LQD Options History — March 2017

In March 2017, LQD traded between $115.65 and $118.07. ATM implied volatility averaged 5.7%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.1% (HV 20d: 5.6%). Max pain ranged from $116.00 to $118.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.71.

Notable Days

  • 2017-03-09: Highest Volume — 7,944 contracts
  • 2017-03-15: Largest IV drop — 40.6% change
  • 2017-03-14: Highest IV Rank — 69.3%
  • 2017-03-01: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.07$115.65$118.07$117.55$117.90
Max Pain$116.52$116.00$118.00$118.00$117.00
ATM IV5.7%4.4%8.5%6.3%4.4%
Expected Move1.5%1.3%1.8%1.8%1.3%
HV 20d5.6%5.0%6.3%5.3%5.2%
HV 60d5.1%5.0%5.3%5.1%5.2%
IV Rank18.8%0.0%69.3%30.6%0.0%
IV Percentile31.1%0.0%96.4%61.1%0.0%
Term Structure0.4%-1.0%1.0%-1.0%0.9%
VWIV5.5%4.4%6.6%5.2%4.4%
Skew 25d1.0%0.4%1.7%0.9%0.4%
Skew 10d2.7%-0.0%8.9%-0.0%8.9%
Call IV 25d4.9%4.4%6.0%6.0%4.5%
Put IV 25d5.9%5.0%6.9%6.9%5.0%
Bid-Ask Spread %66.8923.5396.6395.1933.23
Gamma HHI0.390.170.870.470.17
Net GEX-41.5M-187.5M1.7M-31.2M1.7M
Net DEX73.2M-8.5M204.3M42.7M-8.5M
Net VEX-227.1K-300.7K-96.2K-299.2K-105.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.710.765.450.833.77
Total Volume2,709.3049017,9442,8651,822
Total OI27,337.08713,55741,18534,17714,107

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$117.55$118.006.3%1.8%5.3%30.6%5.2%0.9%-1.0%-31.2M42.7M-299.2K0.8395.191,5651,3009,77824,399
2017-03-02$117.36$118.005.9%1.7%5.0%22.7%5.2%0.7%-0.4%-37.8M50.5M-289.3K0.8088.061,5101,2089,94024,732
2017-03-03$117.45$118.006.0%1.7%5.0%23.9%5.4%1.7%-0.5%-39.6M52.6M-276.0K0.7696.631,5131,1519,94724,752
2017-03-06$117.27$117.006.4%1.6%5.0%31.1%5.1%1.1%0.2%-42.8M58.8M-249.5K0.7680.771,5151,1499,95124,745
2017-03-07$116.67$117.006.1%1.5%5.2%26.3%5.6%1.5%0.4%-57.7M106.9M-257.4K1.9684.841,4422,8299,96124,746
2017-03-08$116.32$117.006.7%1.6%5.2%36.4%5.7%1.6%0.2%-59.8M135.0M-236.4K2.8180.891,3103,6789,93126,318
2017-03-09$115.75$116.007.9%1.7%5.2%58.2%6.5%1.2%0.6%-49.9M174.2M-256.6K5.1482.611,2936,6519,83226,451
2017-03-10$115.99$116.006.4%1.6%5.2%32.0%5.8%0.9%0.5%-63.8M182.7M-300.7K2.4676.021,2933,1839,89929,860
2017-03-13$115.65$116.007.8%1.7%5.2%55.7%6.1%1.3%0.2%-58.4M195.9M-300.2K2.3385.151,2943,0219,90731,156
2017-03-14$115.72$116.008.5%1.7%5.3%69.3%6.6%1.1%0.3%-53.4M204.3M-287.2K1.8273.611,2902,3489,91931,189
2017-03-15$116.75$116.005.1%1.5%6.2%7.6%5.6%1.3%0.8%-116.6M146.7M-282.3K4.6995.665102,3919,92231,192
2017-03-16$116.55$116.004.9%1.4%6.3%5.2%5.9%1.2%0.7%-127.9M149.9M-264.2K2.6229.754821,2649,96731,198
2017-03-17$116.77$116.005.0%1.4%6.2%6.5%5.3%1.0%0.4%-187.5M152.8M-227.4K2.0583.976581,3519,97531,210
2017-03-20$117.08$116.004.7%1.4%6.2%1.7%5.7%1.1%0.9%-8.4M17.4M-227.7K2.1776.893066632,30911,248
2017-03-21$117.34$116.005.0%1.4%6.3%7.0%5.0%1.0%0.6%-5.6M8.6M-188.4K1.5126.674236392,42511,344
2017-03-22$117.62$116.004.8%1.4%6.3%3.1%5.5%0.7%0.9%-6.0M11.2M-217.7K2.1665.185111,1052,53411,329
2017-03-23$117.67$116.005.0%1.4%6.2%7.2%5.0%0.7%0.8%-5.1M10.5M-218.3K2.2488.392786232,71410,905
2017-03-24$117.71$116.004.9%1.4%5.8%4.5%5.1%0.5%0.6%-3.2M4.0M-179.4K2.4336.073117572,73510,885
2017-03-27$117.96$116.004.7%1.4%5.8%1.8%6.1%0.7%0.8%185.8K-4.7M-130.5K3.9741.083541,4052,77410,949
2017-03-28$117.70$116.004.6%1.3%5.9%0.0%5.4%0.6%1.0%-3.3M5.2M-199.9K5.4523.532971,6182,85810,828
2017-03-29$118.07$117.004.7%1.3%5.1%0.9%5.6%0.7%0.8%1.2M-8.5M-96.2K4.8864.183361,6412,90411,040
2017-03-30$117.78$117.004.4%1.3%5.2%0.0%4.7%0.6%0.7%779.6K-4.9M-134.3K4.6430.213591,6672,95211,036
2017-03-31$117.90$117.004.4%1.3%5.2%0.0%4.4%0.4%0.9%1.7M-8.5M-105.5K3.7733.233821,4403,01411,093