LQD Options History — July 2015

In July 2015, LQD traded between $114.71 and $116.59. ATM implied volatility averaged 7.9%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.2% (HV 20d: 6.7%). Max pain ranged from $116.00 to $117.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 7.13.

Notable Days

  • 2015-07-16: Highest Volume — 18,653 contracts
  • 2015-07-17: Largest IV drop — 9.2% change
  • 2015-07-09: Highest IV Rank — 79.9%
  • 2015-07-01: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.60$114.71$116.59$115.07$116.35
Max Pain$116.23$116.00$117.00$117.00$116.00
ATM IV7.9%6.4%9.9%9.0%6.7%
Expected Move2.2%1.8%2.6%2.6%1.9%
HV 20d6.7%5.0%7.5%7.3%5.2%
HV 60d7.1%6.8%7.3%6.9%6.8%
IV Rank53.8%34.6%79.9%67.2%37.4%
IV Percentile78.2%46.0%99.6%99.2%50.8%
Term Structure0.2%-0.9%0.7%-0.7%0.6%
VWIV9.1%6.9%11.1%10.2%6.9%
Skew 25d1.9%0.7%2.6%1.9%0.7%
Skew 10d4.1%1.1%7.1%2.6%1.2%
Call IV 25d7.1%6.2%8.3%8.2%6.9%
Put IV 25d9.0%7.5%10.1%10.1%7.5%
Bid-Ask Spread %79.3556.4794.0780.0288.69
Gamma HHI0.240.180.520.230.19
Net GEX-22.4M-177.3M28.3M-39.2M28.3M
Net DEX66.7M-54.8M251.9M181.9M-54.8M
Net VEX-1.3M-1.5M-1.1M-1.5M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.130.7621.992.662.11
Total Volume7,982.9091,75018,65310,9662,662
Total OI111,053.36494,378132,882120,25795,824

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$115.07$117.009.0%2.6%7.3%67.2%10.2%1.9%-0.7%-39.2M181.9M-1.5M2.6680.022,9957,97159,44760,810
2015-07-02$115.41$117.008.9%2.6%7.1%67.1%10.2%1.6%-0.9%-32.7M135.9M-1.5M2.5884.842,9627,63759,38060,969
2015-07-06$115.94$116.009.2%2.3%7.1%69.8%10.7%1.8%0.1%-22.3M82.8M-1.5M17.8356.594157,39859,40961,006
2015-07-07$116.42$116.009.6%2.4%7.3%74.9%8.5%1.6%-0.0%-9.4M17.0M-1.5M21.9956.473868,49059,48160,981
2015-07-08$116.59$116.009.7%2.3%7.1%76.2%11.1%1.8%0.2%-1.4M-3.1M-1.5M13.8660.875437,52559,49661,974
2015-07-09$115.77$116.009.9%2.3%7.5%79.9%10.2%1.9%0.3%-29.3M96.5M-1.4M19.5958.963847,52359,67661,992
2015-07-10$115.01$116.009.6%2.3%7.1%75.8%10.3%1.9%0.3%-58.8M204.0M-1.3M21.0763.543617,60659,68862,019
2015-07-13$114.71$116.009.0%2.3%7.2%68.4%10.1%2.0%0.3%-92.6M251.9M-1.2M1.1861.276,1377,22259,68162,115
2015-07-14$114.87$116.008.2%2.2%7.2%57.9%9.4%2.4%0.6%-117.3M221.3M-1.3M1.1877.756,1727,25465,38262,233
2015-07-15$115.23$116.007.7%2.2%7.3%50.7%8.7%1.7%-0.0%-113.4M150.5M-1.3M1.3081.005,6357,32865,43762,334
2015-07-16$115.42$116.007.4%2.1%7.3%47.4%7.6%1.8%0.2%-177.3M66.6M-1.2M2.3182.615,63113,02270,44462,438
2015-07-17$115.52$117.006.8%1.9%7.3%38.6%8.9%2.1%0.5%14.0M29.1M-1.3M1.2881.925,7977,44370,45362,415
2015-07-20$115.19$117.007.1%2.0%7.0%43.8%8.1%1.8%0.5%16.0M24.8M-1.1M0.7685.335,5814,26753,79440,584
2015-07-21$115.37$117.007.2%2.1%6.7%44.2%8.0%1.5%0.0%17.6M21.9M-1.1M0.8085.585,5624,46153,80640,676
2015-07-22$115.51$116.006.9%2.0%6.6%40.9%9.2%2.6%0.3%20.1M10.4M-1.2M14.7890.843615,33753,85040,917
2015-07-23$115.92$116.006.9%2.0%6.6%40.2%8.8%2.4%0.4%17.9M3.3M-1.3M6.5991.113532,32553,86241,872
2015-07-24$115.81$116.007.2%2.1%6.6%44.7%9.3%2.4%0.2%16.2M2.0M-1.3M6.3491.933692,34153,86341,876
2015-07-27$115.90$116.007.1%2.0%6.3%42.9%8.9%2.1%0.5%18.4M2.3M-1.2M5.7091.833441,96253,85841,892
2015-07-28$115.75$116.007.2%2.1%5.5%44.0%8.7%1.8%0.0%15.4M16.0M-1.2M5.5390.433561,96753,85941,873
2015-07-29$115.73$116.006.6%1.9%5.5%36.4%8.6%1.7%0.7%20.3M824.5K-1.1M4.0094.073501,40053,87141,878
2015-07-30$115.74$116.006.4%1.8%5.0%34.6%7.6%1.2%0.4%16.5M6.1M-1.1M3.4790.054001,38953,87141,888
2015-07-31$116.35$116.006.7%1.9%5.2%37.4%6.9%0.7%0.6%28.3M-54.8M-1.1M2.1188.698561,80653,93241,892