LQD Options History — September 2015

In September 2015, LQD traded between $114.74 and $116.36. ATM implied volatility averaged 8.1%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 2.8% (HV 20d: 5.3%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.41.

Notable Days

  • 2015-09-18: Highest Volume — 2,566 contracts
  • 2015-09-17: Largest IV spike — 151.9% change
  • 2015-09-17: Highest IV Rank — 100.0%
  • 2015-09-17: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.73$114.74$116.36$115.29$116.08
Max Pain$115.48$115.00$116.00$115.00$116.00
ATM IV8.1%6.5%18.3%8.6%6.8%
Expected Move2.4%1.9%5.3%2.5%2.0%
HV 20d5.3%4.6%6.2%5.0%5.9%
HV 60d5.6%5.3%5.9%5.8%5.3%
IV Rank41.2%16.6%100.0%60.7%18.5%
IV Percentile69.1%32.1%100.0%94.8%41.3%
Term Structure-0.1%-6.6%1.2%0.6%0.1%
VWIV8.2%6.4%12.8%10.2%7.2%
Skew 25d1.1%-15.4%3.6%1.5%1.4%
Skew 10d5.0%1.4%10.3%4.8%4.5%
Call IV 25d7.6%4.1%23.3%8.5%6.6%
Put IV 25d8.8%6.0%10.6%10.0%7.9%
Bid-Ask Spread %94.1252.00128.2298.74112.36
Gamma HHI0.220.140.410.230.16
Net GEX5.4M-73.9M70.1M3.7M-1.3M
Net DEX7.1M-97.7M101.9M21.9M11.2M
Net VEX-199.3K-511.6K-50.1K-511.6K-64.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.411.198.932.607.72
Total Volume1,677.2381142,5662,2362,259
Total OI52,772.9055,03082,16481,6086,136

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$115.29$115.008.6%2.5%5.0%60.7%10.2%1.5%0.6%3.7M21.9M-511.6K2.6098.746211,61541,07440,534
2015-09-02$115.29$115.009.4%2.7%4.8%71.1%9.4%1.9%1.2%-295.5K39.8M-469.0K1.9995.736581,31041,07940,491
2015-09-03$115.81$115.008.2%2.8%5.0%54.2%8.5%-0.1%0.1%27.6M8.1M-471.8K1.3596.828471,14041,12240,537
2015-09-04$116.00$115.009.3%2.8%4.9%69.7%12.8%2.4%-0.7%26.3M-40.3M-452.6K2.04104.446591,34341,28640,637
2015-09-08$115.52$115.007.8%2.4%4.9%49.3%9.0%3.6%0.1%19.0M6.0M-364.4K1.1990.84526241,31940,736
2015-09-09$115.67$115.008.1%2.3%4.7%54.1%9.1%3.0%0.2%27.6M-9.4M-324.6K1.6990.467091,19941,29740,455
2015-09-10$115.50$115.008.2%2.4%4.7%55.5%8.8%1.8%-0.4%12.3M19.3M-264.0K1.6088.107171,14941,32340,443
2015-09-11$115.64$115.007.8%2.2%4.6%48.8%8.2%2.2%0.0%36.2M-19.4M-257.3K1.75106.856471,13041,29740,426
2015-09-14$115.62$115.007.3%2.1%4.6%42.4%8.1%2.4%0.3%33.7M-18.9M-181.4K1.7997.266521,16541,30340,426
2015-09-15$114.74$115.007.3%2.1%5.2%42.7%6.7%1.6%0.4%-59.3M101.9M-156.0K1.55109.688613341,31740,477
2015-09-16$114.90$115.007.3%2.1%5.0%42.3%7.1%2.5%0.4%-73.9M69.3M-117.1K1.93106.367411,43341,35040,465
2015-09-17$115.85$116.0018.3%5.3%5.5%100.0%8.5%-15.4%-6.6%70.1M-14.5M-98.6K1.98128.226731,33241,40140,575
2015-09-18$116.36$116.006.9%2.0%5.7%19.2%7.0%3.5%-0.1%235.2K-97.7M-50.1K1.7996.779201,64641,46240,702
2015-09-21$115.69$116.006.7%1.9%6.1%17.8%6.4%0.4%0.7%-1.2M10.4M-50.8K3.2798.342829231,1443,886
2015-09-22$116.25$116.006.9%2.0%6.2%19.2%7.1%1.9%0.2%-1.1M9.6M-55.6K3.0486.183129471,1693,913
2015-09-23$116.10$116.006.9%2.0%5.8%19.4%7.5%1.7%0.9%-1.1M9.9M-59.1K6.9872.111501,0471,3054,049
2015-09-24$116.17$116.007.2%2.1%5.8%21.4%7.6%1.7%0.5%-980.8K9.4M-58.4K5.7852.001709821,3244,102
2015-09-25$115.79$116.007.0%2.0%6.0%19.9%7.6%1.9%0.0%-1.2M11.1M-56.5K5.8095.101729981,3474,155
2015-09-28$115.96$116.007.4%2.1%5.9%22.8%7.7%1.9%0.1%-971.7K10.0M-52.8K6.7555.472861,9311,3804,193
2015-09-29$116.12$116.006.5%1.9%5.9%16.6%7.2%2.0%0.5%-2.1M12.1M-69.9K8.9394.682141,9101,4305,164
2015-09-30$116.08$116.006.8%2.0%5.9%18.5%7.2%1.4%0.1%-1.3M11.2M-64.0K7.72112.362592,0001,4404,696