LBRDK Options History — March 2017

In March 2017, LBRDK traded between $84.33 and $86.60. ATM implied volatility averaged 34.4%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 26.1% (HV 20d: 8.3%). Max pain ranged from $65.00 to $85.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.13.

Notable Days

  • 2017-03-15: Highest Volume — 243 contracts
  • 2017-03-15: Largest IV drop — 79.4% change
  • 2017-03-14: Highest IV Rank — 62.0%
  • 2017-03-03: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.43$84.33$86.60$85.65$86.60
Max Pain$82.39$65.00$85.00$65.00$85.00
ATM IV34.4%12.8%80.9%35.0%18.2%
Expected Move6.7%3.7%10.9%10.0%5.2%
HV 20d8.3%6.4%9.7%8.0%8.9%
HV 60d21.5%20.2%23.4%23.4%20.2%
IV Rank18.4%0.0%62.0%16.5%5.0%
IV Percentile33.9%0.0%96.8%35.7%1.6%
Term Structure-1.4%-16.8%10.3%-12.8%0.3%
VWIV24.7%16.8%39.8%33.0%19.4%
Skew 25d4.7%-10.4%26.3%26.3%13.8%
Skew 10d14.5%-3.5%62.0%44.8%62.0%
Call IV 25d27.9%14.5%41.3%17.6%34.8%
Put IV 25d32.6%17.1%48.6%43.9%48.6%
Bid-Ask Spread %120.20114.12122.98120.10121.13
Gamma HHI0.410.350.440.440.43
Net GEX34.1K19.1K57.3K21.0K57.3K
Net DEX-844.8K-1.3M-529.8K-579.0K-1.2M
Net VEX-2.5K-4.2K-617-879-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.040.240.190.04
Total Volume176.4359924399237
Total OI174.739108252108232

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$85.65$65.0035.0%10.0%8.0%16.5%33.0%26.3%-12.8%21.0K-579.0K-8790.19120.1083169117
2017-03-02$84.76$65.0037.1%10.6%8.7%18.5%39.8%24.4%-16.8%19.9K-545.9K-9000.19120.6883169117
2017-03-03$84.98$65.0038.0%10.9%8.8%19.5%38.5%26.1%-16.7%20.8K-567.8K-7910.24120.1983209117
2017-03-06$85.16$85.0043.1%6.3%8.5%24.6%25.7%0.6%2.4%19.1K-565.4K-8090.24114.1283209121
2017-03-07$84.98$85.0044.6%6.6%7.2%26.0%26.4%0.4%-0.1%19.6K-536.9K-8930.24116.9183209121
2017-03-08$84.70$85.0047.0%4.8%6.6%28.4%17.1%2.7%5.1%19.4K-532.7K-8780.24117.6283209121
2017-03-09$84.84$85.0049.8%5.3%6.4%31.2%17.9%-0.1%5.6%19.1K-529.8K-8770.24117.3483209121
2017-03-10$85.51$85.0053.0%5.3%6.9%34.3%18.7%4.4%4.3%19.6K-557.4K-8560.24116.4883209121
2017-03-13$85.78$85.0069.9%5.8%7.0%51.1%25.6%0.3%4.0%20.0K-561.7K-7810.24119.8183209121
2017-03-14$85.43$85.0080.9%4.8%7.0%62.0%17.4%1.4%6.1%19.2K-557.6K-7460.24120.9383209121
2017-03-15$86.05$85.0016.7%4.8%7.5%0.0%20.1%-2.9%3.9%20.3K-593.8K-6170.09122.01223209121
2017-03-16$85.45$85.0016.4%4.7%7.6%0.0%16.8%-10.4%6.0%48.8K-1.2M-3.9K0.09120.752232023121
2017-03-17$85.83$85.0012.8%3.7%7.8%0.0%19.7%-2.2%10.3%36.0K-1.3M-3.9K0.09120.692232023121
2017-03-20$85.56$85.0018.1%5.2%7.8%4.9%18.1%13.7%3.4%35.9K-1.0M-3.7K0.04117.9322191989
2017-03-21$84.33$85.0020.6%5.9%9.3%7.3%19.6%3.1%-0.5%50.4K-1.0M-4.1K0.04121.8722192239
2017-03-22$84.70$85.0026.2%7.5%9.5%12.6%27.7%2.0%-4.2%48.7K-1.0M-4.2K0.04121.8322192239
2017-03-23$85.18$85.0021.6%6.2%9.5%8.2%25.5%-1.5%-3.7%52.6K-1.1M-4.1K0.04121.1522192239
2017-03-24$85.73$85.0026.4%7.6%9.7%12.8%27.1%0.7%-4.4%46.7K-1.1M-4.0K0.04122.4922192239
2017-03-27$85.51$85.0028.1%8.0%9.7%14.3%28.8%1.5%-9.6%47.6K-1.1M-3.9K0.04122.7422192239
2017-03-28$85.67$85.0028.6%8.2%9.4%14.8%29.3%1.0%-5.7%47.8K-1.1M-3.9K0.04122.0922192239
2017-03-29$85.94$85.0029.1%8.3%9.5%15.3%29.8%-0.2%-6.1%48.1K-1.1M-4.0K0.04122.7222192239
2017-03-30$86.57$85.0029.5%8.5%8.9%15.7%26.5%2.6%-3.2%47.5K-1.2M-3.9K0.04122.9822192239
2017-03-31$86.60$85.0018.2%5.2%8.9%5.0%19.4%13.8%0.3%57.3K-1.2M-3.9K0.04121.1322892239