LQD Options History — March 2015

In March 2015, LQD traded between $119.25 and $121.95. ATM implied volatility averaged 7.0%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded below realized volatility by 0.5% (HV 20d: 7.5%). Max pain ranged from $120.00 to $123.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 10.34.

Notable Days

  • 2015-03-31: Highest Volume — 10,271 contracts
  • 2015-03-11: Largest IV drop — 11.3% change
  • 2015-03-03: Highest IV Rank — 61.6%
  • 2015-03-03: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.73$119.25$121.95$120.43$121.65
Max Pain$121.45$120.00$123.00$121.00$123.00
ATM IV7.0%6.1%8.2%8.1%6.1%
Expected Move2.0%1.8%2.4%2.3%1.8%
HV 20d7.5%6.9%8.4%7.5%7.2%
HV 60d6.6%6.0%7.0%6.1%7.0%
IV Rank47.1%36.8%61.6%60.3%36.8%
IV Percentile81.4%61.9%99.6%99.6%61.9%
Term Structure0.3%-0.7%0.8%-0.7%0.2%
VWIV7.0%4.3%9.5%8.2%4.3%
Skew 25d1.5%0.6%1.9%1.5%0.6%
Skew 10d3.7%1.8%6.1%2.9%1.8%
Call IV 25d6.4%5.7%7.8%7.4%6.3%
Put IV 25d8.0%6.9%9.1%8.9%6.9%
Bid-Ask Spread %63.6953.2982.3059.6372.47
Gamma HHI0.310.170.490.170.42
Net GEX-4.3M-8.1M4.1M-3.4M-4.5M
Net DEX24.1M-1.1M60.1M6.1M47.8M
Net VEX-122.0K-216.3K-50.3K-59.7K-188.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.340.1045.410.6237.76
Total Volume3,139.6821110,2714,79710,271
Total OI14,467.4097,37321,8927,37318,979

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$120.43$121.008.1%2.3%7.5%60.3%8.2%1.5%-0.7%-3.4M6.1M-59.7K0.6259.632,9611,8361,4385,935
2015-03-03$120.40$121.008.2%2.4%7.5%61.6%7.8%1.3%-0.7%-709.6K4.1M-79.5K0.6262.953,0141,8783,8826,326
2015-03-04$120.35$121.007.8%2.3%7.0%57.1%8.2%1.5%-0.6%-2.0M6.5M-76.3K0.6365.823,0121,8943,8786,493
2015-03-05$120.35$121.007.9%2.1%7.0%58.1%8.4%1.4%0.2%-2.2M7.4M-72.9K0.6353.293,0141,9063,8836,509
2015-03-06$119.25$121.007.8%2.0%7.5%56.7%8.4%1.9%0.2%-6.6M16.1M-65.9K6.6953.932761,8473,8876,565
2015-03-09$119.63$120.007.7%1.9%6.9%55.0%9.5%1.9%0.5%-6.4M13.6M-63.2K0.3957.16163633,8616,613
2015-03-10$119.82$120.007.8%1.9%7.0%56.6%8.8%1.8%0.4%-5.8M10.2M-60.6K7.5058.686453,8376,665
2015-03-11$120.43$120.006.9%2.0%7.2%46.3%6.8%1.8%0.2%-4.8M5.9M-50.3K18.3758.111112,0393,8426,709
2015-03-12$120.31$120.006.8%1.9%7.2%44.7%7.3%1.8%0.4%-6.4M12.1M-84.4K0.7561.8952393,8888,492
2015-03-13$119.97$120.006.9%2.0%7.2%45.2%7.1%1.6%0.4%-7.5M12.9M-82.4K19.0062.802383,9398,525
2015-03-16$120.09$120.007.0%2.0%7.1%47.2%7.7%1.6%0.2%-8.1M12.7M-76.4K16.5064.494663,9418,560
2015-03-17$120.29$120.007.1%2.0%6.9%47.7%6.8%1.8%0.3%-7.4M11.7M-75.9K0.1064.031013,9458,614
2015-03-18$121.77$120.006.4%1.8%8.1%39.7%5.0%1.7%0.6%4.1M-1.1M-66.4K3.4073.292,1207,2083,9558,614
2015-03-19$121.15$123.006.7%1.9%8.3%43.2%7.4%1.4%0.4%-4.8M34.5M-179.4K15.3182.30162456,06715,685
2015-03-20$121.49$123.006.5%1.9%8.4%41.6%6.8%1.6%0.7%-3.7M26.4M-171.8K0.9979.432,1462,1196,06915,823
2015-03-23$121.77$123.006.3%1.8%8.3%38.7%6.8%1.3%0.7%-3.7M45.9M-211.6K1.2658.53861085,15113,489
2015-03-24$121.95$123.006.2%1.8%8.0%37.4%5.9%1.2%0.4%-3.5M45.0M-216.3K1.5556.8420315,18013,568
2015-03-25$121.55$123.006.2%1.8%8.0%37.0%6.7%1.3%0.8%-4.1M47.4M-207.7K1.0659.0634365,19113,597
2015-03-26$120.77$123.006.4%1.8%8.2%40.2%5.1%1.5%0.4%-5.6M60.1M-210.6K40.6663.432449,9215,20913,633
2015-03-27$121.28$123.006.5%1.9%8.3%41.6%0.0%1.6%0.4%-4.2M50.8M-196.4K8.3365.913255,22513,683
2015-03-30$121.43$123.006.7%1.9%7.2%44.0%4.9%1.6%0.1%-4.2M53.1M-186.7K45.4167.202199,9445,23013,708
2015-03-31$121.65$123.006.1%1.8%7.2%36.8%4.3%0.6%0.2%-4.5M47.8M-188.8K37.7672.4726510,0065,25113,728