LBRDK Options History — January 2018

In January 2018, LBRDK traded between $88.57 and $95.82. ATM implied volatility averaged 37.9%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 12.8% (HV 20d: 25.1%). 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 10 of 20 days. Put/call ratio averaged 0.26.

Notable Days

  • 2018-01-19: Highest Volume — 7,750 contracts
  • 2018-01-29: Largest IV spike — 16.8% change
  • 2018-01-29: Highest IV Rank — 47.6%
  • 2018-01-29: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.94$88.57$95.82$88.57$95.50
Max Pain$79.25$75.00$80.00$80.00$80.00
ATM IV37.9%32.4%45.2%34.3%39.3%
Expected Move10.9%9.3%13.0%9.8%11.3%
HV 20d25.1%19.4%29.6%29.3%19.4%
HV 60d28.6%23.4%30.5%30.1%23.4%
IV Rank36.7%28.8%47.6%31.5%38.9%
IV Percentile76.5%51.2%94.4%61.1%82.9%
Term Structure-1.1%-9.2%2.8%1.5%-3.0%
VWIV38.2%35.0%42.0%36.5%39.2%
Skew 25d0.6%-8.8%13.2%-2.1%5.3%
Skew 10d-1.0%-18.7%19.0%-11.2%9.2%
Call IV 25d43.6%35.2%53.9%40.3%49.2%
Put IV 25d44.2%36.2%56.3%38.2%54.5%
Bid-Ask Spread %108.58101.76118.27101.76115.44
Gamma HHI0.410.200.610.590.39
Net GEX392.9K77.3K1.0M450.4K122.2K
Net DEX-3.0M-9.2M-620.8K-3.5M-694.4K
Net VEX-29.0K-71.2K-10.6K-34.2K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.000.920.000.92
Total Volume5,525.554847,7507,445531
Total OI12,438.0512,15112,60912,15112,609

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$88.57$80.0034.3%9.8%29.3%31.5%36.5%-2.1%1.5%450.4K-3.5M-34.2K0.00101.767,4113412,10051
2018-01-03$89.63$80.0032.4%9.3%29.6%28.8%38.5%1.6%2.4%321.7K-2.1M-20.6K0.00118.277,4113412,10951
2018-01-04$88.62$75.0034.3%10.5%29.5%31.5%35.4%3.1%0.9%507.9K-4.3M-39.7K0.00107.117,4113412,10951
2018-01-05$88.97$75.0035.0%11.2%27.4%32.6%38.8%-3.2%-1.2%322.1K-2.1M-23.3K0.02107.487,54118512,10951
2018-01-08$89.78$75.0034.9%10.8%27.5%32.3%37.2%1.5%1.2%77.3K-620.9K-11.0K0.02105.797,53618612,259202
2018-01-09$89.58$80.0039.1%10.5%27.2%38.6%37.6%-0.3%0.1%158.7K-1.1M-15.3K0.02107.517,53618612,260203
2018-01-10$88.84$80.0036.3%10.4%26.8%34.5%36.6%-0.8%0.9%281.4K-1.8M-24.8K0.02108.297,53618612,260203
2018-01-11$90.30$80.0037.4%10.7%27.0%36.1%37.7%0.3%2.8%328.6K-2.2M-25.5K0.03107.097,53618912,260203
2018-01-12$90.73$80.0036.0%10.3%26.9%34.0%38.3%0.9%-0.3%532.7K-4.2M-44.0K0.03105.767,53618912,260206
2018-01-16$89.76$80.0037.5%10.7%27.2%36.2%42.0%-4.2%-1.8%94.4K-620.8K-11.0K0.03106.167,53618912,260206
2018-01-17$91.00$80.0037.6%10.8%26.7%36.3%38.9%-1.0%1.5%448.6K-3.2M-32.7K0.03108.427,53618912,260206
2018-01-18$92.76$80.0037.7%10.8%27.1%36.6%35.0%7.9%0.1%94.6K-787.8K-10.6K0.03101.897,55118912,260206
2018-01-19$93.32$80.0036.5%10.5%24.3%34.8%38.7%2.8%-1.3%288.2K-2.1M-20.4K0.03112.487,56118912,309206
2018-01-23$94.44$80.0041.7%12.0%23.6%42.4%39.4%-4.8%-4.8%325.4K-2.2M-20.6K0.02110.147,52817912,295179
2018-01-24$95.74$80.0038.7%11.1%20.8%38.0%36.8%1.1%0.8%1.0M-9.2M-71.2K0.64108.7129518912,314179
2018-01-25$95.30$80.0040.7%11.7%21.1%40.9%39.4%-8.8%-4.8%515.9K-3.5M-29.4K0.81107.5030224412,343191
2018-01-26$95.82$80.0038.7%11.1%21.0%38.0%38.0%1.6%-4.3%183.0K-1.3M-14.3K0.83115.4730225212,363224
2018-01-29$94.83$80.0045.2%13.0%20.0%47.6%40.4%-2.8%-4.2%889.4K-7.6M-60.2K0.89108.5128725412,363232
2018-01-30$95.26$80.0043.7%12.5%19.4%45.3%39.3%13.2%-9.2%914.6K-7.8M-60.3K0.92107.8027725412,365244
2018-01-31$95.50$80.0039.3%11.3%19.4%38.9%39.2%5.3%-3.0%122.2K-694.4K-11.9K0.92115.4427725412,365244