LBRDK Options History — January 2017

In January 2017, LBRDK traded between $72.74 and $87.30. ATM implied volatility averaged 34.3%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 13.9% (HV 20d: 20.4%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.30.

Notable Days

2017-01-18: Highest Volume — 113 contracts
2017-01-11: Largest IV drop — 45.0% change
2017-01-10: Highest IV Rank — 27.2%
2017-01-04: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.64	$72.74	$87.30	$72.74	$85.08
Max Pain	$79.41	$75.00	$80.00	$75.00	$80.00
ATM IV	34.3%	22.3%	50.2%	38.9%	34.8%
Expected Move	9.0%	6.4%	11.7%	11.2%	10.0%
HV 20d	20.4%	14.7%	34.3%	21.3%	33.6%
HV 60d	21.8%	19.4%	26.0%	21.5%	25.9%
IV Rank	14.6%	3.9%	27.2%	17.5%	16.3%
IV Percentile	26.1%	1.6%	72.2%	38.9%	29.0%
Term Structure	-6.0%	-19.1%	8.0%	-13.4%	-8.3%
VWIV	32.7%	15.9%	41.2%	38.5%	36.0%
Skew 25d	4.5%	-5.1%	18.9%	1.7%	2.8%
Skew 10d	8.5%	2.8%	18.9%	8.7%	7.9%
Call IV 25d	39.6%	17.5%	54.8%	53.6%	46.5%
Put IV 25d	44.1%	26.9%	58.0%	55.4%	49.2%
Bid-Ask Spread %	118.86	112.97	122.29	122.08	122.10
Gamma HHI	0.39	0.33	0.50	0.34	0.44
Net GEX	14.4K	4.0K	22.8K	4.0K	17.4K
Net DEX	-373.3K	-683.2K	-178.6K	-178.6K	-624.8K
Net VEX	-1.3K	-1.5K	-959	-1.4K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.18	0.46	0.46	0.18
Total Volume	102.2	83	113	83	104
Total OI	108.7	91	121	91	113

Daily Data (20 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
2017-01-03	$72.74	$75.00	38.9%	11.2%	21.3%	17.5%	38.5%	1.7%	-13.4%	4.0K	-178.6K	-1.4K	0.46	122.08	57	26	64	27
2017-01-04	$74.55	$75.00	40.8%	11.7%	21.9%	19.2%	40.0%	3.2%	-19.1%	4.4K	-179.2K	-1.4K	0.46	122.29	57	26	64	27
2017-01-05	$75.09	$0.00	42.2%	8.5%	21.1%	20.4%	0.0%	18.9%	0.4%	4.5K	-196.0K	-1.4K	0.46	118.92	57	26	64	27
2017-01-06	$75.55	$0.00	43.7%	7.9%	18.0%	21.7%	0.0%	2.0%	3.1%	5.4K	-214.4K	-1.4K	0.46	117.31	57	26	64	27
2017-01-09	$75.04	$0.00	48.5%	9.7%	16.6%	25.7%	41.2%	-2.4%	-1.2%	4.1K	-211.0K	-1.3K	0.32	115.01	82	26	64	27
2017-01-10	$75.61	$80.00	50.2%	9.9%	16.4%	27.2%	36.1%	1.5%	-9.3%	11.4K	-270.9K	-1.5K	0.32	117.07	82	26	89	27
2017-01-11	$76.32	$80.00	27.6%	7.9%	16.4%	7.9%	27.7%	15.0%	-7.2%	14.2K	-261.9K	-1.5K	0.32	112.97	82	26	89	27
2017-01-12	$75.81	$80.00	26.9%	7.7%	15.4%	8.4%	40.5%	4.1%	-1.4%	14.3K	-278.1K	-1.4K	0.32	118.18	82	26	89	27
2017-01-13	$76.39	$80.00	33.3%	9.6%	14.7%	14.8%	40.3%	6.2%	-5.9%	14.5K	-289.1K	-1.5K	0.32	116.62	82	26	89	27
2017-01-17	$78.10	$80.00	34.4%	9.9%	16.5%	15.9%	37.8%	10.5%	-16.0%	16.5K	-355.9K	-1.3K	0.32	118.11	82	26	89	27
2017-01-18	$77.93	$80.00	25.7%	7.4%	15.7%	7.2%	26.7%	7.7%	-4.4%	16.5K	-342.5K	-1.4K	0.30	116.96	87	26	89	27
2017-01-19	$78.45	$80.00	22.3%	6.4%	15.8%	3.9%	23.7%	-5.1%	-2.3%	22.8K	-371.7K	-1.4K	0.30	115.06	87	26	94	27
2017-01-20	$79.16	$80.00	30.6%	8.8%	15.9%	12.0%	31.1%	2.2%	-6.6%	20.8K	-430.2K	-1.4K	0.30	121.41	87	26	94	27
2017-01-23	$79.37	$80.00	31.2%	8.9%	15.9%	12.7%	31.8%	2.8%	-8.8%	20.2K	-441.3K	-1.3K	0.18	121.46	87	16	94	17
2017-01-24	$79.66	$80.00	23.7%	6.8%	15.9%	5.3%	15.9%	4.6%	8.0%	22.2K	-443.5K	-1.4K	0.18	121.09	87	16	94	17
2017-01-25	$80.28	$80.00	31.4%	9.0%	15.8%	12.9%	31.2%	-3.6%	-8.0%	22.3K	-457.0K	-1.3K	0.18	121.71	87	16	94	17
2017-01-26	$87.30	$80.00	31.8%	9.1%	32.6%	13.3%	34.5%	14.0%	-9.9%	20.3K	-683.2K	-959	0.18	118.24	88	16	94	17
2017-01-27	$85.23	$80.00	31.8%	9.1%	34.2%	13.2%	24.1%	0.9%	-1.5%	15.3K	-620.9K	-1.1K	0.18	119.89	88	16	95	17
2017-01-30	$85.04	$80.00	35.2%	10.1%	34.3%	16.7%	31.1%	2.8%	-8.4%	17.4K	-615.4K	-1.1K	0.18	120.80	88	16	95	17
2017-01-31	$85.08	$80.00	34.8%	10.0%	33.6%	16.3%	36.0%	2.8%	-8.3%	17.4K	-624.8K	-1.1K	0.18	122.10	88	16	96	17