LQD Options History — August 2016

In August 2016, LQD traded between $122.29 and $124.15. ATM implied volatility averaged 6.0%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.3% (HV 20d: 5.7%). Max pain ranged from $119.00 to $130.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.43.

Notable Days

  • 2016-08-19: Highest Volume — 66,484 contracts
  • 2016-08-15: Largest IV spike — 16.3% change
  • 2016-08-02: Highest IV Rank — 14.6%
  • 2016-08-02: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.38$122.29$124.15$122.99$123.84
Max Pain$126.65$119.00$130.00$130.00$130.00
ATM IV6.0%5.5%6.6%6.4%5.5%
Expected Move1.7%1.6%1.9%1.8%1.6%
HV 20d5.7%5.0%6.1%5.5%5.1%
HV 60d5.1%5.0%5.4%5.0%5.0%
IV Rank10.1%5.9%14.6%12.8%6.6%
IV Percentile36.8%17.5%57.9%46.0%21.4%
Term Structure0.2%-0.2%0.7%0.2%0.4%
VWIV8.3%5.7%11.7%7.7%11.7%
Skew 25d2.3%0.7%2.9%2.6%2.7%
Skew 10d5.6%3.3%6.9%4.2%5.5%
Call IV 25d5.4%4.9%6.2%5.3%5.2%
Put IV 25d7.7%6.9%8.1%7.9%8.0%
Bid-Ask Spread %78.0443.7893.0079.2789.53
Gamma HHI0.180.150.280.190.22
Net GEX6.4M-8.0M15.8M-8.0M10.4M
Net DEX113.4M-47.5M243.6M149.9M175.0M
Net VEX-442.7K-655.3K-243.8K-494.3K-470.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.0210.301.371.11
Total Volume35,226.4784966,48415,20256,700
Total OI174,980.391146,432203,923156,421188,109

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$122.99$130.006.4%1.8%5.5%12.8%7.7%2.6%0.2%-8.0M149.9M-494.3K1.3779.276,4268,77626,118130,303
2016-08-02$122.29$130.006.6%1.9%5.7%14.6%7.8%2.3%0.3%-7.1M25.5M-407.0K1.3672.036,4198,73325,804120,628
2016-08-03$122.46$130.006.4%1.8%5.7%13.1%6.7%1.6%-0.0%-383.2K5.9M-289.3K1.3283.836,7118,83625,826120,680
2016-08-04$122.91$119.005.9%1.8%5.8%9.1%6.9%2.1%0.7%4.0M-8.6M-243.8K1.1558.1111,99113,77026,131120,710
2016-08-05$122.45$119.006.3%1.8%5.6%12.3%8.5%1.9%0.2%3.0M-685.6K-560.4K1.2073.0611,46713,73831,675125,902
2016-08-08$122.55$119.005.8%1.7%5.6%8.7%8.9%2.6%0.2%-3.2M18.1M-655.3K1.2072.4611,45513,72931,711125,934
2016-08-09$123.25$119.005.7%1.7%5.7%7.7%6.6%2.2%0.3%10.3M-30.2M-465.4K1.0973.3111,73812,78431,702125,943
2016-08-10$123.63$119.005.6%1.6%5.6%7.3%7.5%2.5%0.1%4.8M-25.3M-564.7K1.0777.7211,94012,75132,008125,992
2016-08-11$123.20$119.006.2%1.8%5.7%11.1%7.5%2.4%0.1%9.6M-30.6M-500.3K1.0884.5711,92712,83832,028126,036
2016-08-12$123.75$119.005.5%1.6%5.7%5.9%6.8%2.1%0.4%12.6M-47.5M-441.2K0.8743.7831,93327,75932,226126,305
2016-08-15$123.41$130.006.3%1.8%5.8%12.4%7.7%2.4%0.1%8.9M238.0M-516.7K0.8878.7434,45930,39755,026147,917
2016-08-16$123.16$130.006.3%1.8%5.8%11.9%7.4%2.5%0.1%9.0M243.6M-520.1K0.8874.3634,47530,40255,036148,080
2016-08-17$123.50$130.006.5%1.9%5.9%13.5%5.7%2.9%0.2%14.6M228.2M-427.0K0.0284.19249654,672148,182
2016-08-18$123.80$130.005.8%1.6%5.9%8.1%11.3%2.3%0.2%15.8M217.8M-408.8K10.3075.344647454,883148,186
2016-08-19$123.43$130.006.4%1.8%6.0%12.8%10.9%2.6%0.1%4.1M237.2M-477.0K0.9374.0434,38032,10455,274148,649
2016-08-22$123.90$130.005.7%1.6%6.1%7.4%8.8%2.1%0.2%7.9M169.6M-387.9K0.9182.3628,11125,50838,456142,476
2016-08-23$124.03$130.005.7%1.6%6.1%8.0%9.1%2.6%0.4%9.3M164.7M-383.9K1.1181.6123,09125,65738,837142,681
2016-08-24$123.91$130.005.8%1.7%6.0%8.5%6.3%2.7%0.1%8.5M169.0M-390.1K0.6987.90292038,679143,109
2016-08-25$123.81$130.005.8%1.7%6.0%8.3%9.4%2.8%0.4%7.4M179.5M-408.9K1.0883.6823,15324,98139,269143,517
2016-08-26$123.44$130.006.6%1.9%5.9%14.5%9.7%2.4%-0.2%7.2M189.5M-426.0K1.0893.0023,11625,03139,299143,659
2016-08-29$124.15$130.006.2%1.8%5.5%11.5%10.0%0.7%-0.0%9.2M162.0M-348.3K1.1286.9323,07425,93539,373143,706
2016-08-30$123.93$130.005.6%1.6%5.0%6.7%9.2%2.6%0.4%8.6M178.0M-395.5K1.1285.1125,05528,03539,383144,429
2016-08-31$123.84$130.005.5%1.6%5.1%6.6%11.7%2.7%0.4%10.4M175.0M-470.2K1.1189.5326,88929,81141,471146,638