LQD Options History — September 2016

In September 2016, LQD traded between $121.32 and $123.78. ATM implied volatility averaged 6.2%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.9% (HV 20d: 5.3%). Max pain ranged from $123.00 to $130.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2016-09-13: Highest Volume — 93,138 contracts
  • 2016-09-14: Largest IV drop — 29.3% change
  • 2016-09-13: Highest IV Rank — 35.9%
  • 2016-09-13: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.63$121.32$123.78$123.55$123.10
Max Pain$127.43$123.00$130.00$130.00$130.00
ATM IV6.2%5.4%9.6%5.5%5.5%
Expected Move1.7%1.6%2.1%1.6%1.6%
HV 20d5.3%4.6%5.7%5.0%5.3%
HV 60d5.3%5.0%5.5%5.0%5.3%
IV Rank16.6%5.7%35.9%6.3%15.0%
IV Percentile43.5%16.7%98.8%20.2%24.2%
Term Structure0.5%-0.0%1.3%0.3%0.4%
VWIV8.3%5.9%10.5%7.5%5.9%
Skew 25d2.4%1.7%3.3%2.0%1.9%
Skew 10d5.9%4.8%7.4%4.9%4.8%
Call IV 25d5.5%4.8%6.5%5.5%5.2%
Put IV 25d7.9%6.7%9.4%7.5%7.1%
Bid-Ask Spread %46.4519.2699.4786.2326.44
Gamma HHI0.210.150.340.210.17
Net GEX-45.3M-87.0M9.6M9.6M-87.0M
Net DEX249.2M-1.8M433.5M181.6M409.5M
Net VEX-1.2M-1.6M-502.9K-502.9K-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.882.531.492.07
Total Volume51,320.47613,59393,13868,36116,254
Total OI172,783.667118,390236,824190,310153,443

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$123.55$130.005.5%1.6%5.0%6.3%7.5%2.0%0.3%9.6M181.6M-502.9K1.4986.2327,49940,86241,692148,618
2016-09-02$123.36$130.006.2%1.8%4.8%11.3%6.9%2.3%0.1%-8.8M227.4M-676.8K1.2433.9625,53431,70242,226159,415
2016-09-06$123.78$125.005.5%1.6%5.0%6.6%6.4%2.4%0.7%-15.0M11.0M-703.3K1.1654.8425,30629,24642,935148,233
2016-09-07$123.69$125.005.4%1.6%4.6%5.7%6.3%2.1%0.8%-15.1M-1.8M-687.2K1.1657.8525,26129,20342,364147,653
2016-09-08$122.74$125.005.7%1.6%5.2%7.7%8.6%2.3%1.3%-24.6M62.1M-704.5K1.4851.5625,38337,66743,564148,875
2016-09-09$121.85$124.007.0%2.0%5.7%17.1%8.4%2.7%0.2%-27.6M114.1M-682.7K1.2958.3926,46734,03843,144148,323
2016-09-12$121.91$124.007.5%1.9%5.4%21.2%10.1%2.8%0.2%-34.5M111.6M-732.3K1.1660.7226,96831,16643,250152,542
2016-09-13$121.32$124.009.6%2.1%5.5%35.9%7.9%2.9%0.9%-32.8M158.3M-698.5K1.4965.4937,34855,79042,233152,870
2016-09-14$121.51$123.006.8%1.9%5.6%15.5%9.8%3.0%-0.0%-48.2M228.8M-1.3M1.2941.6728,04836,07852,457174,584
2016-09-15$121.65$123.006.6%1.9%5.5%14.1%10.4%2.7%0.5%-49.2M227.7M-1.4M1.2344.8827,78734,22354,054178,494
2016-09-16$121.72$123.006.4%1.8%5.4%12.6%9.7%2.6%0.4%-54.1M241.2M-1.4M1.1341.2942,52748,12954,959181,865
2016-09-19$121.69$130.006.4%1.8%5.3%29.0%10.3%3.3%0.5%-55.3M433.5M-1.4M1.4184.4616,70723,62039,14379,247
2016-09-20$121.86$130.006.5%1.9%5.1%30.6%9.7%2.9%0.5%-55.8M430.2M-1.4M2.5330.4316,70242,18139,28779,264
2016-09-21$122.44$130.006.0%1.7%5.4%23.1%8.5%1.9%0.5%-74.9M426.0M-1.6M0.9599.4722,27721,14939,39899,925
2016-09-22$122.99$130.005.5%1.6%5.7%14.2%8.3%1.8%0.7%-61.1M338.1M-1.5M0.8820.8622,88120,13941,560100,055
2016-09-23$122.91$130.005.5%1.6%5.7%14.1%10.5%2.5%0.4%-62.7M342.4M-1.5M0.9720.4321,33520,61037,61299,042
2016-09-26$123.00$130.005.7%1.6%5.7%16.8%9.3%2.5%0.2%-62.3M318.3M-1.4M1.1830.4017,31020,48537,17799,611
2016-09-27$123.38$130.005.6%1.6%5.4%16.1%6.2%1.7%0.4%-55.9M273.9M-1.3M1.3219.2618,23824,15337,19899,623
2016-09-28$123.37$130.005.8%1.7%5.3%19.3%6.6%1.9%0.2%-61.5M323.7M-1.4M1.4826.075,4908,10342,314107,501
2016-09-29$123.35$130.005.6%1.6%5.3%15.6%6.2%1.7%0.6%-75.0M375.1M-1.6M1.5920.675,3518,51343,609109,098
2016-09-30$123.10$130.005.5%1.6%5.3%15.0%5.9%1.9%0.4%-87.0M409.5M-1.6M2.0726.445,29310,96143,610109,833