LBRDK Options History — March 2018

In March 2018, LBRDK traded between $83.71 and $92.69. ATM implied volatility averaged 38.5%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 10.3% (HV 20d: 28.2%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-03-12: Highest Volume — 617 contracts
  • 2018-03-14: Largest IV drop — 54.2% change
  • 2018-03-13: Highest IV Rank — 87.1%
  • 2018-03-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.32$83.71$92.69$87.22$85.71
Max Pain$91.88$90.00$95.00$95.00$90.00
ATM IV38.5%25.3%72.2%39.0%32.5%
Expected Move9.0%7.2%11.2%11.2%9.3%
HV 20d28.2%24.9%31.3%29.3%27.7%
HV 60d26.6%25.7%27.6%25.9%26.3%
IV Rank36.3%12.0%87.1%38.4%24.3%
IV Percentile60.7%8.7%99.2%80.2%47.6%
Term Structure0.2%-7.8%5.4%-1.5%-7.8%
VWIV35.4%23.3%52.8%45.2%43.4%
Skew 25d3.6%-4.5%17.1%-1.4%-3.4%
Skew 10d6.3%-16.3%33.4%10.2%9.7%
Call IV 25d35.9%23.8%57.9%46.3%46.3%
Put IV 25d39.5%26.9%57.9%44.8%42.9%
Bid-Ask Spread %111.56106.01118.02113.57118.02
Gamma HHI0.290.190.380.200.35
Net GEX23.6K-6.1K90.7K54.1K1.5K
Net DEX664.7K42.5K878.9K586.4K653.5K
Net VEX-6.6K-8.0K-5.2K-7.9K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.851.610.951.61
Total Volume560.476490617583502
Total OI7,473.28656812,71112,617570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$87.22$95.0039.0%11.2%29.3%38.4%45.2%-1.4%-1.5%54.1K586.4K-7.9K0.95113.5729928412,343274
2018-03-02$86.12$95.0038.9%11.1%29.4%38.2%52.8%0.0%0.4%47.8K711.4K-7.7K0.95109.3729928412,343274
2018-03-05$89.07$0.0044.1%8.1%31.3%45.9%0.0%7.4%5.2%56.7K657.5K-7.4K0.95106.4529928412,343274
2018-03-06$87.93$0.0042.2%9.2%29.4%43.1%0.0%-4.5%1.9%12.5K616.9K-7.4K0.95106.0129928412,343274
2018-03-07$87.81$0.0050.5%8.5%28.7%55.3%0.0%3.2%1.2%8.4K820.2K-6.6K0.95108.7129928412,343274
2018-03-08$88.37$0.0046.1%8.9%28.7%48.9%0.0%5.2%1.2%15.1K802.7K-6.7K0.95110.2029928412,343274
2018-03-09$89.42$0.0047.1%8.5%24.9%50.3%38.1%-3.4%1.8%10.6K770.8K-6.8K0.88115.1032228412,343274
2018-03-12$92.69$95.0062.1%9.6%27.7%72.3%33.0%-3.8%-4.7%86.1K42.5K-8.0K0.85110.6133328412,371274
2018-03-13$90.14$95.0072.2%8.8%28.0%87.1%35.6%6.8%1.7%40.5K555.4K-7.2K0.87109.7432828412,416274
2018-03-14$88.79$95.0033.0%9.5%28.5%29.6%28.4%2.1%-1.0%23.1K591.9K-7.5K0.87106.0332828412,437274
2018-03-15$88.00$95.0030.1%8.6%28.3%25.3%34.6%3.6%0.5%90.7K342.6K-7.2K0.87106.6032628412,437274
2018-03-16$89.26$90.0029.1%8.3%28.2%25.3%23.3%12.6%5.4%23.4K660.9K-6.7K0.87115.8532628412,437262
2018-03-19$87.84$90.0033.8%9.7%28.4%32.7%31.6%0.2%0.3%16.8K672.5K-6.4K1.24110.34230286312260
2018-03-20$87.18$90.0028.5%8.2%28.3%24.5%25.9%3.1%-4.1%9.4K720.7K-6.3K1.24110.05230286315264
2018-03-21$87.10$90.0029.8%8.5%28.3%19.9%38.5%1.1%5.1%11.0K675.0K-6.2K1.24117.28230286315264
2018-03-22$85.75$90.0032.8%9.4%28.2%24.9%30.5%7.5%-0.1%4.8K796.8K-5.7K1.24112.05230286315253
2018-03-23$83.71$90.0025.3%7.2%27.6%12.0%39.3%17.1%-1.2%-737878.9K-5.2K1.20112.92238286315253
2018-03-26$83.82$90.0029.6%8.5%27.7%19.5%31.7%12.4%-1.1%-4.7K792.7K-5.8K1.26113.62237298324253
2018-03-27$83.88$90.0033.2%9.5%27.4%25.5%32.9%7.5%0.6%-6.1K792.4K-5.8K1.55113.39192298324257
2018-03-28$83.96$90.0029.5%8.5%26.6%19.2%37.6%1.4%1.3%-4.8K816.8K-5.2K1.55116.81192298323247
2018-03-29$85.71$90.0032.5%9.3%27.7%24.3%43.4%-3.4%-7.8%1.5K653.5K-5.6K1.61118.02192310323247