LQD Options History — May 2015

In May 2015, LQD traded between $117.21 and $119.01. ATM implied volatility averaged 7.2%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.1% (HV 20d: 7.1%). Max pain ranged from $122.00 to $125.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 7.60.

Notable Days

  • 2015-05-22: Highest Volume — 31,379 contracts
  • 2015-05-08: Largest IV drop — 25.9% change
  • 2015-05-06: Highest IV Rank — 57.4%
  • 2015-05-26: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.10$117.21$119.01$118.94$118.18
Max Pain$124.85$122.00$125.00$122.00$125.00
ATM IV7.2%6.1%8.2%6.7%6.8%
Expected Move2.0%1.8%2.2%1.9%2.0%
HV 20d7.1%5.5%8.2%5.8%7.6%
HV 60d6.9%6.4%7.2%6.7%6.8%
IV Rank44.2%29.9%57.4%38.1%39.6%
IV Percentile82.6%56.3%99.2%75.0%73.4%
Term Structure-0.2%-0.6%0.5%-0.4%-0.2%
VWIV9.0%6.5%12.1%7.7%7.5%
Skew 25d2.3%1.6%3.1%2.4%1.6%
Skew 10d5.4%3.3%6.7%6.7%3.8%
Call IV 25d6.4%5.6%6.8%6.3%6.7%
Put IV 25d8.7%7.9%9.6%8.7%8.3%
Bid-Ask Spread %64.2455.0887.6287.6279.82
Gamma HHI0.330.260.410.330.28
Net GEX-14.2M-23.6M996.4K-12.1M-4.1M
Net DEX72.7M22.1M110.4M63.6M31.7M
Net VEX-270.2K-467.8K-146.5K-166.9K-439.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.600.1189.553.351.18
Total Volume10,119.4510131,3791,41526,625
Total OI30,431.9517,12953,21717,26253,217

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$118.94$122.006.7%1.9%5.8%38.1%7.7%2.4%-0.4%-12.1M63.6M-166.9K3.3587.623251,0903,79413,468
2015-05-04$118.57$125.006.9%1.9%5.8%40.2%9.0%2.5%0.3%-12.1M66.1M-158.5K6.7759.8213883,74713,395
2015-05-05$118.36$125.008.1%2.0%5.5%56.2%12.1%2.5%-0.3%-12.4M70.0M-159.4K4.5458.833261,4793,75613,373
2015-05-06$117.82$125.008.2%2.0%5.6%57.4%10.5%2.5%-0.2%-13.8M73.7M-158.2K3.6256.584471,6193,77513,579
2015-05-07$118.32$125.008.2%2.0%5.9%57.4%10.9%2.7%-0.4%-13.0M67.2M-153.8K6.2556.783642,2753,91313,722
2015-05-08$119.01$125.006.1%1.8%6.3%29.9%6.5%2.3%0.5%-12.2M57.9M-146.5K13.0055.0891173,91613,617
2015-05-11$117.81$125.007.2%2.0%7.1%44.3%7.0%2.4%0.0%-14.2M74.5M-158.2K89.5559.86565,0153,91913,668
2015-05-12$117.71$125.007.7%2.1%7.0%50.6%10.2%3.1%-0.5%-22.4M109.8M-221.6K10.2062.403663,7353,96718,457
2015-05-13$117.53$125.007.0%2.0%6.9%41.8%10.1%2.5%-0.1%-23.6M110.4M-223.1K5.5961.684532,5323,99219,685
2015-05-14$117.93$125.006.9%2.0%7.1%40.8%9.7%2.6%-0.4%-23.2M102.1M-215.4K0.2159.509,6202,0234,06119,673
2015-05-15$118.74$125.006.6%1.9%7.6%37.0%9.9%2.3%-0.5%-14.3M68.1M-339.8K0.2156.969,5361,96013,21819,709
2015-05-18$117.84$125.006.9%2.0%7.9%40.1%7.3%2.2%-0.1%-20.8M89.6M-315.6K0.7458.4219014012,85919,090
2015-05-19$117.21$125.007.3%2.1%8.0%45.5%8.1%2.0%-0.2%-20.8M101.7M-297.7K1.6368.20518313,01919,155
2015-05-20$117.37$125.007.3%2.1%7.8%45.2%9.5%2.1%-0.1%-21.4M102.8M-280.1K0.1164.509,5121,06213,06819,215
2015-05-21$117.88$125.007.0%2.0%8.0%42.2%10.2%2.2%-0.5%-20.1M92.6M-305.7K1.2164.509,48911,48413,07019,265
2015-05-22$117.79$125.007.0%2.0%7.9%41.6%9.5%1.8%-0.2%-21.1M92.3M-288.4K0.6069.3619,58611,79313,07729,819
2015-05-26$118.40$125.007.5%2.2%8.2%48.5%8.4%1.8%-0.6%-349.8K27.0M-461.4K0.8167.4314,56911,80423,13529,939
2015-05-27$118.47$125.007.3%2.1%8.0%45.3%8.0%1.8%-0.5%996.4K22.1M-467.8K1.2568.309,45811,79223,14929,994
2015-05-28$118.22$125.007.0%2.0%7.6%41.8%8.7%1.9%-0.1%-2.1M31.6M-447.0K1.2469.069,52111,78223,15730,007
2015-05-29$118.18$125.006.8%2.0%7.6%39.6%7.5%1.6%-0.2%-4.1M31.7M-439.0K1.1879.8212,22414,40123,16130,056