LBRDA Options History — August 2017

In August 2017, LBRDA traded between $91.12 and $96.34. ATM implied volatility averaged 27.1%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.8% (HV 20d: 25.3%). Max pain ranged from $74.98 to $89.03. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-08-16: Highest Volume — 827 contracts
  • 2017-08-03: Largest IV drop — 11.6% change
  • 2017-08-02: Highest IV Rank — 18.6%
  • 2017-08-02: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.87$91.12$96.34$93.01$95.06
Max Pain$82.92$74.98$89.03$79.66$89.03
ATM IV27.1%25.7%29.8%29.1%25.9%
Expected Move7.7%7.3%8.5%8.3%7.4%
HV 20d25.3%20.0%29.8%22.7%20.8%
HV 60d22.6%21.7%23.4%22.3%22.2%
IV Rank15.4%13.8%18.6%17.7%14.0%
IV Percentile57.2%45.6%66.3%63.1%48.0%
Term Structure-0.2%-3.0%1.2%-2.2%1.2%
VWIV28.2%24.6%32.0%28.5%26.9%
Skew 25d-0.3%-1.7%0.9%-1.6%-0.0%
Skew 10d0.4%-2.3%2.9%-2.3%0.6%
Call IV 25d27.9%25.9%30.8%30.3%27.3%
Put IV 25d27.6%25.6%29.1%28.7%27.3%
Bid-Ask Spread %52.9540.4873.4769.3372.26
Gamma HHI0.430.250.830.830.31
Net GEX81.4K36.3K187.0K49.8K98.8K
Net DEX-964.0K-2.0M-182.8K-1.0M-686.6K
Net VEX-4.9K-8.5K-2.1K-2.1K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.251.830.720.25
Total Volume559.478254827320735
Total OI857.6093481,3203481,217

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$93.01$79.6629.1%8.3%22.7%17.7%28.5%-1.6%-2.2%49.8K-1.0M-2.1K0.7269.33186134182166
2017-08-02$92.69$84.3529.8%8.5%23.1%18.6%29.3%-1.7%-3.0%48.7K-991.8K-2.3K0.7864.93186145193177
2017-08-03$92.33$74.9826.4%7.3%22.8%14.6%24.6%0.5%-1.1%54.6K-913.1K-2.4K1.7042.1894160193188
2017-08-04$91.94$74.9827.3%7.4%23.2%15.7%25.1%0.1%-1.1%43.9K-794.6K-2.5K1.7042.4294160192203
2017-08-07$91.12$74.9827.6%7.3%23.9%16.0%24.8%0.2%-0.8%44.9K-677.2K-2.3K1.8342.8994172192203
2017-08-08$92.61$74.9826.6%7.4%24.1%14.8%25.9%-0.6%-1.0%42.5K-848.9K-2.3K1.6848.60102172192225
2017-08-09$96.24$74.9826.1%7.5%26.5%14.3%26.2%0.7%-0.6%52.0K-1.4M-2.1K1.5248.13113172203225
2017-08-10$95.35$74.9826.6%7.6%26.8%14.8%26.5%0.9%-0.3%58.8K-1.3M-2.5K1.6146.11113182213225
2017-08-11$95.41$74.9826.6%7.6%26.7%14.9%26.5%-0.3%-0.1%68.6K-1.4M-2.9K0.3744.86512189235236
2017-08-14$96.34$74.9825.7%7.4%26.5%13.8%25.7%-0.4%-0.1%130.1K-2.0M-5.4K0.3746.61512189634236
2017-08-15$94.98$74.9827.5%7.9%27.6%15.8%29.9%-0.3%-0.5%154.8K-1.8M-5.5K0.4845.84416201634236
2017-08-16$95.51$89.0328.0%8.0%27.6%16.5%30.9%-0.4%-0.3%142.1K-1.8M-8.5K0.3244.966262011,013273
2017-08-17$93.70$89.0328.1%8.1%29.2%16.6%32.0%-0.7%-0.1%128.6K-1.4M-7.9K0.3144.286261951,036273
2017-08-18$93.73$89.0326.7%7.7%29.2%15.0%30.7%-0.8%0.2%187.0K-1.3M-7.2K0.3140.486261951,036284
2017-08-21$94.62$89.0327.5%7.9%28.9%15.9%31.1%-0.5%-0.2%98.6K-728.9K-6.9K0.3147.82503158947178
2017-08-22$95.07$89.0327.1%7.8%28.8%15.4%29.2%0.2%0.2%99.6K-792.5K-7.3K0.3145.90503158947200
2017-08-23$93.67$89.0326.9%7.7%29.8%15.2%31.4%-0.1%0.8%85.3K-634.1K-6.8K0.3256.32500158947200
2017-08-24$93.28$89.0327.0%7.7%26.2%15.4%30.9%-0.4%0.5%69.4K-473.2K-6.2K0.3058.21500149937200
2017-08-25$92.91$89.0326.5%7.6%26.0%14.7%30.4%-0.1%0.8%61.8K-436.1K-5.9K0.3059.54500149937202
2017-08-28$92.98$89.0326.6%7.6%20.0%14.9%26.6%-1.0%0.6%50.7K-334.1K-5.2K0.3361.87499165937202
2017-08-29$92.68$89.0327.6%7.9%20.0%16.0%26.6%-0.8%0.3%36.3K-182.8K-4.9K0.2773.47543148946223
2017-08-30$93.83$89.0326.3%7.5%20.5%14.5%28.0%0.1%0.8%64.8K-405.3K-6.0K0.2570.84585148983224
2017-08-31$95.06$89.0325.9%7.4%20.8%14.0%26.9%-0.0%1.2%98.8K-686.6K-6.9K0.2572.26587148993224