LBRDK Options History — March 2020

In March 2020, LBRDK traded between $91.28 and $133.53. ATM implied volatility averaged 43.2%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 17.7% (HV 20d: 60.9%). Max pain ranged from $100.00 to $130.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.20.

Notable Days

  • 2020-03-18: Highest Volume — 60 contracts
  • 2020-03-16: Largest IV spike — 39.5% change
  • 2020-03-18: Highest IV Rank — 99.5%
  • 2020-03-18: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.08$91.28$133.53$127.17$110.67
Max Pain$111.19$100.00$130.00$125.00$100.00
ATM IV43.2%22.9%59.9%24.0%53.0%
Expected Move12.0%6.6%17.2%6.9%15.2%
HV 20d60.9%26.4%92.0%28.0%90.3%
HV 60d39.4%21.4%55.2%21.5%55.2%
IV Rank63.5%19.8%99.5%22.2%84.6%
IV Percentile92.6%50.0%99.6%56.0%99.2%
Term Structure-4.3%-13.4%5.5%5.5%-13.4%
VWIV40.2%21.9%57.0%21.9%48.9%
Skew 25d6.0%-8.6%16.7%0.3%7.7%
Skew 10d15.6%-9.5%48.0%-0.9%19.3%
Call IV 25d39.3%21.0%55.8%23.2%43.8%
Put IV 25d45.3%23.5%72.5%23.5%51.5%
Bid-Ask Spread %103.5895.30112.61112.61106.90
Gamma HHI0.210.160.350.230.17
Net GEX-21.1K-44.3K31.9K-13.1K-15.7K
Net DEX673.3K-367.1K1.6M160.9K112.1K
Net VEX-3.8K-4.9K-2.7K-3.7K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.000.000.00
Total Volume10.81806020
Total OI357.682286462347352

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$127.17$125.0024.0%6.9%28.0%22.2%21.9%0.3%5.5%-13.1K160.9K-3.7K0.00112.6120110237
2020-03-03$128.97$125.0028.9%8.3%26.4%32.7%0.0%6.2%-8.4%2.8K-27.6K-3.9K0.00106.4900110237
2020-03-04$133.53$125.0022.9%6.6%29.6%19.8%24.8%9.7%1.3%31.9K-367.1K-3.7K1.00102.112020110237
2020-03-05$127.53$120.0030.3%7.4%33.3%35.6%0.0%8.3%1.2%-9.0K114.8K-3.9K0.0095.3040100237
2020-03-06$122.60$120.0041.8%9.0%35.7%60.4%0.0%7.6%1.2%-23.5K473.1K-4.1K0.0099.7300100237
2020-03-09$114.32$0.0042.7%9.3%42.5%62.5%22.7%3.5%0.0%-23.1K695.9K-3.5K1.00101.0811100217
2020-03-10$117.34$130.0038.7%9.9%43.9%53.8%35.2%-8.6%-2.0%-25.6K616.4K-3.5K0.00102.90330101218
2020-03-11$112.72$125.0037.4%10.7%45.2%51.1%0.0%-5.8%-1.6%-15.2K684.2K-3.7K0.00102.3006134218
2020-03-12$107.57$125.0041.4%11.9%46.7%59.7%0.0%2.0%-6.3%-21.6K873.1K-3.6K0.0099.9703134224
2020-03-13$110.06$105.0037.0%10.6%48.1%50.1%0.0%7.3%-0.7%-33.6K1.0M-3.8K0.00104.6000134254
2020-03-16$96.17$105.0051.6%14.8%65.0%81.6%0.0%6.0%-4.9%-42.2K1.4M-3.0K0.00101.7500134254
2020-03-17$98.77$105.0048.4%13.9%66.3%74.8%46.7%7.4%-4.6%-44.3K1.4M-2.8K0.00100.03200134254
2020-03-18$92.47$105.0059.9%17.2%67.6%99.5%57.0%16.7%-12.1%-39.8K1.5M-2.7K0.0099.69060154254
2020-03-19$97.97$105.0049.9%14.3%73.1%78.0%51.4%12.3%-9.8%-40.8K1.4M-4.0K0.00103.8301154308
2020-03-20$91.59$105.0051.9%14.9%75.1%82.3%0.0%12.8%-9.7%-25.4K1.6M-2.9K0.00105.7700154308
2020-03-23$91.28$105.0048.5%13.9%75.1%74.9%0.0%10.6%-4.4%-24.3K1.4M-2.8K0.00104.810068218
2020-03-24$101.24$105.0046.6%13.4%87.0%70.8%46.0%6.8%-3.1%-35.6K1.1M-3.8K0.00107.9958068218
2020-03-25$103.53$100.0047.6%13.6%87.8%73.0%47.7%1.3%-8.4%-19.0K586.2K-4.6K0.00104.4240123218
2020-03-26$110.49$100.0047.3%13.6%92.0%72.4%0.0%14.1%-4.3%-19.1K159.5K-4.8K0.00105.5220125218
2020-03-27$111.78$100.0051.2%14.7%90.5%80.7%48.9%11.8%-5.1%-14.3K-14.2K-4.9K0.00104.1030134218
2020-03-30$113.93$100.0049.5%14.2%90.3%77.1%0.0%-6.3%-4.9%-14.1K-32.9K-4.8K0.00106.8000134218
2020-03-31$110.67$100.0053.0%15.2%90.3%84.6%0.0%7.7%-13.4%-15.7K112.1K-4.6K0.00106.9000134218