LQD Options History — December 2015

In December 2015, LQD traded between $113.82 and $116.45. ATM implied volatility averaged 7.1%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.0% (HV 20d: 6.1%). Max pain ranged from $115.00 to $122.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 5.95.

Notable Days

  • 2015-12-11: Highest Volume — 28,182 contracts
  • 2015-12-16: Largest IV drop — 19.8% change
  • 2015-12-15: Highest IV Rank — 44.2%
  • 2015-12-15: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.78$113.82$116.45$116.45$114.14
Max Pain$118.05$115.00$122.00$118.00$115.00
ATM IV7.1%5.9%10.7%6.6%5.9%
Expected Move2.1%1.7%3.1%1.9%1.7%
HV 20d6.1%3.5%6.6%3.5%6.4%
HV 60d5.4%5.0%5.9%5.1%5.3%
IV Rank18.0%9.0%44.2%14.2%9.0%
IV Percentile47.8%12.3%99.6%35.3%12.3%
Term Structure-0.2%-4.1%1.1%-0.2%0.7%
VWIV8.2%5.0%13.3%6.4%5.0%
Skew 25d2.5%0.2%7.8%1.3%1.7%
Skew 10d4.2%0.3%7.8%3.2%0.3%
Call IV 25d6.4%4.9%8.6%5.9%5.7%
Put IV 25d8.9%6.3%14.1%7.1%7.3%
Bid-Ask Spread %86.5914.93106.2690.86106.26
Gamma HHI0.280.210.380.220.31
Net GEX-41.8M-95.0M-3.2M-3.2M-95.0M
Net DEX124.2M45.5M231.8M47.1M214.0M
Net VEX-467.7K-969.8K-207.6K-207.6K-959.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.950.1332.973.777.57
Total Volume7,094.1826228,1822,0055,084
Total OI43,068.81825,42863,01225,42863,012

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$116.45$118.006.6%1.9%3.5%14.2%6.4%1.3%-0.2%-3.2M47.1M-207.6K3.7790.864201,5857,21818,210
2015-12-02$116.24$118.006.0%1.7%3.6%9.9%6.3%0.2%0.5%-4.8M56.3M-219.6K1.0014.933,5203,5357,57319,451
2015-12-03$114.64$118.006.8%1.9%6.2%15.8%8.4%3.0%1.1%-12.3M85.1M-246.1K11.0581.296256,90410,72719,575
2015-12-04$115.24$122.006.3%2.0%6.5%11.8%7.5%1.4%0.3%-16.7M92.4M-292.1K1.9058.582,6064,95810,96423,027
2015-12-07$115.45$122.006.6%2.0%6.1%14.0%8.4%1.7%0.2%-9.1M74.2M-317.2K0.1363.7055712,91222,962
2015-12-08$115.29$122.007.3%2.1%6.1%18.9%8.1%2.0%-0.0%-9.5M74.2M-311.5K2.0266.282,4294,89712,96023,048
2015-12-09$115.30$122.007.7%2.2%6.0%22.0%8.5%2.0%-0.2%-9.9M48.7M-312.8K1.8392.122,4054,40812,97019,912
2015-12-10$115.04$122.007.2%2.1%6.1%18.4%8.7%2.3%-0.0%-10.9M45.5M-295.5K1.8279.592,4244,40812,98019,943
2015-12-11$115.23$122.008.4%2.4%6.1%27.2%9.3%2.2%-0.7%-8.4M46.7M-303.0K10.1878.822,52125,66112,97419,942
2015-12-14$114.38$118.009.5%2.7%6.5%35.5%9.3%3.1%-1.1%-46.3M179.1M-607.5K1.3286.022,6043,44013,01843,081
2015-12-15$114.31$118.0010.7%3.1%6.5%44.2%10.0%4.6%-4.1%-45.7M186.7M-578.2K1.2888.222,6013,33713,07843,314
2015-12-16$114.27$116.008.6%2.5%6.5%28.7%13.3%7.8%-1.7%-50.6M167.2M-582.9K11.07103.905816,43113,19243,354
2015-12-17$114.51$116.007.0%2.0%6.6%17.3%8.8%2.9%-0.1%-62.2M171.0M-567.8K8.3094.556105,06413,23344,471
2015-12-18$114.53$116.006.7%1.9%6.5%14.8%8.9%2.8%0.7%-51.3M178.6M-561.2K6.1494.768004,91413,26044,413
2015-12-21$114.55$116.006.8%1.9%6.5%15.2%8.6%2.1%-0.5%-53.3M137.7M-524.0K6.41102.336574,2126,20735,494
2015-12-22$114.40$116.007.1%2.0%6.5%17.9%8.8%2.3%0.0%-54.9M151.3M-531.8K6.4899.186504,2136,35635,519
2015-12-23$114.52$116.006.1%1.8%6.5%10.4%8.5%3.4%0.3%-64.1M147.5M-514.2K4.29102.446602,8316,38335,548
2015-12-24$114.55$116.005.9%1.7%6.5%9.0%5.9%2.1%0.7%-75.7M114.5M-467.5K4.16100.786812,8306,40235,734
2015-12-28$114.44$116.006.9%2.0%6.4%15.9%7.6%3.7%0.3%-66.4M128.6M-471.1K4.70101.455742,6956,42035,752
2015-12-29$113.89$116.006.6%1.9%6.6%13.9%6.7%1.3%-0.1%-75.2M154.4M-447.7K32.9799.5663921,0706,43435,792
2015-12-30$113.82$116.006.2%1.8%6.3%11.4%6.4%0.8%0.6%-94.3M231.8M-969.8K2.4899.351,5893,9376,51754,182
2015-12-31$114.14$115.005.9%1.7%6.4%9.0%5.0%1.7%0.7%-95.0M214.0M-959.5K7.57106.265934,4917,54655,466