LBRDK Options History — May 2017

In May 2017, LBRDK traded between $82.91 and $91.15. ATM implied volatility averaged 31.2%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 11.0% (HV 20d: 20.2%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2017-05-16: Highest Volume — 237 contracts
  • 2017-05-30: Largest IV spike — 58.3% change
  • 2017-05-09: Highest IV Rank — 32.3%
  • 2017-05-31: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.09$82.91$91.15$91.15$88.97
Max Pain$85.68$85.00$90.00$90.00$85.00
ATM IV31.2%21.1%44.1%32.6%39.6%
Expected Move8.1%6.1%11.4%9.3%11.4%
HV 20d20.2%11.1%22.7%11.1%22.2%
HV 60d14.0%9.7%15.6%9.7%15.6%
IV Rank19.0%8.5%32.3%20.4%27.6%
IV Percentile31.9%4.8%77.0%34.5%65.5%
Term Structure-4.9%-16.6%7.8%-7.9%-16.6%
VWIV32.8%21.1%47.3%47.3%45.0%
Skew 25d5.9%-6.9%21.7%2.6%3.2%
Skew 10d13.3%-11.4%42.7%9.1%10.7%
Call IV 25d35.1%22.3%54.4%43.6%48.1%
Put IV 25d41.1%33.0%51.3%46.2%51.3%
Bid-Ask Spread %113.43101.18122.45120.22117.74
Gamma HHI0.390.330.460.460.44
Net GEX21.6K6.2K42.1K22.0K42.1K
Net DEX-806.7K-1.3M-375.9K-1.3M-1.3M
Net VEX-4.3K-6.1K-3.6K-4.0K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.120.900.120.53
Total Volume194.727115237219227
Total OI328.773296456296456

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$91.15$90.0032.6%9.3%11.1%20.4%47.3%2.6%-7.9%22.0K-1.3M-4.0K0.12120.221962322373
2017-05-02$89.59$90.0032.8%9.4%13.1%20.5%46.0%2.5%-9.6%24.2K-1.1M-4.2K0.12122.451962322374
2017-05-03$86.21$90.0034.8%10.0%18.4%22.6%37.8%3.1%-9.0%13.9K-872.6K-4.1K0.12121.131962322374
2017-05-04$85.98$85.0036.0%7.0%18.4%23.9%24.8%-4.9%6.5%28.0K-863.2K-4.3K0.12118.501962322374
2017-05-05$87.75$85.0037.2%6.1%19.9%25.1%30.5%10.4%-2.8%27.6K-937.9K-4.2K0.12104.931962322374
2017-05-08$85.80$85.0042.1%6.7%21.3%30.2%31.2%-6.9%1.0%27.3K-774.2K-4.3K0.12119.051972322475
2017-05-09$85.99$85.0044.1%6.6%21.3%32.3%25.0%10.8%-2.3%17.4K-818.3K-3.9K0.12101.181972322475
2017-05-10$85.56$85.0021.1%6.1%21.3%8.5%21.1%10.0%1.2%11.7K-767.9K-3.7K0.12103.321972322475
2017-05-11$85.46$85.0028.1%8.1%21.3%15.8%28.3%13.7%-6.8%23.6K-744.5K-3.8K0.12106.421972322475
2017-05-12$85.01$85.0028.4%8.2%21.0%16.1%31.3%16.4%-5.9%24.6K-720.6K-3.9K0.12107.031982322475
2017-05-15$84.57$85.0022.5%6.4%21.0%9.9%23.6%9.9%1.7%12.5K-690.7K-3.6K0.15102.442003022575
2017-05-16$84.26$85.0025.9%7.4%21.0%13.5%28.9%14.8%-1.6%20.6K-657.6K-3.8K0.18114.532003722782
2017-05-17$82.91$85.0021.5%6.2%21.1%8.9%26.7%-4.0%7.8%6.2K-516.3K-3.7K0.36114.251314722796
2017-05-18$83.77$85.0027.5%7.9%21.0%15.1%28.6%11.0%-10.4%14.6K-489.5K-4.2K0.35111.6513347228103
2017-05-19$83.49$85.0026.3%7.5%20.8%13.9%31.4%8.8%-8.8%19.9K-375.9K-4.0K0.61116.737747228102
2017-05-22$84.08$85.0029.9%8.6%20.5%17.6%32.6%21.7%-12.9%27.8K-575.0K-4.4K0.51110.56763924193
2017-05-23$84.24$85.0029.3%8.4%20.1%17.0%34.3%-4.8%-7.6%28.7K-680.6K-4.6K0.51118.96763924194
2017-05-24$86.16$85.0029.9%8.6%22.1%17.6%32.6%-0.7%-4.7%13.2K-823.9K-4.3K0.79120.16766024194
2017-05-25$87.20$85.0032.8%9.4%22.5%20.6%38.7%1.9%-0.2%23.5K-807.5K-5.2K0.90116.828274241129
2017-05-26$87.66$85.0024.9%7.1%22.6%12.4%32.8%16.0%-4.5%7.9K-813.9K-5.2K0.58109.6512874247143
2017-05-30$88.18$85.0039.4%11.3%22.7%27.4%42.1%-5.3%-14.1%38.8K-1.1M-5.9K0.65117.7211474298143
2017-05-31$88.97$85.0039.6%11.4%22.2%27.6%45.0%3.2%-16.6%42.1K-1.3M-6.1K0.53117.7414879313143