LBRDK Options History — September 2016

In September 2016, LBRDK traded between $69.50 and $72.83. ATM implied volatility averaged 44.9%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 23.6% (HV 20d: 21.4%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.52.

Notable Days

2016-09-01: Highest Volume — 85 contracts
2016-09-14: Largest IV drop — 71.4% change
2016-09-13: Highest IV Rank — 69.6%
2016-09-02: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.24	$69.50	$72.83	$71.47	$71.48
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	44.9%	28.7%	100.2%	43.6%	36.7%
Expected Move	9.4%	7.9%	12.9%	12.5%	10.5%
HV 20d	21.4%	17.6%	27.5%	27.5%	18.0%
HV 60d	21.6%	19.5%	23.2%	22.5%	19.9%
IV Rank	21.7%	7.6%	69.6%	20.6%	14.5%
IV Percentile	37.1%	1.0%	97.5%	46.6%	24.4%
Term Structure	-7.8%	-24.7%	4.3%	-20.2%	-12.8%
VWIV	78.3%	78.3%	78.3%	78.3%	78.3%
Skew 25d	2.4%	-5.7%	7.3%	-5.7%	3.4%
Skew 10d	11.0%	-1.0%	36.4%	-1.0%	11.7%
Call IV 25d	43.7%	36.5%	58.5%	58.5%	50.8%
Put IV 25d	46.0%	37.9%	65.6%	52.8%	54.2%
Bid-Ask Spread %	122.96	120.63	125.75	123.25	123.78
Gamma HHI	0.43	0.34	0.56	0.35	0.49
Net GEX	3.5K	-2.0K	8.8K	-2.0K	5.1K
Net DEX	-427.1K	-840.2K	-2.8K	-840.2K	-69.4K
Net VEX	-594	-767	-406	-504	-542
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.89	3.10	1.30	0.89
Total Volume	71.19	41	85	85	66
Total OI	116.762	41	175	175	62

Daily Data (21 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
2016-09-01	$71.47	$60.00	43.6%	12.5%	27.5%	20.6%	0.0%	-5.7%	-20.2%	-2.0K	-840.2K	-504	1.30	123.25	37	48	127	48
2016-09-02	$71.35	$60.00	45.0%	12.9%	26.6%	21.7%	78.3%	7.3%	-17.2%	4.7K	-794.4K	-721	1.30	125.75	37	48	127	48
2016-09-06	$71.44	$0.00	53.2%	8.0%	26.6%	28.8%	0.0%	1.6%	-0.2%	4.5K	-807.2K	-631	1.30	122.48	37	48	127	48
2016-09-07	$72.11	$0.00	55.3%	8.1%	17.6%	30.7%	0.0%	3.5%	-0.5%	3.3K	-817.6K	-597	1.30	122.13	37	48	127	48
2016-09-08	$70.61	$0.00	60.1%	8.2%	19.1%	34.8%	0.0%	1.8%	0.3%	5.5K	-786.4K	-624	1.30	120.63	37	48	127	48
2016-09-09	$69.50	$0.00	66.6%	7.9%	19.8%	40.5%	0.0%	2.1%	-0.6%	7.7K	-716.0K	-767	1.30	121.77	37	48	127	48
2016-09-12	$70.88	$0.00	88.0%	8.2%	20.0%	59.0%	0.0%	0.3%	4.3%	5.1K	-772.5K	-657	1.30	121.51	37	48	127	48
2016-09-13	$69.89	$0.00	100.2%	8.1%	20.5%	69.6%	0.0%	2.3%	-1.1%	6.7K	-740.0K	-650	1.30	123.48	37	48	127	48
2016-09-14	$70.07	$0.00	28.7%	8.2%	20.2%	7.6%	0.0%	2.4%	-5.1%	7.3K	-695.0K	-676	1.30	123.59	37	48	127	48
2016-09-15	$70.64	$0.00	29.2%	8.4%	20.3%	8.0%	0.0%	1.6%	-3.3%	6.6K	-749.1K	-576	1.30	121.98	37	48	127	48
2016-09-16	$70.19	$0.00	30.9%	8.8%	20.4%	9.5%	0.0%	2.5%	-5.7%	-1.5K	-823.8K	-498	1.30	122.39	37	48	127	48
2016-09-19	$70.24	$0.00	31.0%	8.9%	20.2%	9.6%	0.0%	2.7%	-14.6%	-1.6K	-2.8K	-501	3.10	122.46	10	31	10	31
2016-09-20	$70.26	$0.00	33.1%	9.5%	20.2%	11.4%	0.0%	2.7%	-7.8%	-1.5K	-5.1K	-482	3.10	122.05	10	31	10	31
2016-09-21	$71.99	$0.00	32.3%	9.3%	21.7%	10.7%	0.0%	3.5%	-3.1%	-1.5K	-7.4K	-486	3.10	123.02	10	31	10	31
2016-09-22	$72.46	$0.00	33.8%	9.7%	21.3%	12.0%	0.0%	3.1%	-4.4%	-667	-22.8K	-406	3.10	122.97	10	31	10	31
2016-09-23	$72.11	$0.00	34.6%	9.9%	21.5%	12.7%	0.0%	1.1%	-6.9%	-1.2K	-9.8K	-482	0.89	123.95	35	31	10	31
2016-09-26	$72.03	$0.00	35.0%	10.0%	21.5%	13.0%	0.0%	3.2%	-5.3%	4.9K	-82.3K	-728	0.89	123.82	35	31	35	31
2016-09-27	$72.61	$0.00	34.2%	9.8%	21.6%	12.3%	0.0%	3.3%	-22.1%	8.8K	-76.0K	-698	0.89	124.20	35	31	35	31
2016-09-28	$72.83	$0.00	35.0%	10.0%	21.5%	13.0%	0.0%	3.4%	-24.7%	7.6K	-91.3K	-660	0.89	124.32	35	31	35	31
2016-09-29	$71.80	$0.00	37.5%	10.7%	22.3%	15.2%	0.0%	3.3%	-13.6%	6.6K	-60.6K	-578	0.89	122.54	35	31	31	31
2016-09-30	$71.48	$0.00	36.7%	10.5%	18.0%	14.5%	0.0%	3.4%	-12.8%	5.1K	-69.4K	-542	0.89	123.78	35	31	31	31