LBRDA Options History — November 2017

In November 2017, LBRDA traded between $79.37 and $83.96. ATM implied volatility averaged 39.4%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 5.1% (HV 20d: 34.3%). Max pain ranged from $84.35 to $84.35. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2017-11-01: Highest Volume — 392 contracts
  • 2017-11-24: Largest IV spike — 63.2% change
  • 2017-11-06: Highest IV Rank — 72.0%
  • 2017-11-24: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.93$79.37$83.96$81.73$80.32
Max Pain$84.35$84.35$84.35$84.35$84.35
ATM IV39.4%26.6%58.2%39.9%39.7%
Expected Move10.7%7.6%12.4%11.5%11.4%
HV 20d34.3%23.1%39.2%34.9%23.1%
HV 60d25.9%24.5%26.4%25.9%26.1%
IV Rank39.7%17.6%72.0%40.6%40.1%
IV Percentile89.1%48.4%98.8%94.4%91.3%
Term Structure-0.2%-6.2%7.6%-5.7%1.2%
VWIV40.6%25.7%56.1%47.9%54.6%
Skew 25d-3.7%-33.9%7.0%4.5%-5.2%
Skew 10d-3.6%-49.1%13.4%11.5%-10.5%
Call IV 25d48.0%38.8%62.9%51.4%62.9%
Put IV 25d44.3%23.0%60.8%55.9%57.7%
Bid-Ask Spread %119.95104.74139.20132.13139.20
Gamma HHI0.240.190.300.270.19
Net GEX-27.6K-39.9K-16.6K-37.3K-19.6K
Net DEX1.2M917.3K1.6M1.3M1.3M
Net VEX-7.2K-8.5K-6.1K-6.6K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.941.921.671.05
Total Volume310267392392282
Total OI628.286519677519677

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$81.73$84.3539.9%11.5%34.9%40.6%47.9%4.5%-5.7%-37.3K1.3M-6.6K1.67132.13147245164355
2017-11-02$81.77$0.0043.4%10.9%34.8%46.6%0.0%-4.3%-3.4%-37.0K1.3M-6.5K1.92104.74128245164355
2017-11-03$80.99$0.0040.4%9.6%34.8%41.3%0.0%-3.2%2.1%-33.4K1.3M-6.6K1.43118.13128184176355
2017-11-06$83.96$0.0058.2%10.9%37.7%72.0%0.0%-0.9%-1.8%-37.6K1.1M-7.5K1.17105.33150176176379
2017-11-07$83.12$0.0045.9%10.5%37.8%50.8%0.0%6.4%-2.2%-39.8K1.3M-7.5K1.17120.95150176201396
2017-11-08$81.65$0.0041.7%12.0%38.0%43.6%0.0%1.4%-4.4%-39.9K1.4M-7.1K1.17105.90150176201396
2017-11-09$82.51$0.0035.9%10.3%37.7%33.5%0.0%0.2%7.6%-38.6K1.4M-7.2K1.32115.70133176201396
2017-11-10$82.24$0.0036.5%10.5%37.7%34.6%0.0%-3.0%-1.9%-22.8K998.2K-8.5K1.32114.45133176265396
2017-11-13$83.04$0.0035.5%10.2%37.9%32.9%0.0%-11.1%0.9%-27.8K1.1M-7.8K1.32115.03133176265396
2017-11-14$81.33$0.0037.1%10.6%38.4%35.7%0.0%-1.0%0.5%-29.0K1.3M-7.4K1.32114.31133176265396
2017-11-15$81.84$0.0033.6%9.6%38.4%29.6%42.4%-9.6%5.8%-26.0K1.3M-7.5K1.34123.94133178265396
2017-11-16$82.66$84.3536.0%10.3%38.7%33.8%33.6%-1.2%-6.2%-23.5K1.1M-7.9K1.34122.08133178265397
2017-11-17$83.94$84.3535.7%10.2%39.1%33.2%39.6%0.3%0.2%-16.6K1.1M-7.8K1.41125.36138194265397
2017-11-20$82.87$84.3534.1%9.8%39.2%30.6%45.6%4.2%3.8%-19.5K1.1M-7.6K1.14125.26138157277376
2017-11-21$82.56$84.3542.9%12.3%38.4%45.6%29.9%-11.8%-6.0%-18.2K917.3K-8.1K1.14112.39138157277376
2017-11-22$81.97$84.3526.6%7.6%38.4%17.6%26.7%-10.9%5.0%-17.5K1.2M-7.2K1.03131.07138142277376
2017-11-24$81.10$84.3543.4%12.4%23.5%46.5%41.9%7.0%-4.5%-21.7K1.3M-6.9K0.94114.17138129277382
2017-11-27$79.37$84.3539.0%11.2%25.0%38.9%25.7%-33.9%-1.1%-20.7K1.3M-7.0K1.05124.43138144277385
2017-11-28$80.39$84.3542.3%12.1%23.7%44.6%56.1%4.0%1.6%-25.1K1.6M-6.1K1.05126.44138144277400
2017-11-29$81.27$84.3540.0%11.5%23.1%40.7%43.2%-10.2%4.6%-28.7K1.5M-6.3K1.05127.91138144277400
2017-11-30$80.32$84.3539.7%11.4%23.1%40.1%54.6%-5.2%1.2%-19.6K1.3M-6.9K1.05139.20138144277400