LQD Options History — February 2017

In February 2017, LQD traded between $116.83 and $118.85. ATM implied volatility averaged 5.7%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.0% (HV 20d: 4.8%). Max pain ranged from $117.00 to $118.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 4.62.

Notable Days

2017-02-17: Highest Volume — 26,867 contracts
2017-02-08: Largest IV spike — 13.3% change
2017-02-14: Highest IV Rank — 28.3%
2017-02-02: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.65	$116.83	$118.85	$116.83	$118.54
Max Pain	$117.42	$117.00	$118.00	$117.00	$117.00
ATM IV	5.7%	5.3%	6.2%	6.2%	5.7%
Expected Move	1.7%	1.5%	1.9%	1.8%	1.6%
HV 20d	4.8%	3.7%	5.6%	5.6%	4.3%
HV 60d	5.4%	5.0%	6.1%	6.1%	5.1%
IV Rank	19.8%	11.2%	28.3%	28.2%	18.2%
IV Percentile	33.0%	10.7%	54.0%	50.0%	33.7%
Term Structure	0.2%	-0.5%	0.7%	0.4%	-0.4%
VWIV	6.1%	5.6%	6.6%	6.4%	5.7%
Skew 25d	1.2%	0.9%	1.6%	0.9%	1.6%
Skew 10d	2.7%	-0.4%	9.8%	1.6%	9.8%
Call IV 25d	5.5%	5.0%	6.0%	6.0%	5.1%
Put IV 25d	6.7%	5.9%	7.4%	6.9%	6.6%
Bid-Ask Spread %	90.44	79.79	103.47	103.47	96.67
Gamma HHI	0.45	0.29	0.73	0.35	0.44
Net GEX	-21.2M	-79.3M	19.2M	-38.1M	19.2M
Net DEX	-24.6M	-162.7M	72.4M	70.6M	-162.7M
Net VEX	-408.0K	-534.5K	-243.3K	-534.5K	-277.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.62	0.71	27.10	1.24	0.99
Total Volume	5,422.474	1,157	26,867	2,363	2,216
Total OI	54,734.474	47,047	62,983	53,089	47,477

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$116.83	$117.00	6.2%	1.8%	5.6%	28.2%	6.4%	0.9%	0.4%	-38.1M	70.6M	-534.5K	1.24	103.47	1,055	1,308	17,586	35,503
2017-02-02	$116.93	$118.00	6.0%	1.9%	5.5%	25.0%	6.5%	1.3%	0.1%	-37.4M	58.8M	-533.6K	1.30	80.12	1,053	1,373	18,255	36,112
2017-02-03	$117.01	$118.00	5.3%	1.8%	5.1%	12.3%	6.4%	1.4%	0.4%	-37.2M	53.0M	-502.6K	6.13	85.84	500	3,063	18,303	36,207
2017-02-06	$117.44	$118.00	5.4%	1.8%	5.0%	14.3%	6.6%	1.3%	0.2%	-26.5M	-10.3M	-457.5K	5.09	84.45	480	2,444	18,290	37,906
2017-02-07	$117.61	$118.00	5.5%	1.7%	5.0%	14.8%	5.9%	1.6%	0.6%	-24.3M	-15.2M	-462.3K	6.69	83.38	522	3,492	18,355	37,914
2017-02-08	$118.01	$118.00	6.2%	1.8%	5.2%	27.9%	6.3%	1.5%	0.1%	-14.3M	-57.1M	-412.4K	7.17	79.79	487	3,492	18,448	38,952
2017-02-09	$117.51	$118.00	5.9%	1.7%	5.4%	23.3%	6.2%	1.4%	0.7%	-26.1M	-14.1M	-430.5K	2.13	88.76	2,965	6,317	18,518	38,973
2017-02-10	$117.49	$118.00	6.2%	1.8%	5.4%	27.3%	5.9%	1.1%	0.6%	-35.3M	-8.7M	-410.3K	13.58	86.78	467	6,341	19,541	40,964
2017-02-13	$117.42	$118.00	6.2%	1.8%	5.3%	27.6%	6.1%	1.4%	0.3%	-40.6M	7.1M	-358.3K	2.23	85.63	3,359	7,487	19,558	40,976
2017-02-14	$117.19	$117.00	6.2%	1.8%	5.1%	28.3%	6.2%	1.3%	0.2%	-52.0M	64.9M	-373.1K	1.34	89.66	1,907	2,560	19,580	40,977
2017-02-15	$117.09	$117.00	5.8%	1.6%	4.5%	19.8%	6.3%	1.1%	0.5%	-79.3M	72.4M	-303.9K	2.57	92.42	486	1,251	19,545	41,010
2017-02-16	$117.44	$117.00	5.7%	1.6%	4.5%	18.6%	5.7%	1.0%	0.5%	-39.4M	-16.3M	-270.7K	1.35	92.03	1,962	2,650	19,551	41,049
2017-02-17	$117.68	$117.00	5.3%	1.5%	4.6%	11.2%	5.6%	0.9%	0.6%	-25.6M	-53.7M	-243.3K	0.71	86.01	15,669	11,198	20,947	42,036
2017-02-21	$117.76	$117.00	5.3%	1.5%	4.1%	12.5%	6.0%	1.1%	0.1%	8.3M	-55.1M	-470.2K	27.10	96.89	405	10,976	22,769	24,278
2017-02-22	$117.82	$117.00	5.4%	1.5%	3.9%	13.1%	5.6%	1.1%	0.1%	8.5M	-52.5M	-487.7K	1.93	98.36	404	778	22,806	24,484
2017-02-23	$118.18	$117.00	5.5%	1.6%	3.7%	15.2%	6.3%	1.1%	-0.1%	10.8M	-87.5M	-444.2K	1.77	90.52	561	993	22,844	24,510
2017-02-24	$118.85	$117.00	5.5%	1.6%	4.1%	14.7%	5.9%	1.1%	0.0%	13.4M	-140.1M	-388.0K	1.67	97.95	433	724	23,059	24,763
2017-02-27	$118.47	$117.00	5.9%	1.7%	4.4%	23.1%	6.0%	1.2%	-0.5%	13.6M	-120.9M	-391.3K	2.83	99.67	430	1,219	23,147	24,762
2017-02-28	$118.54	$117.00	5.7%	1.6%	4.3%	18.2%	5.7%	1.6%	-0.4%	19.2M	-162.7M	-277.0K	0.99	96.67	1,116	1,100	23,144	24,333