LBRDA Options History — September 2017

In September 2017, LBRDA traded between $87.21 and $96.47. ATM implied volatility averaged 33.3%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 13.9% (HV 20d: 19.4%). Max pain ranged from $89.03 to $89.03. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-09-01: Highest Volume — 724 contracts
  • 2017-09-11: Largest IV spike — 44.9% change
  • 2017-09-22: Highest IV Rank — 44.3%
  • 2017-09-22: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.98$87.21$96.47$93.96$88.22
Max Pain$89.03$89.03$89.03$89.03$89.03
ATM IV33.3%25.3%42.5%25.3%33.3%
Expected Move9.3%7.3%11.7%7.3%9.5%
HV 20d19.4%16.7%21.4%21.3%18.9%
HV 60d22.3%21.6%23.0%21.9%21.9%
IV Rank28.5%13.4%44.3%13.4%32.0%
IV Percentile80.6%42.1%95.6%42.1%83.3%
Term Structure-0.6%-7.3%5.3%1.6%-3.8%
VWIV36.0%27.4%42.1%27.4%37.7%
Skew 25d4.4%-2.8%22.1%-0.5%-2.8%
Skew 10d3.7%-4.9%15.6%0.6%15.6%
Call IV 25d34.1%27.3%43.9%27.3%43.7%
Put IV 25d38.5%26.9%56.5%26.9%40.9%
Bid-Ask Spread %74.8426.46113.1475.9796.64
Gamma HHI0.240.170.310.300.17
Net GEX46.4K-42.5K160.0K77.0K-24.8K
Net DEX34.5K-1.2M1.1M-528.0K974.7K
Net VEX-8.3K-11.3K-6.2K-6.2K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.261.310.261.24
Total Volume451353724724356
Total OI1,485.41,2201,6661,2201,555

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$93.96$89.0325.3%7.3%21.3%13.4%27.4%-0.5%1.6%77.0K-528.0K-6.2K0.2675.97576148996224
2017-09-05$94.60$89.0328.6%8.1%21.0%17.2%32.3%0.1%0.0%102.9K-748.9K-6.9K0.2735.175521491,038224
2017-09-06$96.47$89.0331.9%8.1%21.4%21.1%31.6%0.8%-0.7%160.0K-1.2M-7.8K0.3133.055521711,067225
2017-09-07$95.72$89.0330.6%8.3%16.7%19.5%31.8%0.7%-0.7%136.5K-975.1K-7.7K0.5737.042851611,067246
2017-09-08$94.42$89.0329.3%8.6%17.1%18.0%33.4%-0.7%-0.7%113.5K-896.5K-8.4K0.4926.462891411,088258
2017-09-11$92.01$89.0342.5%9.1%19.3%33.3%38.7%16.3%2.1%110.3K-1.1M-10.0K0.4974.133031471,134259
2017-09-12$92.61$89.0338.3%10.5%19.1%28.5%36.9%-0.7%-7.3%78.7K-635.5K-8.5K0.7261.312862051,201268
2017-09-13$93.53$89.0331.8%9.1%18.9%21.0%32.7%-0.6%-1.5%96.1K-503.3K-9.4K0.6973.602962051,279327
2017-09-14$91.65$89.0330.7%8.8%20.0%27.8%36.1%3.3%5.3%-2.8K269.4K-6.4K0.6976.842962051,339327
2017-09-15$90.52$89.0331.3%9.0%19.4%28.8%40.0%6.8%0.9%84.1K-597.6K-11.3K0.8483.162762321,339327
2017-09-18$90.23$89.0330.7%8.8%19.3%27.8%34.4%-1.5%3.6%10.0K604.7K-8.9K1.3185.521532001,165364
2017-09-19$89.25$89.0337.5%10.8%19.1%39.0%36.5%4.5%-4.1%-13.4K823.9K-8.0K1.3178.051532001,184364
2017-09-20$89.63$89.0330.4%8.7%19.1%27.3%35.9%2.9%1.6%5.3K665.6K-8.5K1.3199.671532001,184364
2017-09-21$88.12$89.0333.7%9.7%19.3%32.8%39.7%18.8%-1.5%42.4K335.1K-11.0K1.3187.961532001,184364
2017-09-22$88.27$89.0340.7%11.7%19.4%44.3%39.4%4.5%-0.2%15.3K679.3K-9.0K1.3188.651532001,184364
2017-09-25$87.35$89.0337.4%10.7%19.6%38.9%34.7%1.8%-1.6%-32.3K1.1M-6.9K1.3188.761532001,184364
2017-09-26$87.21$89.0330.8%8.8%19.5%28.0%41.4%0.6%-2.5%-42.5K1.1M-6.7K1.31113.141532001,184364
2017-09-27$88.27$89.0334.3%9.8%20.2%33.6%42.1%22.1%-1.6%45.0K244.4K-10.4K1.2592.931592001,184364
2017-09-28$87.65$89.0336.4%10.4%19.5%37.2%37.7%11.9%-0.1%-33.5K1.1M-6.8K1.2588.741592001,191364
2017-09-29$88.22$89.0333.3%9.5%18.9%32.0%37.7%-2.8%-3.8%-24.8K974.7K-7.0K1.2496.641591971,191364