LBRDA Options History — July 2017

In July 2017, LBRDA traded between $78.45 and $92.91. ATM implied volatility averaged 26.0%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.8% (HV 20d: 19.1%). Max pain ranged from $74.98 to $79.66. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.99.

Notable Days

2017-07-31: Highest Volume — 299 contracts
2017-07-11: Largest IV spike — 102.5% change
2017-07-11: Highest IV Rank — 33.3%
2017-07-05: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.71	$78.45	$92.91	$78.45	$92.91
Max Pain	$77.09	$74.98	$79.66	$79.66	$79.66
ATM IV	26.0%	20.7%	42.4%	24.7%	30.1%
Expected Move	7.3%	5.9%	9.8%	7.1%	8.6%
HV 20d	19.1%	16.5%	25.7%	20.1%	25.7%
HV 60d	20.8%	20.3%	22.7%	20.3%	22.7%
IV Rank	14.1%	7.9%	33.3%	12.7%	18.9%
IV Percentile	42.2%	10.7%	92.1%	37.3%	67.1%
Term Structure	-2.4%	-8.6%	5.1%	-8.6%	-3.5%
VWIV	26.3%	19.2%	38.3%	29.8%	29.5%
Skew 25d	-0.8%	-27.1%	6.4%	-2.3%	-0.0%
Skew 10d	1.4%	-37.5%	13.3%	-6.1%	1.5%
Call IV 25d	29.8%	21.1%	81.1%	28.4%	29.9%
Put IV 25d	29.0%	22.1%	64.2%	26.0%	29.9%
Bid-Ask Spread %	68.31	34.89	132.74	125.30	67.35
Gamma HHI	0.26	0.21	0.35	0.26	0.35
Net GEX	16.7K	1.6K	24.9K	16.8K	1.6K
Net DEX	-307.2K	-642.7K	-124.0K	-168.6K	-642.7K
Net VEX	-1.7K	-2.1K	-904	-2.0K	-904
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.71	1.51	0.93	0.71
Total Volume	177.15	139	299	181	299
Total OI	211.65	176	226	211	224

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
2017-07-03	$78.45	$79.66	24.7%	7.1%	20.1%	12.7%	29.8%	-2.3%	-8.6%	16.8K	-168.6K	-2.0K	0.93	125.30	94	87	99	112
2017-07-05	$79.38	$79.66	34.1%	9.8%	20.7%	23.6%	38.3%	-16.8%	-6.7%	12.4K	-155.9K	-2.1K	0.93	132.74	94	87	99	116
2017-07-06	$78.81	$74.98	22.6%	7.2%	20.5%	10.2%	25.2%	1.2%	-1.3%	16.2K	-124.0K	-2.0K	0.93	56.97	94	87	99	116
2017-07-07	$79.28	$74.98	23.6%	7.0%	19.6%	11.4%	25.3%	2.7%	-0.2%	17.3K	-139.0K	-2.0K	0.93	54.67	94	87	99	116
2017-07-10	$80.08	$74.98	21.0%	7.5%	19.4%	8.3%	26.8%	0.4%	-2.3%	18.9K	-194.5K	-2.0K	0.93	70.91	94	87	99	116
2017-07-11	$80.36	$74.98	42.4%	5.9%	18.9%	33.3%	22.9%	-0.7%	5.1%	19.6K	-211.1K	-1.9K	0.93	83.97	94	87	99	116
2017-07-12	$81.26	$74.98	26.5%	7.6%	18.7%	14.8%	27.5%	6.4%	-3.6%	21.3K	-265.1K	-1.9K	0.93	83.81	94	87	99	116
2017-07-13	$80.80	$74.98	26.4%	7.6%	18.1%	14.6%	25.8%	5.5%	-2.9%	22.2K	-260.0K	-1.8K	0.93	73.68	94	87	99	116
2017-07-14	$82.21	$74.98	23.8%	6.8%	19.2%	11.6%	24.5%	-27.1%	-2.4%	22.5K	-314.3K	-1.8K	0.93	131.81	94	87	99	116
2017-07-17	$82.08	$74.98	25.8%	7.4%	19.2%	13.9%	26.9%	2.1%	-3.4%	23.9K	-352.4K	-1.7K	0.93	37.38	94	87	99	116
2017-07-18	$82.28	$74.98	25.7%	7.4%	19.0%	13.8%	26.9%	2.0%	-3.0%	24.1K	-367.0K	-1.6K	0.93	34.89	94	87	99	116
2017-07-19	$82.89	$74.98	24.3%	7.0%	17.0%	12.2%	24.9%	2.0%	-2.6%	24.9K	-407.4K	-1.6K	0.74	44.90	94	69	99	116
2017-07-20	$83.21	$74.98	24.5%	7.0%	16.8%	12.4%	25.4%	0.9%	-2.4%	23.7K	-429.8K	-1.6K	0.82	49.43	94	77	99	120
2017-07-21	$83.78	$79.66	24.2%	6.9%	16.9%	12.1%	24.7%	1.2%	-2.3%	16.9K	-420.2K	-1.6K	0.82	47.49	94	77	99	127
2017-07-24	$83.27	$79.66	26.3%	7.5%	17.1%	14.5%	26.9%	1.0%	-2.8%	13.8K	-240.2K	-1.6K	1.21	47.81	65	79	83	93
2017-07-25	$83.29	$79.66	26.0%	7.5%	17.0%	14.2%	26.8%	1.9%	-2.6%	10.4K	-221.2K	-1.7K	1.21	47.60	65	79	83	114
2017-07-26	$83.67	$79.66	25.6%	7.3%	16.5%	13.6%	25.7%	0.9%	-2.8%	11.4K	-249.1K	-1.6K	1.13	51.02	65	74	83	114
2017-07-27	$87.49	$79.66	21.0%	6.0%	21.2%	8.3%	22.0%	1.7%	-0.4%	10.2K	-457.2K	-1.3K	1.43	54.87	65	93	83	116
2017-07-28	$88.66	$79.66	20.7%	5.9%	21.2%	7.9%	19.2%	1.1%	0.1%	5.0K	-524.5K	-1.2K	1.51	69.54	65	98	83	136
2017-07-31	$92.91	$79.66	30.1%	8.6%	25.7%	18.9%	29.5%	-0.0%	-3.5%	1.6K	-642.7K	-904	0.71	67.35	175	124	83	141