5%	9.9%	23.9%	24.1%	29.5%	-1.5%	-20.0%	-678	-108.3K	-1.0K	1.34	137.73	50	67	41	90