LBRDK Options History — August 2017

In August 2017, LBRDK traded between $98.35 and $102.80. ATM implied volatility averaged 29.2%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.3% (HV 20d: 22.9%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.02.

Notable Days

  • 2017-08-30: Highest Volume — 3,410 contracts
  • 2017-08-09: Largest IV drop — 39.8% change
  • 2017-08-08: Highest IV Rank — 35.7%
  • 2017-08-02: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.60$98.35$102.80$99.82$101.60
Max Pain$85.43$85.00$90.00$90.00$85.00
ATM IV29.2%20.8%44.1%30.4%31.4%
Expected Move7.7%6.0%11.0%8.7%9.0%
HV 20d22.9%17.3%27.1%21.4%18.4%
HV 60d21.1%20.5%21.8%21.2%20.8%
IV Rank18.8%9.1%35.7%20.1%21.2%
IV Percentile31.7%4.4%82.9%32.9%46.4%
Term Structure1.5%-11.3%13.0%-1.3%0.4%
VWIV24.0%14.4%34.7%34.7%23.3%
Skew 25d-3.7%-20.8%6.3%4.4%-20.8%
Skew 10d4.2%-30.2%14.6%13.0%-30.2%
Call IV 25d37.2%25.7%50.2%44.6%46.3%
Put IV 25d33.5%21.6%52.6%49.0%25.5%
Bid-Ask Spread %107.3694.11118.43115.73118.43
Gamma HHI0.860.460.940.920.46
Net GEX452.9K356.1K768.5K768.5K625.5K
Net DEX-7.0M-10.4M-5.8M-10.4M-8.9M
Net VEX-11.6K-26.9K-7.8K-24.2K-26.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.010.030.020.02
Total Volume1,059.1749043,4109041,913
Total OI1,277.0431,1303,6381,9303,638

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$99.82$90.0030.4%8.7%21.4%20.1%0.0%4.4%-1.3%768.5K-10.4M-24.2K0.02115.73884201,84783
2017-08-02$99.66$90.0038.3%11.0%21.6%29.2%34.7%2.4%-11.3%381.8K-6.0M-13.6K0.02112.82884201,04783
2017-08-03$99.50$85.0036.5%6.7%21.1%27.1%24.0%3.2%1.9%426.1K-6.0M-12.7K0.02102.05884201,04783
2017-08-04$99.29$85.0037.5%6.6%21.4%28.3%21.9%1.5%2.9%440.7K-6.1M-13.0K0.02104.63884201,04783
2017-08-07$98.35$85.0036.0%7.1%22.1%26.5%22.5%2.4%3.4%424.6K-5.8M-12.4K0.02105.78884201,04783
2017-08-08$99.87$85.0044.1%7.2%22.3%35.7%25.6%5.0%-0.7%421.8K-6.3M-11.5K0.02101.15884201,04783
2017-08-09$102.74$85.0026.5%7.6%23.6%15.7%25.0%-3.8%0.1%401.6K-7.6M-11.1K0.0294.11885201,04783
2017-08-10$101.80$85.0026.7%7.6%24.0%15.8%25.0%-5.2%1.1%387.4K-7.4M-11.0K0.0297.68887201,04883
2017-08-11$101.89$85.0025.2%7.2%24.0%14.1%23.6%-1.4%4.1%410.2K-7.2M-10.7K0.0299.60887201,04883
2017-08-14$102.80$85.0022.6%6.5%23.9%11.2%17.2%6.3%1.9%451.0K-8.1M-9.2K0.03102.37885231,04883
2017-08-15$101.66$85.0026.0%7.4%24.8%15.0%23.7%5.4%2.9%375.4K-7.3M-10.7K0.0399.79885231,05086
2017-08-16$102.48$85.0024.6%7.0%24.8%13.4%21.3%-1.9%5.7%364.0K-7.6M-10.1K0.03110.36885231,05086
2017-08-17$100.48$85.0027.8%8.0%26.5%17.1%27.9%4.5%-2.2%436.5K-6.7M-10.5K0.03101.72885231,05086
2017-08-18$100.38$85.0026.8%7.7%26.5%16.0%26.0%-8.1%0.7%461.8K-6.6M-10.3K0.03102.24885231,05086
2017-08-21$101.40$85.0028.3%8.1%26.1%17.7%26.1%4.5%1.9%510.4K-6.9M-8.7K0.03109.26884231,04986
2017-08-22$101.75$85.0025.6%7.3%26.0%14.6%25.9%-1.3%1.6%479.8K-7.3M-8.9K0.03106.33884231,04986
2017-08-23$100.19$85.0028.6%8.2%27.1%18.1%21.8%-12.6%2.8%356.1K-6.9M-9.5K0.03110.97884231,04986
2017-08-24$99.91$85.0022.4%6.4%24.6%10.9%14.4%-12.2%13.0%398.2K-6.5M-9.5K0.03111.12884241,04987
2017-08-25$99.56$85.0020.8%6.0%24.5%9.1%15.3%-13.0%10.9%406.3K-6.5M-9.2K0.03114.47884241,04987
2017-08-28$99.24$85.0022.5%6.5%17.4%11.1%17.2%-14.2%8.5%440.9K-6.3M-8.5K0.03116.54884241,04987
2017-08-29$99.07$85.0029.9%8.6%17.3%19.5%32.2%-11.8%-6.7%567.4K-6.0M-7.9K0.03116.35884261,04987
2017-08-30$100.31$85.0033.8%9.7%17.9%24.0%34.3%-19.2%-6.9%480.2K-6.7M-7.8K0.01115.743,384261,04989
2017-08-31$101.60$85.0031.4%9.0%18.4%21.2%23.3%-20.8%0.4%625.5K-8.9M-26.9K0.02118.431,884293,54989