LBRDK Options History — June 2017

In June 2017, LBRDK traded between $85.31 and $91.78. ATM implied volatility averaged 36.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 15.7% (HV 20d: 20.3%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2017-06-05: Highest Volume — 236 contracts
  • 2017-06-14: Largest IV drop — 64.5% change
  • 2017-06-13: Highest IV Rank — 66.0%
  • 2017-06-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.75$85.31$91.78$90.23$86.81
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV36.0%19.7%76.8%29.7%30.1%
Expected Move7.5%5.4%10.6%8.5%8.6%
HV 20d20.3%17.6%22.3%17.6%20.0%
HV 60d18.0%15.8%19.3%15.8%19.0%
IV Rank23.9%7.1%66.0%17.4%17.8%
IV Percentile40.5%3.6%97.2%21.8%27.4%
Term Structure-1.3%-8.6%6.8%-6.2%0.2%
VWIV32.1%19.2%44.2%33.0%43.7%
Skew 25d4.2%-9.1%22.5%18.2%2.7%
Skew 10d13.0%-6.2%49.0%23.0%8.8%
Call IV 25d33.2%18.5%60.8%26.8%42.2%
Put IV 25d37.3%19.4%57.9%45.0%44.9%
Bid-Ask Spread %116.38108.98122.35109.57121.45
Gamma HHI0.460.330.660.370.52
Net GEX49.7K40.9K60.6K42.5K60.6K
Net DEX-950.8K-1.7M-360.4K-1.5M-720.6K
Net VEX-5.8K-6.7K-4.8K-6.4K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.200.550.530.20
Total Volume186.682126236229126
Total OI453.136371520510387

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$90.23$85.0029.7%8.5%17.6%17.4%33.0%18.2%-6.2%42.5K-1.5M-6.4K0.53109.5715079347163
2017-06-02$91.78$85.0037.1%10.6%18.3%25.0%44.2%-2.9%-1.7%50.3K-1.7M-6.7K0.53118.6815079349163
2017-06-05$89.48$85.0041.0%5.4%19.8%29.0%33.2%3.9%6.8%44.0K-1.4M-6.6K0.50118.8115779349163
2017-06-06$89.41$85.0043.1%6.4%17.7%31.2%21.5%2.2%2.7%51.9K-1.3M-6.6K0.50108.9815779357163
2017-06-07$89.94$85.0044.4%6.6%17.8%32.5%20.0%3.6%-0.9%51.5K-1.4M-6.5K0.50110.2015779357163
2017-06-08$88.09$85.0046.9%6.1%19.5%35.2%25.1%0.6%3.5%42.8K-1.1M-6.4K0.50109.9615779357163
2017-06-09$86.75$85.0052.1%8.4%20.3%40.5%35.8%9.7%-1.2%40.9K-886.3K-6.2K0.50111.3815779357163
2017-06-12$87.64$85.0069.5%6.8%20.5%58.4%32.5%-6.6%5.3%43.5K-1.1M-6.1K0.50109.4215779357163
2017-06-13$89.13$85.0076.8%6.0%21.0%66.0%28.7%-9.1%1.6%49.7K-1.3M-6.0K0.42113.0915766357163
2017-06-14$87.73$85.0027.3%7.8%21.9%14.9%34.0%4.7%-5.8%46.4K-1.1M-5.9K0.42113.5815766357162
2017-06-15$87.63$85.0030.1%8.6%20.9%17.8%32.7%2.2%-8.6%48.7K-1.1M-5.9K0.42116.4515766357162
2017-06-16$87.68$85.0022.1%6.4%20.7%9.6%33.5%4.7%0.8%48.7K-1.1M-5.5K0.40114.5116666357162
2017-06-19$88.27$85.0019.7%5.7%20.6%7.1%19.2%22.5%-0.1%57.7K-882.9K-5.5K0.55114.20894927497
2017-06-20$86.38$85.0027.0%7.7%22.3%14.5%27.4%6.7%-7.7%53.4K-561.0K-5.4K0.55118.01894927497
2017-06-21$86.21$85.0026.4%7.6%22.3%14.0%26.3%8.6%-1.8%49.8K-594.7K-5.3K0.55121.78894927497
2017-06-22$85.90$85.0025.9%7.4%20.9%13.5%27.6%6.2%-2.1%50.4K-474.7K-5.2K0.55121.98894927497
2017-06-23$85.84$85.0026.4%7.6%20.4%14.0%28.2%6.2%-2.1%49.9K-435.1K-5.1K0.55122.35894927497
2017-06-26$86.04$85.0027.9%8.0%20.3%15.5%32.5%-0.8%-5.0%46.4K-472.8K-5.0K0.55122.18894927497
2017-06-27$85.31$85.0029.2%8.4%20.3%16.9%43.8%2.6%-3.4%46.5K-360.4K-4.8K0.20121.591052127497
2017-06-28$87.35$85.0028.4%8.1%21.9%16.0%40.6%2.7%4.4%58.9K-748.1K-5.4K0.20120.991052129097
2017-06-29$86.95$85.0030.8%8.8%21.2%18.5%42.3%2.6%-6.5%59.2K-693.4K-5.3K0.20121.071052129097
2017-06-30$86.81$85.0030.1%8.6%20.0%17.8%43.7%2.7%0.2%60.6K-720.6K-5.3K0.20121.451052129097