LQD Options History — November 2016

In November 2016, LQD traded between $116.52 and $120.77. ATM implied volatility averaged 7.7%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.2% (HV 20d: 5.5%). 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 3 of 21 days. Put/call ratio averaged 2.31.

Notable Days

  • 2016-11-14: Highest Volume — 56,915 contracts
  • 2016-11-14: Largest IV spike — 25.3% change
  • 2016-11-30: Highest IV Rank — 66.8%
  • 2016-11-30: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.29$116.52$120.77$120.56$116.89
Max Pain$123.71$122.00$140.00$140.00$122.00
ATM IV7.7%6.5%8.7%6.5%8.7%
Expected Move2.2%1.9%2.5%1.9%2.5%
HV 20d5.5%3.8%6.8%3.8%6.8%
HV 60d5.1%4.5%5.5%4.8%5.5%
IV Rank50.9%30.8%66.8%30.8%66.8%
IV Percentile86.3%62.7%97.6%62.7%97.6%
Term Structure-0.4%-1.2%0.6%-0.4%-1.2%
VWIV9.6%7.0%13.7%7.9%8.9%
Skew 25d2.7%2.1%4.2%2.4%2.9%
Skew 10d5.6%3.7%8.2%5.6%6.0%
Call IV 25d6.9%5.7%8.6%5.7%8.6%
Put IV 25d9.6%7.9%11.5%8.1%11.5%
Bid-Ask Spread %47.1017.0189.9430.3966.80
Gamma HHI0.260.230.370.250.26
Net GEX-87.5M-131.2M-68.5M-76.9M-99.5M
Net DEX527.5M327.7M819.6M501.6M494.6M
Net VEX-881.3K-1.1M-674.0K-1.0M-675.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.311.125.821.902.04
Total Volume24,346.7625,52456,91521,34917,282
Total OI137,161.286118,976181,237138,130119,603

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$120.56$140.006.5%1.9%3.8%30.8%7.9%2.4%-0.4%-76.9M501.6M-1.0M1.9030.397,36613,98344,54693,584
2016-11-02$120.67$140.007.2%2.1%3.8%42.9%7.7%2.2%-0.0%-84.9M379.7M-1.1M1.3856.187,54610,39844,40486,991
2016-11-03$120.42$122.008.1%2.0%3.8%57.1%7.4%2.1%-0.3%-76.5M370.6M-975.2K1.1772.807,5978,88744,39981,296
2016-11-04$120.77$122.006.8%1.9%3.9%35.5%7.0%2.1%-0.1%-68.9M327.7M-989.3K1.1620.327,5618,78944,45481,330
2016-11-07$120.68$122.007.3%1.9%3.9%43.3%7.5%2.5%-0.1%-74.7M350.4M-927.8K1.1426.317,7078,79544,45981,004
2016-11-08$120.38$122.007.0%1.9%4.0%38.3%7.9%2.5%-0.4%-80.4M366.0M-878.7K1.1223.317,3818,29444,56381,011
2016-11-09$118.76$122.006.8%1.9%6.0%35.4%8.4%2.1%0.6%-83.5M539.1M-674.0K2.0886.0612,26625,49844,57880,294
2016-11-10$118.64$122.006.8%2.0%5.8%36.2%10.0%2.9%0.1%-79.5M523.4M-795.5K2.8877.449,99828,74947,27387,240
2016-11-11$118.06$122.006.9%2.0%5.9%36.4%10.0%3.4%0.6%-68.6M614.0M-942.1K2.8681.568,07423,07551,00498,872
2016-11-14$117.47$122.008.6%2.5%5.8%64.8%11.0%4.2%-0.8%-68.5M691.1M-742.8K5.8289.948,34248,57351,06398,391
2016-11-15$117.80$122.007.6%2.2%5.8%48.9%12.4%3.2%-0.2%-95.1M712.5M-1.0M4.4448.948,97239,85551,347127,648
2016-11-16$118.00$122.007.7%2.2%5.9%50.5%10.6%2.6%-0.2%-84.7M663.9M-983.9K2.9972.948,97926,87351,995121,817
2016-11-17$117.26$122.008.3%2.4%6.0%60.9%11.8%2.2%-0.7%-117.6M739.2M-1.1M2.4552.599,00922,04552,007128,244
2016-11-18$116.56$122.008.0%2.3%6.1%54.4%9.9%3.1%-0.1%-131.2M819.6M-1.0M1.9729.5519,03537,53652,064129,173
2016-11-21$116.63$122.008.3%2.4%6.2%60.9%12.8%3.1%-0.7%-88.7M515.5M-862.1K3.1236.103,36710,50624,06895,013
2016-11-22$116.95$122.008.2%2.3%6.4%57.8%13.7%2.3%-0.8%-92.2M497.6M-847.5K3.9021.512,76510,78723,77795,199
2016-11-23$116.52$122.008.1%2.3%6.4%56.2%10.3%2.8%-0.6%-92.3M514.4M-807.6K1.3334.672,4683,27623,81895,245
2016-11-25$116.59$122.008.3%2.4%6.4%60.9%9.8%2.8%-0.8%-91.5M509.2M-760.3K1.2525.942,4523,07224,14495,330
2016-11-28$117.10$122.008.6%2.5%6.7%65.8%8.8%2.9%-1.1%-87.8M487.9M-755.0K1.1217.012,7783,10824,15495,303
2016-11-29$117.29$122.008.5%2.4%6.8%64.1%8.5%2.8%-1.0%-94.0M459.1M-690.3K2.4318.722,3995,83924,42195,261
2016-11-30$116.89$122.008.7%2.5%6.8%66.8%8.9%2.9%-1.2%-99.5M494.6M-675.0K2.0466.805,69011,59224,34695,257