LQD Options History — April 2016

In April 2016, LQD traded between $118.71 and $120.37. ATM implied volatility averaged 5.3%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.3% (HV 20d: 4.0%). Max pain ranged from $117.00 to $125.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2016-04-22: Highest Volume — 15,109 contracts
  • 2016-04-07: Largest IV spike — 27.2% change
  • 2016-04-11: Highest IV Rank — 11.8%
  • 2016-04-07: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.44$118.71$120.37$118.88$120.37
Max Pain$122.62$117.00$125.00$125.00$125.00
ATM IV5.3%4.6%6.3%4.8%5.0%
Expected Move1.6%1.3%1.8%1.4%1.4%
HV 20d4.0%3.6%4.3%4.1%4.0%
HV 60d5.2%5.0%5.4%5.4%5.0%
IV Rank4.9%0.0%11.8%0.8%2.6%
IV Percentile9.1%0.0%31.0%0.8%4.0%
Term Structure0.6%-0.2%1.3%1.1%0.7%
VWIV6.6%5.1%8.3%5.1%5.8%
Skew 25d1.8%1.3%2.8%2.1%1.5%
Skew 10d4.0%1.4%6.0%5.1%3.9%
Call IV 25d4.8%3.6%5.6%3.8%4.6%
Put IV 25d6.6%5.6%7.5%5.9%6.1%
Bid-Ask Spread %71.2118.4496.1318.4486.28
Gamma HHI0.240.180.340.340.22
Net GEX2.2M-9.5M6.0M5.9M5.8M
Net DEX2.3M-44.2M57.4M-39.7M28.9M
Net VEX-253.4K-488.6K-177.1K-184.7K-213.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.871.053.171.181.48
Total Volume10,199.3335,61715,1095,67611,137
Total OI51,83543,79360,12243,79360,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$118.88$125.004.8%1.4%4.1%0.8%5.1%2.1%1.1%5.9M-39.7M-184.7K1.1818.442,6073,0699,49134,302
2016-04-04$118.86$118.005.4%1.7%4.0%5.2%7.1%1.8%0.3%4.5M-34.5M-236.8K1.2726.822,4763,1419,63134,399
2016-04-05$119.24$117.005.0%1.6%4.1%1.9%7.4%1.6%0.1%4.6M-39.9M-210.4K1.8335.762,4364,4579,67234,523
2016-04-06$119.15$118.004.8%1.6%3.9%0.7%7.5%1.9%0.4%4.0M-36.9M-238.6K1.8334.742,4294,4579,82735,845
2016-04-07$119.45$118.006.1%1.8%3.8%10.2%7.8%1.6%-0.2%3.3M-44.2M-210.0K3.1727.532,4907,8909,82835,869
2016-04-08$119.25$118.006.1%1.7%3.8%10.1%8.3%2.3%0.1%-2.7M-27.6M-287.4K1.8473.662,4444,4999,83439,346
2016-04-11$119.18$118.006.3%1.7%3.9%11.8%8.0%1.8%0.4%-4.3M-26.6M-294.9K1.6878.852,3874,0159,83842,357
2016-04-12$118.71$118.005.3%1.7%4.3%4.8%6.6%1.8%1.0%-9.5M8.2M-488.6K1.1075.554,4734,9239,86536,461
2016-04-13$119.12$125.005.6%1.6%4.3%7.0%6.8%1.4%0.9%1.8M-14.5M-202.7K1.0596.134,7024,92311,98538,588
2016-04-14$119.05$125.005.7%1.6%4.2%7.0%6.6%1.3%0.7%-654.6K-8.5M-245.0K1.1295.584,7035,27212,25538,592
2016-04-15$119.58$125.004.9%1.4%4.2%1.8%5.1%2.0%0.9%2.4M-17.9M-229.1K1.2272.794,7855,84412,25838,705
2016-04-18$119.69$125.005.6%1.6%4.2%6.4%6.7%2.0%0.6%4.0M-22.2M-226.0K1.7474.032,3794,1379,79036,145
2016-04-19$119.92$125.005.3%1.5%4.2%4.6%7.0%1.4%0.5%6.0M-7.9M-177.1K1.4582.913,8855,62311,78237,160
2016-04-20$119.66$125.005.0%1.4%4.0%2.0%5.8%2.0%0.8%4.0M38.6M-216.4K1.4492.193,9385,68215,28940,668
2016-04-21$119.60$125.004.6%1.3%3.7%0.0%5.4%1.9%1.2%4.1M42.5M-216.2K2.6187.223,98010,38615,35040,764
2016-04-22$119.68$125.005.2%1.5%3.7%4.2%6.2%2.8%0.7%2.0M51.7M-289.6K2.6186.724,18910,92015,41643,450
2016-04-25$119.36$125.005.6%1.6%3.9%6.9%5.4%2.1%1.3%2.0M54.9M-296.3K2.6290.464,16710,91615,64543,964
2016-04-26$119.33$125.005.6%1.6%3.6%7.3%5.9%1.8%0.6%2.4M57.4M-297.5K2.7188.613,97710,78715,72643,964
2016-04-27$120.07$125.005.2%1.5%4.1%4.0%6.1%1.6%0.8%4.0M42.7M-252.9K2.6184.404,13110,79915,78043,987
2016-04-28$120.14$125.005.1%1.4%4.0%3.0%7.1%1.6%0.8%2.3M43.1M-307.9K2.7886.673,89710,83416,06543,997
2016-04-29$120.37$125.005.0%1.4%4.0%2.6%5.8%1.5%0.7%5.8M28.9M-213.9K1.4886.284,4836,65416,08844,034