LBRDA Options History — October 2017

In October 2017, LBRDA traded between $77.24 and $90.75. ATM implied volatility averaged 32.7%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 13.1% (HV 20d: 19.6%). Max pain ranged from $84.35 to $89.03. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.46.

Notable Days

  • 2017-10-31: Highest Volume — 392 contracts
  • 2017-10-06: Largest IV spike — 31.9% change
  • 2017-10-09: Highest IV Rank — 41.7%
  • 2017-10-10: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.01$77.24$90.75$88.13$80.87
Max Pain$85.23$84.35$89.03$89.03$84.35
ATM IV32.7%23.8%40.6%37.8%35.3%
Expected Move9.7%7.6%11.5%10.8%10.1%
HV 20d19.6%14.5%34.7%18.7%34.7%
HV 60d22.3%18.5%26.0%21.9%26.0%
IV Rank28.2%12.8%41.7%39.5%32.5%
IV Percentile76.3%25.4%95.2%92.9%87.3%
Term Structure-1.0%-11.3%9.5%-0.2%3.5%
VWIV36.4%26.8%45.4%35.1%38.0%
Skew 25d-1.7%-17.2%10.7%2.6%-16.6%
Skew 10d-1.1%-27.9%25.2%2.7%-27.9%
Call IV 25d39.3%32.7%55.2%34.2%55.2%
Put IV 25d37.6%26.1%45.4%36.8%38.5%
Bid-Ask Spread %99.2062.41127.6993.07123.24
Gamma HHI0.280.180.510.200.26
Net GEX-39.3K-65.7K30.5K-40.2K-36.0K
Net DEX1.1M368.9K1.7M1.1M1.5M
Net VEX-5.7K-8.1K-4.2K-6.5K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.461.261.971.291.67
Total Volume347.409283392350392
Total OI1,2053421,5721,556505

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$88.13$89.0337.8%10.8%18.7%39.5%35.1%2.6%-0.2%-40.2K1.1M-6.5K1.2993.071531971,191365
2017-10-03$89.63$89.0326.5%7.6%19.7%17.5%35.2%4.8%-1.1%-23.8K779.4K-6.8K1.2997.691531971,191365
2017-10-04$90.38$89.0331.4%9.0%18.4%25.8%39.4%-7.1%2.3%-5.1K621.6K-7.1K1.2994.981531971,191365
2017-10-05$90.75$0.0023.8%11.1%18.5%12.8%0.0%-1.3%-8.7%30.5K368.9K-8.1K1.2968.381531971,191365
2017-10-06$89.89$0.0031.4%10.9%18.3%25.8%0.0%-1.7%-8.7%-50.9K888.1K-6.2K1.2974.131531971,191365
2017-10-09$89.19$0.0040.6%10.1%16.2%41.7%0.0%-0.5%-2.2%-51.5K1.0M-6.0K1.2975.081531971,191365
2017-10-10$89.17$0.0031.6%11.5%15.9%26.1%0.0%1.8%-9.8%-53.8K986.8K-5.9K1.2962.411531971,191365
2017-10-11$89.57$0.0032.9%9.4%15.5%28.4%0.0%3.9%1.2%-51.7K929.6K-5.9K1.29116.211531971,191365
2017-10-12$87.53$0.0038.6%11.1%16.0%38.2%38.1%4.4%-6.5%-60.9K1.2M-5.4K1.4075.971532131,191365
2017-10-13$87.51$84.3532.8%9.4%15.5%28.3%32.3%-4.7%-0.5%-54.2K1.2M-5.7K1.55122.531382131,191381
2017-10-16$87.72$84.3533.5%9.6%15.6%29.5%45.4%10.7%-1.7%-65.7K1.2M-5.4K1.5593.741382131,190382
2017-10-17$87.24$84.3531.9%9.1%15.2%26.7%42.4%6.4%-1.7%-50.9K1.2M-5.4K1.5593.531382131,190382
2017-10-18$86.20$84.3530.7%8.8%15.6%24.7%34.5%-10.3%9.5%-65.7K1.5M-5.0K1.4893.881442131,190382
2017-10-19$85.87$84.3533.7%9.7%14.5%29.8%38.7%-1.5%4.6%-61.2K1.5M-5.1K1.6193.151442321,194373
2017-10-20$86.15$84.3530.4%8.7%14.6%24.1%33.4%-0.6%4.0%-45.2K1.5M-4.8K1.61127.691442321,194364
2017-10-23$85.19$84.3528.6%8.2%14.7%21.0%26.8%4.4%-1.4%-49.3K1.2M-4.3K1.26116.0112515875267
2017-10-24$83.32$84.3536.0%10.3%16.4%33.7%42.4%-10.7%0.8%-23.6K866.3K-5.8K1.26113.44125158155267
2017-10-25$83.96$84.3531.5%9.0%16.0%26.1%34.5%0.9%3.9%-25.1K851.9K-5.7K1.32110.67125164155267
2017-10-26$77.24$84.3528.5%8.2%32.9%21.0%31.8%-9.6%-0.5%-18.6K1.3M-4.2K1.71105.20125213155273
2017-10-27$77.39$84.3535.3%10.1%32.7%32.5%37.5%4.1%-11.3%-28.0K1.7M-4.9K1.88126.69125235150329
2017-10-30$79.39$84.3536.3%10.4%34.6%34.3%33.9%-17.2%2.1%-33.0K1.6M-5.3K1.97104.79125245150345
2017-10-31$80.87$84.3535.3%10.1%34.7%32.5%38.0%-16.6%3.5%-36.0K1.5M-6.0K1.67123.24147245150355