LQD Options History — December 2016

In December 2016, LQD traded between $115.64 and $117.24. ATM implied volatility averaged 7.5%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.3% (HV 20d: 6.2%). Max pain ranged from $116.00 to $122.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 6.11.

Notable Days

  • 2016-12-09: Highest Volume — 38,676 contracts
  • 2016-12-14: Largest IV drop — 23.9% change
  • 2016-12-13: Highest IV Rank — 92.1%
  • 2016-12-02: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.36$115.64$117.24$115.92$117.24
Max Pain$116.57$116.00$122.00$122.00$116.00
ATM IV7.5%5.8%10.2%9.7%6.1%
Expected Move2.0%1.7%2.8%2.8%1.8%
HV 20d6.2%4.8%7.7%7.1%4.8%
HV 60d5.5%5.4%5.7%5.7%5.6%
IV Rank47.9%21.4%92.1%83.4%26.6%
IV Percentile70.4%38.1%99.6%99.6%44.8%
Term Structure0.2%-1.5%0.8%-1.1%0.3%
VWIV8.1%6.3%9.7%9.6%6.3%
Skew 25d1.9%0.9%2.8%2.8%1.1%
Skew 10d4.8%2.1%8.8%6.1%3.4%
Call IV 25d6.4%5.0%9.0%9.0%5.5%
Put IV 25d8.4%6.7%11.8%11.8%6.7%
Bid-Ask Spread %47.6318.6988.4575.9285.56
Gamma HHI0.310.170.600.250.22
Net GEX-55.5M-104.4M10.7M-94.5M10.7M
Net DEX206.8M-37.0M573.5M573.5M-37.0M
Net VEX-550.9K-686.7K-441.0K-674.8K-500.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.110.3520.011.9412.40
Total Volume19,046.4768,43738,67616,96516,839
Total OI91,532.47645,572126,970126,97068,793

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$115.92$122.009.7%2.8%7.1%83.4%9.6%2.8%-1.1%-94.5M573.5M-674.8K1.9475.925,76811,19728,99097,980
2016-12-02$116.36$122.009.9%2.8%7.4%86.7%9.7%2.8%-1.5%-83.3M381.5M-657.4K1.9988.455,70411,36425,23285,161
2016-12-05$116.64$116.008.3%2.1%7.4%60.7%7.7%2.5%0.2%-90.4M320.9M-546.7K2.2635.395,16111,67625,25082,633
2016-12-06$116.67$116.007.8%2.1%7.4%51.5%7.7%2.5%0.1%-96.0M320.4M-508.7K1.1734.805,1256,00425,33683,232
2016-12-07$117.19$116.007.9%2.0%7.7%53.1%8.2%1.9%0.2%-86.3M276.9M-483.4K1.2249.905,1086,24625,32383,129
2016-12-08$116.64$116.007.7%2.0%6.4%50.8%7.3%1.7%0.3%-100.0M300.7M-441.0K0.3572.276,3112,24025,37583,138
2016-12-09$116.22$116.008.3%2.2%6.5%59.5%7.5%2.0%0.1%-104.4M348.9M-446.9K1.6824.6814,42124,25526,67483,130
2016-12-12$116.10$116.0010.0%2.2%6.3%87.8%7.8%2.1%0.2%-96.4M346.2M-584.1K1.8925.488,92516,85036,03482,650
2016-12-13$116.37$116.0010.2%2.2%6.2%92.1%7.7%2.7%0.3%-89.2M294.1M-568.3K2.0285.548,95718,06436,04981,709
2016-12-14$115.85$116.007.8%2.2%6.2%51.7%7.7%2.0%0.0%-104.2M308.7M-532.3K1.7282.426,12310,54436,07479,019
2016-12-15$115.73$116.007.1%2.0%6.1%43.6%7.5%2.1%0.4%-91.4M307.5M-574.5K2.2184.699,24120,38342,21478,052
2016-12-16$115.64$116.006.6%1.9%5.8%34.8%8.0%2.0%0.8%-83.5M324.7M-462.9K4.3422.336,29627,35438,43577,469
2016-12-19$116.21$116.006.5%1.9%5.8%32.5%8.3%1.7%0.7%-418.5K41.7M-553.8K6.7526.601,73611,72418,98326,589
2016-12-20$116.12$116.006.4%1.8%5.8%30.9%8.5%1.6%0.6%-3.4M47.6M-533.7K5.9030.201,2237,21419,06826,636
2016-12-21$116.42$116.006.2%1.8%5.8%27.1%6.5%1.3%0.5%2.6M17.2M-504.7K20.0144.351,25725,15519,13630,701
2016-12-22$116.16$116.006.3%1.8%5.7%29.2%8.5%1.6%0.5%-20.8M68.4M-686.7K12.2118.691,23815,11719,15949,533
2016-12-23$116.33$116.006.3%1.8%5.7%29.6%8.1%1.5%0.3%-13.9M40.9M-620.1K11.9023.791,27015,11219,15549,631
2016-12-27$116.12$116.006.4%1.8%5.5%31.0%8.9%0.9%0.6%-19.3M51.3M-586.7K12.2518.801,23015,07119,19249,636
2016-12-28$116.59$116.005.8%1.7%5.7%21.4%9.4%1.7%0.6%-6.5M19.7M-567.3K12.2845.711,22415,03219,20049,637
2016-12-29$116.97$116.005.9%1.7%5.7%21.8%9.4%1.9%0.5%4.4M-12.0M-534.7K11.8424.591,26314,95419,19449,651
2016-12-30$117.24$116.006.1%1.8%4.8%26.6%6.3%1.1%0.3%10.7M-37.0M-500.1K12.4085.561,25715,58219,14449,649