LQD Options History — June 2015

In June 2015, LQD traded between $114.91 and $117.36. ATM implied volatility averaged 7.9%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.6% (HV 20d: 7.3%). Max pain ranged from $117.00 to $125.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.83.

Notable Days

  • 2015-06-19: Highest Volume — 40,388 contracts
  • 2015-06-05: Largest IV drop — 16.6% change
  • 2015-06-04: Highest IV Rank — 70.3%
  • 2015-06-30: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.89$114.91$117.36$117.36$115.77
Max Pain$118.09$117.00$125.00$125.00$117.00
ATM IV7.9%7.2%9.2%7.6%8.8%
Expected Move2.2%2.0%2.5%2.2%2.5%
HV 20d7.3%6.7%8.1%7.5%7.3%
HV 60d6.8%6.5%7.2%6.9%6.9%
IV Rank53.4%44.1%70.3%49.2%64.8%
IV Percentile91.9%77.4%99.6%91.7%99.2%
Term Structure-0.0%-0.9%0.6%-0.4%-0.9%
VWIV9.0%6.9%11.5%8.6%9.4%
Skew 25d2.2%0.9%3.2%1.9%0.9%
Skew 10d4.9%0.5%7.6%3.0%2.4%
Call IV 25d7.1%6.5%8.7%6.9%8.7%
Put IV 25d9.4%8.6%10.4%8.8%9.6%
Bid-Ask Spread %75.6222.9494.0575.7582.57
Gamma HHI0.210.160.310.310.22
Net GEX-18.6M-42.9M14.3M-11.0M-35.1M
Net DEX162.8M70.2M236.7M70.2M112.1M
Net VEX-1.0M-1.7M-484.1K-484.1K-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.830.1130.770.422.57
Total Volume14,036.6828,61640,38813,49511,261
Total OI94,242.68258,593120,31058,648120,310

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$117.36$125.007.6%2.2%7.5%49.2%8.6%1.9%-0.4%-11.0M70.2M-484.1K0.4275.759,5113,98425,85432,794
2015-06-02$116.68$125.007.5%2.1%7.7%47.9%7.5%2.1%-0.3%-17.9M122.9M-575.1K0.1175.6310,2771,10825,85132,742
2015-06-03$115.92$125.008.4%2.4%8.0%59.5%8.2%2.5%-0.9%-12.6M135.8M-728.1K0.1968.2512,7602,45836,00433,751
2015-06-04$116.47$117.009.2%2.2%8.1%70.3%9.3%2.7%0.0%-5.0M90.7M-806.0K0.1464.4412,7911,76638,55034,035
2015-06-05$115.91$117.007.7%2.0%8.0%50.5%9.4%2.4%0.5%-7.2M137.1M-716.2K0.7022.949,4986,69438,63034,414
2015-06-08$115.89$117.008.4%2.1%7.6%59.5%9.2%2.6%0.4%-11.0M143.4M-853.5K0.7166.489,4796,73338,66139,414
2015-06-09$115.35$117.008.7%2.2%7.0%63.9%11.5%2.4%0.0%-11.2M188.0M-747.4K0.2373.969,5542,20838,66039,454
2015-06-10$115.01$117.007.7%2.2%7.0%51.4%7.9%3.2%0.0%-13.6M228.1M-631.1K19.5179.8053110,35838,75639,958
2015-06-11$116.04$117.007.2%2.1%7.9%44.9%6.9%2.1%0.2%-26.1M187.0M-675.4K0.9578.515,9705,67438,76247,968
2015-06-12$115.85$117.007.8%2.2%7.8%52.6%8.6%3.1%0.1%-22.2M207.2M-941.8K2.4874.694,23110,50544,20751,244
2015-06-15$115.88$117.007.7%2.2%7.2%50.9%9.5%2.8%0.4%-28.5M233.2M-965.5K1.6676.553,3295,51145,15956,256
2015-06-16$116.06$117.007.5%2.2%6.9%48.5%8.6%2.0%0.3%-28.1M208.4M-962.5K1.6776.073,3045,50145,16256,225
2015-06-17$116.13$117.007.3%2.1%6.7%45.6%9.0%2.4%0.2%-27.0M207.4M-909.4K1.6879.033,2135,40345,17556,295
2015-06-18$115.85$117.007.2%2.1%6.7%44.1%8.6%2.2%0.6%14.3M236.7M-876.2K2.0478.893,2136,56145,17256,340
2015-06-19$116.47$117.007.7%2.2%6.8%50.5%8.2%1.8%-0.2%749.8K177.3M-933.8K0.7476.9523,25217,13645,17256,597
2015-06-22$115.75$117.007.5%2.2%7.1%48.8%7.9%2.0%0.1%-13.5M75.2M-1.4M30.7779.2151615,87656,87946,445
2015-06-23$115.29$117.008.4%2.4%6.8%59.7%9.5%1.8%-0.3%-30.8M169.9M-1.5M5.9983.463,07618,41556,93556,499
2015-06-24$115.63$117.007.6%2.2%6.9%49.7%10.5%2.3%-0.1%-25.3M149.3M-1.6M2.8486.613,0798,74459,45559,731
2015-06-25$115.52$117.007.5%2.1%6.9%47.8%9.8%2.0%0.2%-32.3M161.8M-1.6M2.9388.202,9868,74059,46360,445
2015-06-26$114.91$117.007.9%2.3%7.0%54.0%10.1%2.1%-0.0%-42.9M232.2M-1.5M2.9494.053,0098,85159,46560,456
2015-06-29$115.91$117.008.5%2.4%7.6%60.6%10.3%1.8%-0.4%-22.8M107.7M-1.7M2.8981.653,0168,72559,47060,524
2015-06-30$115.77$117.008.8%2.5%7.3%64.8%9.4%0.9%-0.9%-35.1M112.1M-1.6M2.5782.573,1548,10759,50160,809