LQD Options History — April 2015

In April 2015, LQD traded between $119.81 and $122.28. ATM implied volatility averaged 6.0%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.4% (HV 20d: 5.6%). Max pain ranged from $121.00 to $123.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 11.28.

Notable Days

  • 2015-04-17: Highest Volume — 5,784 contracts
  • 2015-04-29: Largest IV spike — 9.0% change
  • 2015-04-01: Highest IV Rank — 39.2%
  • 2015-04-02: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.54$119.81$122.28$121.87$119.84
Max Pain$121.10$121.00$123.00$123.00$121.00
ATM IV6.0%5.7%6.4%6.3%6.4%
Expected Move1.7%1.6%2.0%1.8%1.8%
HV 20d5.6%4.2%7.3%7.3%5.3%
HV 60d6.8%6.6%7.0%7.0%6.6%
IV Rank31.1%24.9%39.2%39.2%34.5%
IV Percentile57.5%47.2%70.2%67.1%70.2%
Term Structure0.2%-0.7%0.7%0.1%-0.7%
VWIV6.7%4.0%8.7%4.0%6.9%
Skew 25d1.3%0.4%2.0%1.0%1.5%
Skew 10d3.3%1.5%5.6%1.6%4.1%
Call IV 25d5.7%5.2%6.4%5.9%6.1%
Put IV 25d7.1%6.4%8.1%6.9%7.6%
Bid-Ask Spread %82.1966.34102.2271.9786.80
Gamma HHI0.390.300.480.380.37
Net GEX-4.6M-11.5M-2.4M-3.5M-11.5M
Net DEX42.7M30.9M52.7M35.3M48.7M
Net VEX-156.0K-211.4K-123.6K-201.5K-137.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.280.0121.7721.771.85
Total Volume4,300.7621255,7845,2371,625
Total OI18,113.1915,37520,18119,09417,113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$121.87$123.006.3%1.8%7.3%39.2%4.0%1.0%0.1%-3.5M35.3M-201.5K21.7771.972305,0075,28013,814
2015-04-02$121.56$121.006.3%2.0%7.3%38.2%8.7%1.7%0.1%-4.2M42.7M-211.4K18.8266.342675,0245,28113,857
2015-04-06$121.67$121.006.2%1.8%6.4%37.5%8.1%1.4%0.3%-3.5M44.6M-174.6K20.3371.552465,0005,37513,907
2015-04-07$122.14$121.005.9%1.8%6.4%33.8%7.6%1.3%0.3%-3.1M40.3M-196.6K16.5476.093045,0275,34913,935
2015-04-08$122.09$121.006.3%1.8%6.4%38.2%6.0%1.3%0.3%-3.0M39.4M-195.1K0.0171.3212415,42913,975
2015-04-09$121.53$121.006.0%1.7%6.5%35.4%6.5%1.2%0.1%-3.7M51.4M-174.6K14.8173.203535,2285,53913,976
2015-04-10$121.69$121.005.8%1.7%6.5%33.0%6.6%1.1%0.4%-3.6M50.6M-172.4K14.8878.493475,1645,52814,239
2015-04-13$121.61$121.006.1%1.8%6.4%30.7%6.8%1.0%0.2%-3.9M51.8M-165.0K14.2578.223635,1745,51314,399
2015-04-14$121.87$121.006.0%1.7%6.4%28.3%6.4%1.2%0.2%-3.4M48.7M-157.0K11.9882.964385,2485,53214,456
2015-04-15$122.04$121.005.9%1.7%6.4%28.1%6.7%1.3%0.3%-2.7M50.4M-148.1K13.0185.583975,1635,55214,501
2015-04-16$121.93$121.005.9%1.7%4.8%27.7%6.7%1.3%0.1%-2.7M49.4M-143.3K12.7180.564055,1465,56414,549
2015-04-17$122.28$121.006.0%1.7%4.5%29.0%6.9%1.8%0.0%-2.4M52.7M-135.3K14.3481.273775,4075,59214,589
2015-04-20$121.98$121.005.9%1.7%4.5%27.4%6.7%1.3%0.1%-4.0M30.9M-133.1K13.9386.052082,8983,37711,998
2015-04-21$121.94$121.005.9%1.7%4.4%27.4%6.8%1.2%0.3%-4.2M32.7M-129.5K13.1984.732192,8883,40012,272
2015-04-22$121.10$121.005.8%1.7%5.0%26.6%6.4%1.2%0.7%-6.2M38.9M-140.4K6.2083.904752,9473,40912,314
2015-04-23$121.35$121.005.9%1.7%5.0%27.6%6.5%1.6%0.2%-4.9M32.0M-132.1K6.2986.194752,9883,43912,321
2015-04-24$121.65$121.005.7%1.6%4.4%24.9%6.2%1.2%0.4%-4.7M35.2M-123.6K6.3986.404703,0043,44012,361
2015-04-27$121.53$121.005.7%1.6%4.2%25.4%6.7%0.4%0.6%-5.2M33.9M-136.8K4.91102.227193,5303,44112,392
2015-04-28$120.77$121.005.8%1.7%4.8%26.4%6.4%1.9%0.4%-6.7M37.6M-130.4K4.0594.237453,0143,69112,903
2015-04-29$119.81$121.006.3%1.8%5.4%33.2%7.4%2.0%-0.2%-9.4M50.0M-137.8K6.5497.894873,1843,75113,024
2015-04-30$119.84$121.006.4%1.8%5.3%34.5%6.9%1.5%-0.7%-11.5M48.7M-137.3K1.8586.805701,0553,79013,323