LQD Options History — July 2016

In July 2016, LQD traded between $123.03 and $124.36. ATM implied volatility averaged 6.8%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 2.3% (HV 20d: 4.5%). Max pain ranged from $119.00 to $130.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.62.

Notable Days

  • 2016-07-13: Highest Volume — 21,570 contracts
  • 2016-07-13: Largest IV drop — 15.7% change
  • 2016-07-12: Highest IV Rank — 26.0%
  • 2016-07-05: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.51$123.03$124.36$123.05$124.00
Max Pain$126.90$119.00$130.00$119.00$130.00
ATM IV6.8%5.8%8.2%6.7%5.8%
Expected Move1.9%1.7%2.1%1.9%1.7%
HV 20d4.5%3.8%5.2%3.9%4.7%
HV 60d4.7%4.5%4.9%4.6%4.7%
IV Rank16.1%8.8%26.0%15.3%8.8%
IV Percentile56.4%29.0%91.3%52.4%29.0%
Term Structure0.5%-0.0%1.1%-0.0%0.7%
VWIV8.2%7.2%9.6%7.2%8.1%
Skew 25d2.1%1.6%2.5%2.2%2.0%
Skew 10d5.6%3.8%6.6%6.5%5.4%
Call IV 25d6.1%5.6%6.7%6.2%5.6%
Put IV 25d8.2%7.4%8.9%8.4%7.6%
Bid-Ask Spread %82.2656.0795.5083.9786.73
Gamma HHI0.260.160.360.180.16
Net GEX-2.1M-6.3M8.3M-1.9M6.2M
Net DEX39.9M-102.9M146.1M-76.1M83.4M
Net VEX-447.1K-565.2K-205.8K-362.5K-205.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.514.970.511.05
Total Volume12,980.252,82221,5708,43715,987
Total OI144,460.6126,827157,725126,827157,725

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$123.05$119.006.7%1.9%3.9%15.3%7.2%2.2%-0.0%-1.9M-76.1M-362.5K0.5183.975,5722,86511,442115,385
2016-07-05$123.49$121.007.6%2.1%3.8%21.5%8.8%1.9%0.4%2.2M-94.0M-276.9K0.5256.075,6862,95211,660115,668
2016-07-06$123.71$123.007.3%2.0%3.8%19.6%8.9%1.7%0.6%-5.7M-56.5M-565.2K0.5764.685,4653,11711,899115,746
2016-07-07$123.74$123.007.7%2.0%3.8%22.2%7.9%2.3%0.5%-5.2M-59.4M-540.1K0.5658.405,7293,20711,881115,901
2016-07-08$124.36$123.007.2%2.0%4.0%18.7%7.9%2.2%0.5%-4.8M-66.5M-530.7K4.6966.975422,54112,176116,316
2016-07-11$124.11$123.007.3%1.9%4.2%19.8%7.5%2.5%0.6%5.8M-102.9M-251.4K4.9772.605042,50712,263116,368
2016-07-12$123.42$123.008.2%2.0%4.7%26.0%8.8%2.5%0.5%-3.7M-59.2M-521.7K4.6687.814992,32312,323116,419
2016-07-13$123.93$123.006.9%2.0%4.7%16.6%8.4%2.1%0.4%-2.8M-66.6M-516.1K1.2687.249,54612,02412,329116,539
2016-07-14$123.58$130.006.7%1.9%4.8%14.8%8.6%1.9%0.6%-3.9M52.6M-535.0K1.2590.959,51211,85821,323125,718
2016-07-15$123.03$130.006.6%1.9%5.2%14.3%7.9%2.4%0.7%-6.3M59.5M-530.9K1.2890.396,7098,58121,325125,789
2016-07-18$123.08$130.006.9%2.0%5.1%16.7%8.6%2.1%0.3%-5.1M146.1M-546.9K1.4988.916,72710,00826,459128,300
2016-07-19$123.29$130.006.8%1.9%5.0%15.7%8.5%2.1%0.4%-6.1M141.9M-517.3K1.4888.946,77610,01226,652130,076
2016-07-20$123.17$130.006.7%1.9%5.0%15.1%9.0%2.2%0.3%5.9M106.0M-265.3K1.2788.386,5258,31626,725130,201
2016-07-21$123.35$130.006.6%1.9%5.0%14.1%8.4%2.1%0.5%-5.7M142.7M-514.8K1.2991.276,4418,29726,754130,209
2016-07-22$123.38$130.006.3%1.8%4.9%12.2%7.2%2.0%1.1%-5.4M139.7M-503.5K1.2087.156,9328,29626,824130,244
2016-07-25$123.23$130.006.9%2.0%4.8%16.1%9.6%2.5%0.3%-4.0M136.7M-497.4K1.2286.786,8178,30127,341130,261
2016-07-26$123.14$130.006.5%1.9%4.6%13.8%7.7%2.5%0.4%-4.5M143.2M-523.1K1.0092.468,1808,20827,355130,273
2016-07-27$123.66$130.006.2%1.8%4.6%11.1%7.7%1.6%0.5%8.3M96.9M-240.2K1.0595.507,8188,20827,359130,284
2016-07-28$123.55$130.005.9%1.7%4.6%9.2%7.9%2.2%0.7%-5.8M131.1M-496.6K1.0579.957,8188,19927,408130,292
2016-07-29$124.00$130.005.8%1.7%4.7%8.8%8.1%2.0%0.7%6.2M83.4M-205.8K1.0586.737,8078,18027,428130,297