LQD Options History — October 2016

In October 2016, LQD traded between $120.92 and $122.56. ATM implied volatility averaged 5.6%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.3% (HV 20d: 4.3%). Max pain ranged from $122.00 to $140.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2016-10-18: Highest Volume — 29,158 contracts
  • 2016-10-12: Largest IV spike — 13.6% change
  • 2016-10-13: Highest IV Rank — 25.2%
  • 2016-10-13: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.92$120.92$122.56$122.56$120.98
Max Pain$131.71$122.00$140.00$130.00$140.00
ATM IV5.6%5.1%6.2%5.3%5.8%
Expected Move1.6%1.5%1.8%1.5%1.7%
HV 20d4.3%3.7%5.6%5.5%3.9%
HV 60d5.1%4.8%5.4%5.3%4.8%
IV Rank15.4%7.2%25.2%10.9%19.6%
IV Percentile26.6%7.1%52.0%11.9%38.9%
Term Structure0.4%0.0%0.7%0.6%0.3%
VWIV7.5%5.2%10.0%5.6%9.0%
Skew 25d2.2%1.5%2.7%1.7%2.0%
Skew 10d4.9%2.8%6.5%4.3%5.5%
Call IV 25d5.1%4.5%5.6%5.1%5.6%
Put IV 25d7.3%6.6%7.9%6.8%7.6%
Bid-Ask Spread %82.6721.78104.8326.2096.62
Gamma HHI0.210.170.260.190.23
Net GEX-94.5M-132.3M-36.7M-97.3M-70.4M
Net DEX397.5M243.9M517.3M433.5M488.4M
Net VEX-1.2M-1.6M-959.6K-1.5M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.521.132.661.341.46
Total Volume18,253.52411,04729,15814,96418,902
Total OI144,710.476113,378168,931155,537136,729

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$122.56$130.005.3%1.5%5.5%10.9%5.6%1.7%0.6%-97.3M433.5M-1.5M1.3426.206,3888,57643,688111,849
2016-10-04$121.96$130.005.9%1.7%5.6%20.2%5.9%1.8%0.3%-105.0M517.3M-1.6M1.50100.045,6818,50944,706112,006
2016-10-05$121.83$130.005.3%1.5%5.6%11.7%5.2%1.5%0.6%-104.2M379.9M-1.4M1.59104.835,0458,00844,738100,155
2016-10-06$121.86$122.005.3%1.7%4.9%10.4%7.2%2.3%0.2%-114.1M405.9M-1.5M1.5462.555,5798,59143,789100,910
2016-10-07$122.12$122.005.2%1.7%4.2%9.4%7.3%2.4%0.3%-110.1M361.0M-1.4M1.7078.284,6387,90744,686101,854
2016-10-10$122.05$122.005.4%1.7%4.3%13.0%7.4%2.3%0.4%-110.1M402.3M-1.3M1.7392.024,6428,03744,732101,886
2016-10-11$121.86$122.005.2%1.7%3.9%9.7%7.2%2.0%0.5%-114.3M419.2M-1.3M1.7598.844,6088,08144,739103,085
2016-10-12$121.85$122.005.9%1.7%3.9%21.4%7.1%2.7%0.2%-111.2M442.0M-1.4M1.4496.684,5256,53844,735103,162
2016-10-13$122.23$122.006.2%1.8%4.0%25.2%6.8%2.3%0.0%-121.9M353.3M-1.4M1.4495.714,5216,52644,469102,987
2016-10-14$121.68$122.005.7%1.6%4.3%17.2%6.4%2.6%0.4%-115.5M441.3M-1.3M1.4592.784,5436,59145,039103,538
2016-10-17$121.99$122.005.8%1.7%4.4%19.5%6.7%2.5%0.4%-121.6M389.2M-1.2M1.1990.3110,64312,68044,537102,991
2016-10-18$122.28$140.006.0%1.7%4.5%22.0%7.4%2.3%0.1%-129.0M411.6M-1.1M1.7588.8010,62118,53751,447109,884
2016-10-19$122.39$140.005.9%1.7%4.1%21.4%7.5%1.9%0.1%-123.5M350.8M-1.2M1.3892.9810,93015,03951,451107,198
2016-10-20$122.44$140.005.8%1.7%3.8%18.9%10.0%1.5%0.3%-132.3M383.6M-1.1M1.30102.1210,92414,21155,453111,210
2016-10-21$122.50$140.005.4%1.6%3.8%12.7%9.6%2.2%0.2%-37.9M376.0M-1.1M1.3088.1210,93714,23257,653111,278
2016-10-24$122.13$140.005.3%1.5%3.9%10.2%7.8%2.6%0.7%-37.5M258.2M-1.1M1.1694.247,5308,72135,50177,877
2016-10-25$122.09$140.005.3%1.5%3.7%10.1%10.0%2.3%0.6%-36.7M243.9M-1.0M1.1396.149,30110,49535,83778,239
2016-10-26$121.61$140.005.1%1.5%3.9%7.2%9.6%2.5%0.4%-52.4M383.3M-1.0M1.5084.089,28813,89741,94384,261
2016-10-27$121.02$140.005.7%1.6%4.1%17.6%7.1%1.9%0.4%-67.0M431.0M-959.6K2.6621.787,41819,74141,19786,304
2016-10-28$120.92$140.005.6%1.6%4.1%15.5%7.3%2.4%0.3%-73.2M475.7M-1.0M1.6432.838,23013,51341,85289,325
2016-10-31$120.98$140.005.8%1.7%3.9%19.6%9.0%2.0%0.3%-70.4M488.4M-1.0M1.4696.627,68911,21344,26992,460