LQD Options History — November 2015

In November 2015, LQD traded between $114.56 and $115.91. ATM implied volatility averaged 6.1%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.9% (HV 20d: 5.2%). Max pain ranged from $116.00 to $120.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.68.

Notable Days

  • 2015-11-10: Highest Volume — 15,613 contracts
  • 2015-11-11: Largest IV spike — 30.9% change
  • 2015-11-04: Highest IV Rank — 15.8%
  • 2015-11-04: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.35$114.56$115.91$115.61$115.91
Max Pain$118.10$116.00$120.00$120.00$118.00
ATM IV6.1%4.9%6.9%5.5%6.2%
Expected Move1.8%1.6%2.0%1.6%1.8%
HV 20d5.2%4.0%5.6%5.5%4.0%
HV 60d5.2%5.0%5.4%5.4%5.0%
IV Rank10.1%1.5%15.8%6.3%10.8%
IV Percentile19.7%0.8%43.7%6.3%20.6%
Term Structure0.9%-0.4%2.1%1.2%-0.0%
VWIV6.6%5.5%7.6%5.9%7.4%
Skew 25d1.6%0.1%2.7%1.6%1.4%
Skew 10d2.3%-1.1%5.1%3.1%0.2%
Call IV 25d5.8%5.2%6.6%5.2%6.1%
Put IV 25d7.4%6.0%8.1%6.8%7.5%
Bid-Ask Spread %78.4516.0997.9616.0992.75
Gamma HHI0.340.230.490.280.25
Net GEX-12.4M-21.6M-6.8M-6.8M-8.3M
Net DEX66.5M25.3M83.7M59.5M64.0M
Net VEX-189.1K-251.8K-147.8K-153.4K-201.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.3617.811.424.85
Total Volume8,916.718315,6138,518269
Total OI25,973.119,72228,48922,49725,275

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$115.61$120.005.5%1.6%5.5%6.3%5.9%1.6%1.2%-6.8M59.5M-153.4K1.4216.093,5194,9997,17215,325
2015-11-03$115.55$120.005.8%1.7%5.5%8.5%6.8%1.3%0.5%-7.8M62.3M-149.2K1.4356.413,4965,0097,23315,362
2015-11-04$115.47$116.006.9%2.0%5.3%15.8%6.7%1.4%-0.4%-7.6M25.3M-147.8K1.2493.296,4487,9977,34712,375
2015-11-05$115.48$118.005.9%1.9%5.2%8.5%5.5%1.5%1.3%-8.3M52.1M-181.4K1.2545.246,4067,99610,38515,349
2015-11-06$114.75$118.005.9%1.9%5.6%8.7%7.3%2.3%0.7%-11.6M68.9M-168.0K6.8569.8710169210,37015,346
2015-11-09$114.56$118.005.9%1.9%5.4%9.3%6.2%1.2%1.4%-13.5M77.4M-162.0K0.3661.481846710,32115,947
2015-11-10$114.85$118.004.9%1.9%5.5%1.5%6.4%2.0%0.9%-15.9M74.2M-164.9K1.4490.076,4109,20310,38915,933
2015-11-11$114.79$118.006.4%1.8%5.3%12.6%7.6%1.6%1.1%-16.2M83.7M-211.9K1.4458.706,4109,20310,35317,948
2015-11-12$114.81$118.006.1%1.8%5.3%10.4%6.0%2.7%1.5%-17.7M83.3M-199.6K1.4466.776,3869,16810,37317,956
2015-11-13$115.17$118.006.4%1.8%5.5%12.3%7.6%2.1%1.2%-18.9M77.4M-206.8K1.4581.356,3219,17010,40617,996
2015-11-16$115.16$118.006.2%1.8%5.5%11.2%6.1%2.0%1.6%-18.7M74.6M-203.6K6.0494.732615710,42318,001
2015-11-17$115.29$118.006.7%1.9%5.5%14.9%7.3%2.2%0.6%-18.8M73.6M-196.3K1.4797.966,3159,27410,44218,047
2015-11-18$115.28$118.006.7%1.9%5.2%14.8%6.6%1.3%0.9%-21.6M77.5M-179.4K1.0093.686,3426,33510,41718,049
2015-11-19$115.63$118.006.0%1.7%5.2%9.5%6.7%1.1%1.3%-12.0M61.6M-200.4K1.0190.446,3366,41210,44618,034
2015-11-20$115.58$118.005.7%1.6%5.1%7.7%7.5%2.1%2.1%-11.6M59.5M-204.1K1.0095.346,3336,30710,44717,994
2015-11-23$115.67$118.006.1%1.7%5.1%10.3%6.4%0.1%0.9%-7.0M62.2M-175.7K17.8191.991182,1026,88215,859
2015-11-24$115.71$118.005.9%1.7%5.1%8.7%6.0%1.5%0.6%-8.9M68.5M-217.3K0.3891.16143556,98217,945
2015-11-25$115.80$118.006.0%1.7%5.0%9.4%6.3%1.6%0.7%-9.0M71.3M-207.7K0.8890.583,3772,9637,09517,999
2015-11-27$115.86$118.006.2%1.8%4.2%11.2%6.4%1.4%0.3%-7.6M53.4M-251.8K0.9091.113,3022,9837,22918,010
2015-11-30$115.91$118.006.2%1.8%4.0%10.8%7.4%1.4%-0.0%-8.3M64.0M-201.9K4.8592.75462237,24918,026