LQD Options History — October 2015

In October 2015, LQD traded between $115.76 and $117.59. ATM implied volatility averaged 5.9%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.9% (HV 20d: 5.0%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 6.59.

Notable Days

  • 2015-10-28: Highest Volume — 10,227 contracts
  • 2015-10-07: Largest IV spike — 30.5% change
  • 2015-10-07: Highest IV Rank — 28.4%
  • 2015-10-02: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.68$115.76$117.59$115.76$116.41
Max Pain$115.86$115.00$120.00$116.00$120.00
ATM IV5.9%4.7%8.2%6.3%5.6%
Expected Move1.7%1.3%2.0%1.8%1.6%
HV 20d5.0%3.7%6.2%6.0%5.0%
HV 60d5.1%5.0%5.3%5.3%5.3%
IV Rank9.9%0.0%28.4%14.6%6.6%
IV Percentile17.5%0.0%89.3%23.4%6.7%
Term Structure0.7%-0.3%1.6%0.5%0.8%
VWIV6.7%5.2%8.3%7.3%6.0%
Skew 25d1.4%0.7%1.9%1.5%0.8%
Skew 10d3.8%0.7%8.8%4.3%8.8%
Call IV 25d5.5%4.3%6.5%6.1%5.1%
Put IV 25d6.8%5.9%7.8%7.6%5.9%
Bid-Ask Spread %73.3321.35110.54100.2521.35
Gamma HHI0.280.150.500.150.33
Net GEX-3.9M-12.7M2.2M-1.3M-8.2M
Net DEX12.2M-5.1M57.0M10.6M51.9M
Net VEX-110.8K-153.0K-64.1K-64.1K-145.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.591.2929.619.451.31
Total Volume4,533.77339110,2272,1857,829
Total OI14,680.1366,27422,5226,27422,522

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$115.76$116.006.3%1.8%6.0%14.6%7.3%1.5%0.5%-1.3M10.6M-64.1K9.45100.252091,9761,5164,758
2015-10-02$116.23$116.007.1%2.0%6.0%20.4%7.4%1.8%-0.0%-1.7M8.9M-75.4K29.6175.632958,7351,5916,717
2015-10-05$115.93$115.006.5%1.9%6.0%16.3%7.2%1.5%0.7%-12.7M24.5M-114.6K1.2978.241712201,62211,977
2015-10-06$116.18$115.006.3%2.0%5.9%14.8%8.3%1.2%-0.3%-11.4M20.9M-111.9K17.5288.812534,4331,76312,118
2015-10-07$116.52$115.008.2%1.9%5.9%28.4%7.4%0.7%-0.1%-9.2M13.9M-84.7K2.87102.081,5094,3371,77912,204
2015-10-08$116.13$115.007.0%1.8%6.1%19.6%8.1%1.1%1.2%-9.3M15.9M-125.9K3.1083.981,4044,3502,92512,233
2015-10-09$116.20$115.006.3%1.8%6.0%14.7%8.0%1.5%0.6%-9.3M12.6M-119.4K2.3094.881,4443,3262,96612,268
2015-10-12$116.65$115.006.2%1.8%6.2%14.1%7.2%1.3%0.8%-4.8M8.2M-115.0K4.0662.618023,2603,05012,334
2015-10-13$116.55$115.006.6%1.8%5.4%13.2%7.1%1.4%0.1%339.2K4.2M-106.3K6.9748.156904,8123,09212,342
2015-10-14$116.97$115.006.0%1.7%5.5%9.3%6.7%1.0%0.4%-1.7M4.7M-118.0K4.6746.287173,3483,08413,824
2015-10-15$116.91$116.005.5%1.6%4.8%5.6%6.2%1.7%0.5%-678.0K-296.8K-89.0K3.3672.026892,3133,12113,935
2015-10-16$116.99$116.005.3%1.5%4.6%4.0%6.2%1.4%0.3%-5.2M8.7M-136.8K3.2595.737002,2743,16813,977
2015-10-19$116.96$115.004.7%1.3%4.0%0.0%5.3%1.2%1.0%-2.4M10.3M-112.4K8.5980.932652,2762,6409,940
2015-10-20$116.79$115.005.1%1.5%3.7%2.8%5.4%1.0%0.8%-2.8M10.8M-113.6K5.7532.183752,1562,70610,105
2015-10-21$117.31$115.005.1%1.5%3.9%2.7%5.2%1.1%1.1%-1.3M5.7M-114.6K5.5175.414132,2772,92010,152
2015-10-22$117.59$116.005.3%1.5%4.0%4.1%5.7%1.6%0.8%270.5K-752.2K-93.5K7.0738.433242,2922,96910,243
2015-10-23$117.18$116.005.3%1.5%4.0%4.3%5.6%1.9%1.2%-125.8K478.1K-96.1K1.8023.821,2742,2902,99810,307
2015-10-26$117.30$116.005.6%1.6%4.0%6.7%6.2%1.7%0.7%597.9K-352.5K-128.7K8.4890.402582,1873,99710,373
2015-10-27$117.41$116.005.6%1.6%4.0%6.4%6.0%1.4%1.0%2.2M-5.1M-105.7K14.2692.542773,9503,99710,380
2015-10-28$116.96$116.005.5%1.6%4.3%5.8%7.2%1.2%0.9%-1.2M4.6M-114.1K2.13110.543,2726,9554,00912,134
2015-10-29$116.04$120.005.1%1.4%5.1%2.7%6.4%1.7%1.6%-6.1M57.0M-153.0K1.6299.103,3625,4447,07415,133
2015-10-30$116.41$120.005.6%1.6%5.0%6.6%6.0%0.8%0.8%-8.2M51.9M-145.2K1.3121.353,3864,4437,22015,302