LQD Options History — May 2016

In May 2016, LQD traded between $118.55 and $120.09. 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 0.8% (HV 20d: 4.5%). Max pain ranged from $116.00 to $125.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 22.55.

Notable Days

  • 2016-05-20: Highest Volume — 111,696 contracts
  • 2016-05-11: Largest IV spike — 19.7% change
  • 2016-05-19: Highest IV Rank — 8.4%
  • 2016-05-06: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.48$118.55$120.09$119.88$119.40
Max Pain$117.29$116.00$125.00$125.00$116.00
ATM IV5.3%4.7%5.8%5.3%5.0%
Expected Move1.6%1.4%1.7%1.5%1.4%
HV 20d4.5%3.7%5.2%4.3%4.8%
HV 60d4.7%4.4%5.1%5.1%4.5%
IV Rank4.9%0.3%8.4%4.6%2.7%
IV Percentile11.5%0.4%23.0%8.3%6.0%
Term Structure1.0%0.3%1.5%0.7%0.6%
VWIV6.8%4.8%8.3%6.2%4.8%
Skew 25d2.1%0.8%12.0%1.4%12.0%
Skew 10d4.9%2.2%25.0%4.1%25.0%
Call IV 25d5.2%4.6%5.5%5.0%4.8%
Put IV 25d7.3%5.9%16.9%6.4%16.9%
Bid-Ask Spread %86.2471.4399.7087.8696.88
Gamma HHI0.220.130.360.190.36
Net GEX-4.9M-22.4M7.0M4.6M-15.8M
Net DEX47.1M12.0M123.3M35.6M12.0M
Net VEX-508.7K-878.0K-260.5K-260.5K-756.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.550.56169.102.260.56
Total Volume39,487.0953,620111,69613,9316,826
Total OI97,55760,503162,56560,503149,632

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$119.88$125.005.3%1.5%4.3%4.6%6.2%1.4%0.7%4.6M35.6M-260.5K2.2687.864,2759,65616,44444,059
2016-05-03$120.04$125.005.3%1.5%4.2%4.8%6.4%1.1%0.5%-733.7K49.8M-366.0K2.3486.824,2199,88216,87046,620
2016-05-04$119.82$125.005.6%1.6%4.3%6.8%6.1%1.4%0.3%1.7M40.6M-320.7K2.4986.753,8189,52116,88946,891
2016-05-05$120.09$116.005.1%1.7%4.2%3.6%8.3%1.8%1.1%-120.3K45.3M-348.7K2.1677.794,2079,07616,88447,028
2016-05-06$119.87$116.005.3%1.7%4.2%4.5%6.9%1.5%1.1%3.3M37.4M-308.4K1.8979.014,2227,99017,33847,103
2016-05-09$119.67$116.005.0%1.6%4.3%2.8%7.1%1.9%1.2%2.5M41.9M-318.8K1.8671.944,2417,86817,41547,160
2016-05-10$119.96$116.004.7%1.6%4.1%0.3%6.7%1.8%1.3%2.4M41.0M-318.1K1.9971.434,0187,99317,44047,179
2016-05-11$120.03$116.005.6%1.6%3.9%7.0%6.7%2.0%1.5%4.4M33.9M-306.8K1.9779.403,9887,87417,62247,134
2016-05-12$119.79$116.005.5%1.6%4.0%6.0%6.7%1.7%1.3%4.7M36.1M-307.0K1.9776.583,9887,87417,62646,883
2016-05-13$120.01$116.005.6%1.6%3.7%6.8%7.9%1.8%1.2%5.8M31.8M-293.7K1.7994.033,8386,88617,62546,885
2016-05-16$119.61$116.005.5%1.6%3.9%6.5%6.8%1.2%1.4%7.0M30.4M-265.7K1.7887.983,8366,82717,65746,896
2016-05-17$119.69$116.005.7%1.6%3.9%7.7%7.4%1.8%1.2%6.9M34.1M-272.5K1.7884.123,8366,83817,65846,886
2016-05-18$118.55$116.005.5%1.6%5.1%6.4%7.9%1.8%1.4%338.7K59.0M-290.6K28.5488.173,740106,74117,66846,734
2016-05-19$118.82$116.005.8%1.7%5.2%8.4%8.2%2.0%1.2%-19.0M123.3M-877.1K28.5587.663,750107,07417,669144,896
2016-05-20$118.91$116.005.4%1.5%5.2%5.3%6.3%1.7%1.5%-15.9M108.4M-857.3K22.5286.814,748106,94817,681144,513
2016-05-23$118.84$116.005.4%1.6%5.1%5.8%6.9%2.1%0.7%-19.5M58.0M-878.0K78.8588.441,304102,81510,229137,575
2016-05-24$118.69$116.005.4%1.5%5.1%5.4%6.3%0.8%0.7%-19.2M54.6M-842.0K169.1094.1746177,95710,241137,638
2016-05-25$118.88$116.005.3%1.5%4.6%4.5%6.5%1.9%0.8%-22.4M60.2M-877.3K78.0991.4198576,91410,168137,903
2016-05-26$119.38$116.004.9%1.4%4.9%2.1%6.4%1.6%1.0%-17.1M30.3M-804.9K42.1794.161,82076,75510,526137,934
2016-05-27$119.10$116.004.9%1.4%4.9%1.8%5.2%1.4%1.0%-17.1M24.9M-810.8K0.8999.701,9141,70611,552137,946
2016-05-31$119.40$116.005.0%1.4%4.8%2.7%4.8%12.0%0.6%-15.8M12.0M-756.6K0.5696.884,3662,46011,659137,973