LQD Options History — June 2016

In June 2016, LQD traded between $119.08 and $122.67. ATM implied volatility averaged 6.9%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.9% (HV 20d: 4.9%). Max pain ranged from $116.00 to $119.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.46.

Notable Days

  • 2016-06-17: Highest Volume — 13,866 contracts
  • 2016-06-02: Largest IV spike — 14.5% change
  • 2016-06-28: Highest IV Rank — 24.8%
  • 2016-06-28: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.82$119.08$122.67$119.08$122.67
Max Pain$118.86$116.00$119.00$116.00$119.00
ATM IV6.9%5.3%8.0%5.4%6.3%
Expected Move2.0%1.5%2.3%1.5%1.8%
HV 20d4.9%4.2%5.6%4.8%4.5%
HV 60d4.5%4.4%4.7%4.6%4.6%
IV Rank16.2%5.0%24.8%5.5%12.0%
IV Percentile56.4%13.5%86.1%15.5%41.7%
Term Structure0.3%-0.6%1.0%0.6%0.3%
VWIV7.4%5.6%9.3%5.6%7.7%
Skew 25d1.6%1.1%2.3%1.6%2.3%
Skew 10d3.8%1.7%7.0%4.6%4.4%
Call IV 25d6.5%5.0%7.7%5.0%6.1%
Put IV 25d8.0%6.5%9.3%6.6%8.4%
Bid-Ask Spread %91.4978.39113.1197.7787.61
Gamma HHI0.400.240.480.260.34
Net GEX-14.4M-19.6M5.2M-17.5M-7.1M
Net DEX-10.5M-66.7M27.1M27.1M-35.1M
Net VEX-737.0K-846.4K-324.2K-816.4K-683.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.453.241.830.52
Total Volume9,921.4097,66713,8668,4548,242
Total OI145,023.636124,768160,892151,250127,186

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$119.08$116.005.4%1.5%4.8%5.5%5.6%1.6%0.6%-17.5M27.1M-816.4K1.8397.772,9925,46212,539138,711
2016-06-02$119.39$119.006.2%1.8%4.9%11.2%6.3%1.6%0.6%-15.4M17.8M-846.4K1.8878.392,9235,49813,300142,422
2016-06-03$120.30$119.005.3%1.7%5.6%5.0%6.6%1.8%0.9%-14.0M-13.0M-804.2K3.2480.442,7678,96513,485142,461
2016-06-06$120.07$119.005.5%1.7%5.6%6.5%6.6%1.7%0.8%-18.4M-3.0M-806.5K1.8679.024,7838,90913,627145,271
2016-06-07$120.25$119.006.1%1.7%5.6%10.6%5.6%1.7%0.9%-17.1M-12.8M-739.9K1.2781.384,7806,09013,520145,271
2016-06-08$120.60$119.005.6%1.6%5.6%7.2%6.1%1.4%1.0%-16.7M-24.6M-733.9K1.5280.884,1626,32413,519145,281
2016-06-09$120.81$119.005.5%1.6%5.6%5.9%6.2%1.2%1.0%-16.4M-31.9M-724.3K1.3980.554,0565,63913,551145,414
2016-06-10$120.99$119.006.2%1.8%5.6%11.4%6.7%1.1%0.9%-16.4M-31.0M-686.4K1.3882.934,0645,59613,568145,446
2016-06-13$120.71$119.007.1%2.0%5.6%17.9%7.5%1.7%-0.0%-16.5M-25.1M-716.8K2.3282.662,3065,36113,589145,449
2016-06-14$120.49$119.007.8%2.2%5.5%22.8%7.9%2.2%-0.0%-16.1M-14.7M-753.3K2.7695.412,2896,30713,595145,469
2016-06-15$120.89$119.007.6%2.2%5.6%21.4%7.7%1.6%0.2%-15.7M-22.6M-717.1K2.5498.792,4886,30913,643146,524
2016-06-16$121.10$119.008.0%2.3%4.2%24.7%9.3%1.6%0.0%-16.6M-27.9M-713.9K2.7895.892,4466,79913,781146,533
2016-06-17$120.79$119.007.8%2.2%4.3%23.1%7.9%1.7%-0.2%-19.6M-30.4M-695.1K0.8496.157,5386,32813,860147,032
2016-06-20$120.59$119.007.2%2.1%4.4%18.6%7.6%1.9%0.5%-16.4M23.4M-801.6K0.9797.695,7495,59810,573114,195
2016-06-21$120.53$119.007.2%2.1%4.4%18.9%7.7%1.8%-0.0%-16.7M25.5M-816.9K1.0296.985,4145,49910,969114,483
2016-06-22$120.71$119.007.8%2.2%4.4%23.0%8.7%1.4%-0.6%-15.8M19.4M-809.1K1.1994.815,6676,73910,981114,494
2016-06-23$120.59$119.007.5%2.2%4.4%21.0%7.6%1.8%-0.6%-16.2M20.8M-795.0K0.95100.085,9635,66810,977114,632
2016-06-24$121.21$119.007.7%2.2%4.5%22.6%8.0%1.1%-0.3%-13.7M14.4M-814.7K0.47113.115,4502,58611,298114,622
2016-06-27$121.75$119.007.8%2.2%4.5%23.1%8.6%1.6%-0.2%5.2M-66.7M-324.2K0.5098.605,2272,62311,298115,063
2016-06-28$122.29$119.008.0%2.3%4.7%24.8%8.2%1.3%-0.0%-10.7M-13.7M-725.7K0.4996.325,2692,59811,312115,108
2016-06-29$122.32$119.007.3%2.1%4.4%19.4%8.6%1.1%-0.1%-9.4M-26.8M-689.0K0.4597.236,0572,74111,342115,126
2016-06-30$122.67$119.006.3%1.8%4.5%12.0%7.7%2.3%0.3%-7.1M-35.1M-683.1K0.5287.615,4352,80711,868115,318