LQD Options History — August 2015

In August 2015, LQD traded between $114.99 and $116.29. ATM implied volatility averaged 7.7%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.7% (HV 20d: 5.0%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2015-08-07: Highest Volume — 13,361 contracts
  • 2015-08-10: Largest IV spike — 17.9% change
  • 2015-08-26: Highest IV Rank — 65.2%
  • 2015-08-26: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.56$114.99$116.29$116.29$115.15
Max Pain$116.00$115.00$120.00$120.00$115.00
ATM IV7.7%6.2%8.9%7.4%8.2%
Expected Move2.2%2.0%2.6%2.1%2.3%
HV 20d5.0%4.2%5.6%5.0%5.3%
HV 60d6.3%5.8%6.8%6.8%5.8%
IV Rank47.9%28.1%65.2%45.3%54.8%
IV Percentile80.3%35.7%96.4%78.6%90.5%
Term Structure0.1%-0.4%0.9%0.3%0.2%
VWIV8.4%6.6%10.0%7.5%9.0%
Skew 25d2.0%1.0%3.6%1.2%1.2%
Skew 10d4.7%1.7%7.3%5.2%3.2%
Call IV 25d7.4%6.3%9.0%7.3%8.0%
Put IV 25d9.4%8.4%11.4%8.4%9.2%
Bid-Ask Spread %80.5168.50100.2487.0496.57
Gamma HHI0.210.180.240.190.22
Net GEX13.3M-8.4M31.4M31.4M-8.4M
Net DEX10.0M-66.5M67.2M-66.5M67.2M
Net VEX-856.2K-1.2M-500.7K-1.2M-500.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.113.910.462.49
Total Volume4,259.7627613,361762,149
Total OI90,396.8181,49996,97196,72781,499

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$116.29$120.007.4%2.1%5.0%45.3%7.5%1.2%0.3%31.4M-66.5M-1.2M0.4687.04522454,38242,345
2015-08-04$115.66$120.007.1%2.0%5.2%41.2%8.3%1.4%0.3%22.3M-23.3M-1.1M2.0485.578881,81154,39542,363
2015-08-05$115.24$120.007.4%2.1%5.2%44.2%8.8%2.4%-0.0%13.8M25.8M-1.1M3.0884.948162,51654,41042,445
2015-08-06$115.50$116.007.5%2.2%4.7%45.3%8.9%2.3%-0.1%17.8M13.9M-1.1M3.0368.508292,51554,43642,512
2015-08-07$115.91$116.006.2%2.0%4.2%28.1%6.8%2.3%0.4%26.9M-11.7M-1.0M0.2373.8910,8192,54254,45742,514
2015-08-10$115.44$116.007.4%2.2%4.4%43.4%6.6%1.8%0.1%8.2M31.6M-924.1K0.2471.8510,7822,57946,95842,518
2015-08-11$115.89$116.007.0%2.1%4.6%38.4%7.4%2.5%0.3%18.1M-8.0M-932.8K1.9175.6814928546,96242,494
2015-08-12$115.67$116.007.7%2.2%4.5%48.1%9.4%2.0%0.0%12.6M1.2M-921.0K2.7471.769232,53247,04842,795
2015-08-13$115.35$116.007.8%2.2%4.6%49.3%8.0%2.0%0.1%5.5M39.2M-892.2K2.1969.949802,14947,24142,884
2015-08-14$115.42$115.007.8%2.2%4.6%49.4%8.3%2.4%0.0%8.7M33.9M-887.2K2.1671.641,0562,28247,36942,894
2015-08-17$115.78$115.007.4%2.1%4.6%44.1%8.1%2.1%0.1%16.9M-9.2M-847.1K2.0370.391,0712,17747,57442,906
2015-08-18$115.30$115.007.7%2.2%4.8%48.6%6.9%2.1%-0.0%6.9M45.2M-806.9K0.1670.3210,8351,77347,53442,945
2015-08-19$115.91$115.007.2%2.1%5.2%41.5%9.1%2.2%0.4%16.7M-5.5M-775.4K1.4969.1412518645,53242,910
2015-08-20$116.02$115.007.6%2.2%5.0%46.6%8.4%2.3%0.2%15.3M-15.6M-782.3K2.2773.938291,88445,60642,929
2015-08-21$116.08$115.007.9%2.3%5.0%50.3%8.6%2.0%0.2%6.4M-33.1M-774.3K1.9972.779311,85245,65842,943
2015-08-24$115.68$115.008.5%2.4%5.2%59.2%9.5%1.0%0.9%24.7M-29.4M-752.2K2.1496.8846699844,83339,858
2015-08-25$114.99$115.007.6%2.2%5.6%46.7%10.0%2.1%-0.1%7.2M50.5M-623.5K3.9197.923151,23244,99639,851
2015-08-26$114.99$115.008.9%2.6%5.6%65.2%8.7%1.7%-0.4%-4.2M66.9M-656.0K0.11100.2410,4261,15945,00540,073
2015-08-27$115.14$115.008.4%2.4%5.6%57.5%9.7%2.3%0.3%10.4M26.5M-722.8K2.0684.227051,45350,71840,079
2015-08-28$115.33$115.008.5%2.4%5.3%59.0%9.2%3.6%-0.1%21.1M10.3M-713.4K2.0397.507781,58251,04740,415
2015-08-31$115.15$115.008.2%2.3%5.3%54.8%9.0%1.2%0.2%-8.4M67.2M-500.7K2.4996.576151,53441,07440,425