LQD Options History — January 2017

In January 2017, LQD traded between $117.03 and $118.28. ATM implied volatility averaged 6.5%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.6% (HV 20d: 5.0%). Max pain ranged from $116.00 to $118.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 8.87.

Notable Days

  • 2017-01-20: Highest Volume — 26,995 contracts
  • 2017-01-25: Largest IV drop — 8.5% change
  • 2017-01-18: Highest IV Rank — 43.7%
  • 2017-01-18: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.61$117.03$118.28$117.34$117.39
Max Pain$117.30$116.00$118.00$116.00$117.00
ATM IV6.5%6.0%7.1%6.9%6.4%
Expected Move1.9%1.8%2.0%2.0%1.8%
HV 20d5.0%4.2%5.6%4.6%5.3%
HV 60d5.8%5.6%6.0%5.6%6.0%
IV Rank33.7%24.8%43.7%39.5%30.7%
IV Percentile58.9%42.5%74.2%66.7%54.4%
Term Structure0.3%-0.0%0.5%0.2%0.5%
VWIV6.8%6.3%9.3%9.3%6.4%
Skew 25d1.5%0.6%1.8%1.8%0.6%
Skew 10d3.5%1.5%9.6%3.9%9.6%
Call IV 25d6.1%5.9%6.5%5.9%6.1%
Put IV 25d7.6%6.7%8.2%7.8%6.7%
Bid-Ask Spread %90.5823.40108.8194.3795.54
Gamma HHI0.380.200.690.200.40
Net GEX17.8M-34.9M62.8M7.5M-22.8M
Net DEX-43.1M-136.7M74.5M-34.7M25.0M
Net VEX-430.7K-625.9K-282.7K-501.2K-482.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.871.3230.394.431.73
Total Volume13,571.851,23926,99518,4371,456
Total OI64,729.5530,99880,26169,91553,092

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$117.34$116.006.9%2.0%4.6%39.5%9.3%1.8%0.2%7.5M-34.7M-501.2K4.4394.373,39615,04119,63350,282
2017-01-04$117.59$116.006.3%1.8%4.6%30.2%6.6%1.5%0.3%13.0M-53.6M-475.4K4.7696.793,57417,00319,63350,333
2017-01-05$118.28$117.006.4%1.9%5.0%32.2%7.0%1.8%0.3%16.8M-97.5M-438.8K6.1968.972,23013,80720,50352,326
2017-01-06$117.73$117.006.1%1.9%5.1%26.6%6.4%1.7%0.2%13.7M-61.1M-480.8K18.0523.4072313,05020,52353,162
2017-01-09$117.91$118.006.1%1.8%4.8%25.7%6.5%1.7%0.5%25.3M-87.3M-418.6K18.1175.5572113,05620,69653,256
2017-01-10$117.82$118.006.0%1.9%4.6%24.8%6.5%1.4%0.2%32.9M-94.4M-382.7K8.2377.431,70514,03320,71253,257
2017-01-11$118.00$118.006.5%1.9%4.5%33.4%6.6%1.4%0.3%38.1M-101.4M-359.3K8.3391.621,68514,03921,71354,276
2017-01-12$118.05$118.006.5%1.9%4.5%34.0%6.5%1.4%0.3%44.3M-111.7M-336.2K6.0896.872,30113,99521,94554,292
2017-01-13$117.78$118.006.4%1.8%4.2%31.0%7.1%1.4%0.2%56.4M-92.0M-353.6K8.4094.871,66613,99122,79254,314
2017-01-17$118.28$118.006.8%1.9%4.3%38.4%7.0%1.8%0.2%53.2M-136.7M-282.7K13.7995.441,01513,99322,76054,315
2017-01-18$117.47$118.007.1%2.0%5.1%43.7%6.6%1.6%-0.0%62.8M-79.1M-306.6K6.7298.172,29515,41222,91453,794
2017-01-19$117.15$118.007.0%2.0%5.0%42.1%6.9%1.7%0.2%55.8M-39.7M-292.4K3.6993.994,57216,87223,38753,786
2017-01-20$117.26$117.006.7%1.9%5.0%35.8%6.6%1.6%0.4%49.0M-57.6M-307.5K1.58102.5910,45716,53825,01055,251
2017-01-23$117.90$117.006.7%1.9%5.3%36.5%7.0%1.6%0.1%13.0M-51.5M-430.3K1.5695.2348475517,29513,747
2017-01-24$117.49$117.007.0%2.0%5.4%42.9%7.7%1.6%0.1%13.5M-28.5M-424.0K30.3999.8351815,74317,28113,717
2017-01-25$117.03$117.006.4%1.8%5.6%32.1%6.4%1.5%0.3%-16.1M46.6M-555.2K13.63108.815297,21017,31528,764
2017-01-26$117.21$117.006.5%1.9%5.6%33.6%6.5%1.6%0.2%-33.1M74.5M-625.9K10.0999.807207,26217,35135,317
2017-01-27$117.39$117.006.2%1.8%5.4%28.1%6.3%1.0%0.5%-32.6M52.1M-594.6K10.37104.487007,26217,57635,290
2017-01-30$117.16$117.006.5%1.9%5.4%32.5%6.7%1.1%0.3%-34.9M67.3M-566.0K1.3297.8970192717,69135,290
2017-01-31$117.39$117.006.4%1.8%5.3%30.7%6.4%0.6%0.5%-22.8M25.0M-482.9K1.7395.5453492217,59335,499