LQD Options History — March 2016

In March 2016, LQD traded between $114.14 and $118.81. ATM implied volatility averaged 5.7%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.1% (HV 20d: 5.7%). Max pain ranged from $113.00 to $117.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.38.

Notable Days

  • 2016-03-02: Highest Volume — 32,930 contracts
  • 2016-03-08: Largest IV spike — 16.2% change
  • 2016-03-10: Highest IV Rank — 18.1%
  • 2016-03-10: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.63$114.14$118.81$114.14$118.81
Max Pain$115.00$113.00$117.00$113.00$117.00
ATM IV5.7%4.8%7.1%6.2%4.8%
Expected Move1.7%1.4%2.1%1.8%1.4%
HV 20d5.7%4.2%6.6%6.4%4.2%
HV 60d5.3%5.1%5.9%5.9%5.4%
IV Rank7.7%0.5%18.1%10.9%0.5%
IV Percentile13.8%0.4%56.7%19.4%0.4%
Term Structure0.5%-0.6%1.6%0.1%1.6%
VWIV6.6%5.8%7.5%7.2%7.1%
Skew 25d1.5%0.4%2.7%0.9%2.2%
Skew 10d3.3%-0.1%5.6%3.1%4.3%
Call IV 25d5.4%3.9%6.4%6.3%4.0%
Put IV 25d6.9%6.0%8.1%7.2%6.2%
Bid-Ask Spread %64.4718.70102.53101.3619.12
Gamma HHI0.320.200.660.640.37
Net GEX-10.0M-136.6M36.6M-106.2M7.5M
Net DEX-75.1M-224.4M110.1M110.1M-55.3M
Net VEX-566.6K-1.1M-215.6K-1.1M-215.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.686.316.151.14
Total Volume5,980.4091,91232,93031,8775,516
Total OI74,344.539,742112,443106,63741,049

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$114.14$113.006.2%1.8%6.4%10.9%7.2%0.9%0.1%-106.2M110.1M-1.1M6.15101.364,45627,42122,19284,445
2016-03-02$114.28$113.005.5%1.6%6.4%5.9%6.6%0.4%1.4%-136.6M19.4M-1.0M6.31102.534,50728,42325,24887,195
2016-03-03$114.86$114.005.2%1.8%6.6%3.7%6.4%2.4%0.1%-13.0M-81.4M-709.0K0.6896.344,5633,09325,28764,698
2016-03-04$114.79$115.004.8%1.7%6.6%0.8%6.3%1.8%0.4%-27.6M-73.8M-730.8K1.7593.121,8363,21425,37664,708
2016-03-07$114.93$115.005.0%1.8%6.6%2.2%6.7%2.0%0.2%-12.3M-91.4M-688.9K1.5694.941,5692,44925,68964,853
2016-03-08$115.57$115.005.8%1.7%6.5%8.2%6.8%1.1%0.9%-23.0M-71.6M-789.8K1.4299.821,6502,33525,70664,957
2016-03-09$115.38$115.006.6%1.9%6.3%14.3%6.7%1.6%0.1%-16.0M-92.0M-764.4K1.7695.801,2732,24225,78064,982
2016-03-10$115.85$115.007.1%2.1%6.4%18.1%6.9%1.0%-0.6%-11.7M-114.2M-686.2K1.0394.701,7101,76425,80964,993
2016-03-11$116.19$115.006.1%1.7%6.4%10.2%7.5%1.6%0.5%2.5M-138.8M-645.2K1.2195.061,5361,85926,32065,069
2016-03-14$116.44$115.006.7%1.9%5.9%14.6%7.5%2.1%0.1%4.9M-134.1M-692.7K1.7284.581,0671,83826,58365,132
2016-03-15$116.53$115.006.0%1.7%5.3%9.7%7.0%1.8%0.8%6.1M-139.2M-694.2K1.7351.841,0641,84326,63365,194
2016-03-16$117.09$115.006.8%2.0%5.4%15.7%6.9%1.4%-0.4%13.3M-160.2M-644.8K1.67102.041,1411,90526,66165,238
2016-03-17$117.58$115.005.9%1.7%5.0%8.7%6.2%1.4%0.4%19.8M-177.8M-629.8K1.7250.061,0931,88426,71865,389
2016-03-18$117.70$115.005.5%1.6%4.9%5.7%6.5%1.5%0.5%36.6M-224.4M-272.3K1.8348.801,0471,91326,41165,434
2016-03-21$117.74$115.005.5%1.6%4.9%5.6%6.1%1.6%0.5%7.4M-38.4M-256.9K1.6224.259351,5128,06531,677
2016-03-22$117.31$115.005.8%1.7%5.3%8.2%6.5%1.5%0.6%-4.9M15.6M-618.6K1.5862.479591,5148,09331,830
2016-03-23$117.92$115.005.3%1.5%5.4%4.7%5.8%2.7%0.7%6.8M-36.9M-258.0K3.1022.524661,4468,14331,932
2016-03-24$117.92$115.005.3%1.5%5.3%4.8%5.8%1.2%0.8%7.0M-39.2M-263.1K3.7819.734401,6628,16131,920
2016-03-28$117.95$116.005.3%1.5%5.2%4.8%6.0%1.3%0.7%6.6M-39.2M-260.9K3.9719.864471,7768,22132,165
2016-03-29$118.49$116.005.7%1.6%5.4%7.4%6.2%1.4%1.0%6.0M-46.5M-243.0K3.8820.784111,5968,23832,529
2016-03-30$118.36$116.005.4%1.6%4.2%5.5%6.4%0.7%0.3%6.2M-43.9M-259.6K2.7818.705811,6138,24232,614
2016-03-31$118.81$117.004.8%1.4%4.2%0.5%7.1%2.2%1.6%7.5M-55.3M-215.6K1.1419.122,5752,9418,34132,708