LQD Options History — February 2016

In February 2016, LQD traded between $112.92 and $115.06. ATM implied volatility averaged 7.6%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.1% (HV 20d: 5.5%). Max pain ranged from $113.00 to $115.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 6.74.

Notable Days

  • 2016-02-17: Highest Volume — 107,379 contracts
  • 2016-02-11: Largest IV spike — 16.7% change
  • 2016-02-16: Highest IV Rank — 36.1%
  • 2016-02-16: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.88$112.92$115.06$113.47$115.06
Max Pain$113.95$113.00$115.00$114.00$113.00
ATM IV7.6%6.2%9.6%7.3%6.3%
Expected Move2.2%1.8%2.8%2.1%1.8%
HV 20d5.5%4.5%6.2%4.8%6.0%
HV 60d5.3%4.9%5.8%5.1%5.7%
IV Rank21.2%10.7%36.1%19.0%11.8%
IV Percentile62.6%18.7%98.4%60.3%25.0%
Term Structure0.4%-1.0%1.9%0.1%-0.0%
VWIV8.8%6.4%11.2%7.3%6.4%
Skew 25d2.0%1.1%3.3%1.2%1.3%
Skew 10d4.0%1.0%5.7%3.5%1.0%
Call IV 25d7.1%6.1%8.9%6.7%6.5%
Put IV 25d9.1%7.7%10.7%7.9%7.8%
Bid-Ask Spread %79.5423.2499.7294.9998.71
Gamma HHI0.350.290.430.370.29
Net GEX-33.1M-44.6M-22.6M-34.7M-22.6M
Net DEX87.6M-234.8M217.2M185.6M-234.8M
Net VEX-1.3M-2.0M-1.0M-1.0M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.740.8915.846.891.07
Total Volume12,261.92,507107,3794,3183,258
Total OI86,673.8553,395142,75953,395139,374

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$113.47$114.007.3%2.1%4.8%19.0%7.3%1.2%0.1%-34.7M185.6M-1.0M6.8994.995473,7717,19646,199
2016-02-02$113.67$113.006.8%2.0%4.9%15.7%7.3%1.7%0.6%-35.8M174.9M-1.1M8.0427.014853,8987,25546,254
2016-02-03$113.39$113.007.4%2.1%4.9%19.9%7.9%1.7%0.1%-35.3M176.2M-1.0M7.4223.244153,0797,43646,369
2016-02-04$113.45$115.007.2%2.3%4.6%18.8%10.5%2.4%0.2%-35.6M184.5M-1.0M5.2949.584662,4677,48447,120
2016-02-05$113.36$115.007.3%2.3%4.5%18.9%11.0%2.6%0.2%-38.3M189.3M-1.0M7.6955.313192,4547,60147,220
2016-02-08$114.05$115.008.5%2.3%5.1%27.6%11.0%2.0%0.0%-34.5M171.4M-1.0M6.3542.213412,1667,56547,314
2016-02-09$113.60$115.007.7%2.4%5.2%22.2%11.2%2.5%-0.1%-31.4M173.9M-1.0M10.6868.092913,1077,62047,305
2016-02-10$113.77$115.008.1%2.3%5.1%25.2%11.0%1.6%-0.1%-33.1M177.1M-1.1M9.7286.923413,3167,64848,292
2016-02-11$114.21$115.009.5%2.7%5.2%35.2%10.4%2.3%-1.0%-30.4M166.2M-1.0M11.6090.413714,3027,66148,626
2016-02-12$113.58$115.008.9%2.6%5.3%30.9%9.9%2.1%1.9%-32.4M181.3M-1.0M8.7793.334043,5447,69348,728
2016-02-16$112.93$115.009.6%2.8%5.6%36.1%10.3%1.7%0.5%-37.6M202.8M-1.0M4.3290.187283,1467,67148,552
2016-02-17$112.92$115.008.4%2.4%5.4%27.3%8.4%1.9%1.0%-42.7M217.2M-1.0M1.3190.2246,40360,9767,68849,613
2016-02-18$113.84$113.007.9%2.3%6.1%23.6%9.3%3.3%1.0%-44.6M193.6M-1.6M15.8497.1897215,39523,27972,782
2016-02-19$113.77$113.007.7%2.2%6.0%22.1%8.1%2.2%0.5%-31.3M68.0M-2.0M9.4694.362,21220,93653,35389,406
2016-02-22$114.02$113.007.0%2.0%6.0%16.9%7.4%2.4%1.3%-32.8M20.0M-1.8M10.2495.141,97120,18453,26684,627
2016-02-23$114.20$113.006.9%2.0%6.0%16.2%7.8%2.6%0.1%-31.3M-20.3M-1.7M6.8499.722,95020,16853,13184,488
2016-02-24$114.35$113.006.6%1.9%6.0%13.6%8.6%1.7%0.8%-28.2M-93.7M-1.7M1.2596.731,3561,69954,67084,441
2016-02-25$114.97$113.006.5%1.9%6.2%13.2%6.5%1.3%0.1%-23.5M-187.7M-1.5M0.8998.121,9231,70454,73784,449
2016-02-26$114.91$113.006.2%1.8%6.2%10.7%6.4%1.1%0.3%-25.8M-194.1M-1.5M1.0399.371,5661,60754,86584,499
2016-02-29$115.06$113.006.3%1.8%6.0%11.8%6.4%1.3%-0.0%-22.6M-234.8M-1.3M1.0798.711,5711,68754,91984,455