LBRDA Options History — June 2017

In June 2017, LBRDA traded between $79.33 and $85.27. ATM implied volatility averaged 25.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.0% (HV 20d: 21.2%). Max pain ranged from $79.66 to $84.35. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.61.

Notable Days

2017-06-30: Highest Volume — 184 contracts
2017-06-22: Largest IV spike — 50.8% change
2017-06-13: Highest IV Rank — 31.1%
2017-06-02: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.48	$79.33	$85.27	$83.63	$80.51
Max Pain	$80.09	$79.66	$84.35	$84.35	$79.66
ATM IV	25.2%	17.4%	40.6%	23.3%	22.6%
Expected Move	6.5%	5.0%	8.4%	6.7%	6.5%
HV 20d	21.2%	19.1%	23.2%	19.1%	20.1%
HV 60d	18.6%	16.3%	19.9%	16.3%	19.7%
IV Rank	13.2%	4.1%	31.1%	10.9%	10.1%
IV Percentile	34.8%	2.0%	89.3%	24.2%	21.8%
Term Structure	2.9%	-2.7%	10.2%	-2.7%	8.2%
VWIV	23.4%	16.8%	34.1%	25.6%	22.9%
Skew 25d	-3.6%	-27.7%	15.2%	7.1%	-2.7%
Skew 10d	-13.4%	-45.0%	14.7%	14.7%	-45.0%
Call IV 25d	30.7%	18.4%	58.4%	21.7%	32.5%
Put IV 25d	27.1%	19.0%	39.5%	28.8%	29.8%
Bid-Ask Spread %	108.85	86.39	138.34	138.34	126.78
Gamma HHI	0.24	0.20	0.29	0.20	0.29
Net GEX	70	-5.5K	10.2K	1.0K	10.2K
Net DEX	-78.0K	-176.3K	-13.0K	-143.7K	-176.3K
Net VEX	-1.3K	-1.8K	-870	-946	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	0.95	1.77	1.34	0.95
Total Volume	140.818	117	184	117	184
Total OI	150.727	125	189	131	189

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
2017-06-01	$83.63	$84.35	23.3%	6.7%	19.1%	10.9%	25.6%	7.1%	-2.7%	1.0K	-143.7K	-946	1.34	138.34	50	67	41	90
2017-06-02	$85.27	$84.35	29.4%	8.4%	19.8%	18.1%	34.1%	9.1%	2.6%	-1.4K	-168.9K	-870	1.77	126.61	50	89	41	90
2017-06-05	$83.06	$79.66	24.1%	6.4%	21.2%	12.0%	23.9%	-19.3%	3.1%	-2.4K	-109.5K	-1.3K	1.77	97.64	50	89	41	111
2017-06-06	$82.88	$79.66	22.3%	6.4%	19.4%	9.8%	23.7%	-22.3%	2.9%	-3.1K	-97.0K	-1.3K	1.77	86.39	50	89	41	111
2017-06-07	$83.50	$79.66	22.5%	6.7%	19.4%	10.1%	21.0%	-27.7%	1.8%	-997	-113.2K	-1.2K	1.77	91.03	50	89	41	111
2017-06-08	$81.82	$79.66	30.2%	6.4%	20.8%	19.0%	22.1%	-13.3%	4.8%	-3.0K	-68.6K	-1.3K	1.77	95.62	50	89	41	111
2017-06-09	$80.62	$79.66	33.5%	5.5%	21.6%	22.9%	18.6%	-12.5%	10.2%	-5.5K	-22.1K	-1.4K	1.77	108.47	50	89	41	111
2017-06-12	$81.55	$79.66	33.7%	6.2%	21.7%	23.1%	22.1%	-5.3%	5.5%	-3.3K	-59.8K	-1.3K	1.77	102.80	50	89	41	111
2017-06-13	$82.70	$79.66	40.6%	6.2%	21.9%	31.1%	22.4%	3.3%	1.6%	-1.2K	-96.3K	-1.2K	1.77	92.40	50	89	41	111
2017-06-14	$81.55	$79.66	29.0%	8.3%	22.5%	17.7%	27.6%	-19.0%	1.0%	-3.6K	-54.3K	-1.3K	1.77	124.81	50	89	41	111
2017-06-15	$81.41	$79.66	18.2%	5.2%	21.5%	5.1%	19.3%	-21.5%	7.9%	-601	-60.5K	-1.2K	1.77	120.65	50	89	41	111
2017-06-16	$81.48	$79.66	23.7%	6.8%	21.3%	11.5%	24.3%	10.2%	0.9%	3.8K	-52.2K	-1.2K	1.77	106.85	50	89	41	111
2017-06-19	$82.07	$79.66	20.4%	5.9%	21.1%	7.6%	23.2%	3.3%	3.9%	4.6K	-118.7K	-1.2K	1.66	98.08	50	83	41	84
2017-06-20	$80.16	$79.66	23.0%	6.6%	23.1%	10.6%	23.9%	3.5%	-1.3%	-580	-31.4K	-1.4K	1.66	100.77	50	83	41	106
2017-06-21	$79.78	$79.66	17.4%	5.0%	23.2%	4.1%	16.8%	0.7%	9.4%	63	-13.8K	-1.4K	1.66	104.47	50	83	41	106
2017-06-22	$79.69	$79.66	26.2%	7.5%	21.5%	14.4%	26.3%	2.9%	0.6%	-2.3K	-24.8K	-1.4K	1.66	125.41	50	83	41	106
2017-06-23	$79.62	$79.66	19.9%	5.7%	21.0%	7.0%	20.9%	0.9%	2.9%	-1.5K	-13.0K	-1.4K	1.47	108.57	57	83	41	106
2017-06-26	$80.10	$79.66	22.9%	6.6%	20.8%	10.5%	23.4%	3.9%	1.7%	1.5K	-61.3K	-1.4K	1.47	103.81	57	83	47	106
2017-06-27	$79.33	$79.66	23.1%	6.6%	20.9%	10.7%	23.9%	3.4%	-0.0%	903	-41.3K	-1.4K	1.32	105.70	63	83	47	106
2017-06-28	$81.14	$79.66	24.2%	6.9%	22.2%	12.0%	24.0%	0.4%	1.4%	5.0K	-105.0K	-1.4K	1.49	113.47	59	87	53	106
2017-06-29	$80.75	$79.66	24.6%	7.1%	21.6%	12.6%	25.4%	15.2%	-2.2%	3.7K	-84.5K	-1.6K	1.22	116.12	74	90	55	112
2017-06-30	$80.51	$79.66	22.6%	6.5%	20.1%	10.1%	22.9%	-2.7%	8.2%	10.2K	-176.3K	-1.8K	0.95	126.78	94	90	77	112