LQD Options History — April 2017

In April 2017, LQD traded between $117.81 and $119.57. ATM implied volatility averaged 5.5%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.7% (HV 20d: 3.8%). Max pain ranged from $117.00 to $119.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.16.

Notable Days

2017-04-21: Highest Volume — 18,869 contracts
2017-04-12: Largest IV spike — 39.0% change
2017-04-21: Highest IV Rank — 50.7%
2017-04-21: Largest Expected Move — 2.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.65	$117.81	$119.57	$118.06	$118.96
Max Pain	$117.53	$117.00	$119.00	$117.00	$119.00
ATM IV	5.5%	4.5%	7.4%	4.7%	4.5%
Expected Move	1.7%	1.3%	2.1%	1.3%	1.3%
HV 20d	3.8%	3.0%	5.2%	5.2%	3.4%
HV 60d	4.8%	4.5%	5.0%	5.0%	4.5%
IV Rank	19.1%	1.9%	50.7%	4.4%	2.6%
IV Percentile	29.2%	0.8%	84.1%	1.6%	1.2%
Term Structure	0.1%	-0.7%	0.7%	0.6%	0.3%
VWIV	6.1%	4.4%	7.4%	4.7%	4.4%
Skew 25d	0.6%	0.2%	1.1%	0.6%	0.8%
Skew 10d	2.2%	0.2%	6.9%	2.8%	6.9%
Call IV 25d	5.6%	4.4%	7.2%	4.5%	4.4%
Put IV 25d	6.3%	5.1%	7.7%	5.2%	5.2%
Bid-Ask Spread %	65.78	47.11	97.42	92.90	47.11
Gamma HHI	0.22	0.16	0.31	0.18	0.22
Net GEX	4.6M	-1.6M	8.8M	-1.6M	6.7M
Net DEX	-6.6M	-29.9M	44.0M	-182.4K	2.7M
Net VEX	-210.7K	-421.4K	-95.2K	-181.4K	-384.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.49	2.35	2.12	0.50
Total Volume	3,542.474	1,247	18,869	2,072	2,241
Total OI	21,621.632	14,038	41,360	14,038	40,245

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
2017-04-03	$118.06	$117.00	4.7%	1.3%	5.2%	4.4%	4.7%	0.6%	0.6%	-1.6M	-182.4K	-181.4K	2.12	92.90	664	1,408	2,941	11,097
2017-04-04	$117.85	$117.00	5.0%	1.4%	4.8%	10.4%	6.6%	0.2%	0.7%	-1.1M	-316.8K	-190.4K	0.85	78.04	1,677	1,423	3,214	11,099
2017-04-05	$117.98	$117.00	4.8%	1.4%	4.6%	7.0%	5.5%	0.8%	0.7%	708.7K	-2.6M	-205.1K	0.70	97.42	1,715	1,201	4,275	11,134
2017-04-06	$118.07	$117.00	5.0%	1.7%	4.1%	9.7%	5.9%	0.6%	0.0%	1.1M	-4.6M	-202.2K	0.70	57.51	1,636	1,148	4,385	11,236
2017-04-07	$117.81	$117.00	4.5%	1.6%	4.3%	1.9%	5.7%	0.7%	0.3%	2.3M	-7.4M	-183.6K	0.66	55.16	1,640	1,081	4,424	11,245
2017-04-10	$118.01	$117.00	4.8%	1.7%	4.1%	7.0%	6.0%	0.5%	-0.1%	1.7M	-4.1M	-200.8K	0.67	52.28	1,626	1,084	4,446	11,312
2017-04-11	$118.54	$117.00	4.7%	1.8%	4.2%	6.0%	6.6%	0.6%	-0.0%	5.8M	-20.1M	-115.3K	2.04	66.28	561	1,142	4,441	11,321
2017-04-12	$118.84	$117.00	6.6%	1.9%	3.2%	37.6%	6.8%	0.4%	-0.2%	5.0M	-22.0M	-129.0K	2.35	59.64	487	1,142	4,602	11,382
2017-04-13	$119.10	$117.00	6.5%	1.9%	3.1%	35.7%	6.7%	0.3%	0.1%	6.1M	-26.4M	-111.0K	2.28	68.43	489	1,113	4,597	11,411
2017-04-17	$119.19	$117.00	6.5%	1.9%	3.0%	36.2%	7.0%	0.3%	-0.1%	6.6M	-27.1M	-106.0K	1.69	58.55	463	784	4,609	11,402
2017-04-18	$119.57	$117.00	6.5%	1.9%	3.1%	36.2%	7.2%	1.1%	-0.6%	6.1M	-29.9M	-95.2K	1.14	60.99	683	779	4,644	11,401
2017-04-19	$119.26	$117.00	6.5%	1.9%	3.3%	35.5%	6.7%	0.6%	-0.2%	7.3M	-27.7M	-104.7K	1.40	66.29	554	777	4,751	11,408
2017-04-20	$119.05	$117.00	6.8%	1.9%	3.4%	40.6%	7.0%	1.1%	-0.4%	6.6M	-22.2M	-129.9K	1.56	73.29	502	782	4,710	11,412
2017-04-21	$119.11	$117.00	7.4%	2.1%	3.4%	50.7%	7.4%	0.5%	-0.7%	8.8M	-21.8M	-134.7K	1.02	58.66	9,335	9,534	4,750	11,422
2017-04-24	$118.92	$119.00	5.2%	1.5%	3.5%	13.8%	5.2%	0.4%	0.4%	5.2M	-1.9M	-299.6K	0.86	68.84	6,881	5,923	12,716	17,020
2017-04-25	$118.45	$119.00	4.8%	1.4%	3.7%	7.4%	5.3%	0.7%	0.4%	6.6M	44.0M	-421.4K	0.49	57.60	1,544	750	19,160	22,200
2017-04-26	$118.75	$119.00	5.2%	1.5%	3.7%	14.0%	5.8%	1.1%	-0.1%	6.1M	31.5M	-403.1K	0.49	58.56	1,518	750	17,964	22,214
2017-04-27	$118.85	$119.00	4.7%	1.4%	3.6%	5.5%	5.1%	1.0%	0.1%	6.8M	15.8M	-405.5K	0.49	72.27	1,522	748	17,997	22,224
2017-04-28	$118.96	$119.00	4.5%	1.3%	3.4%	2.6%	4.4%	0.8%	0.3%	6.7M	2.7M	-384.4K	0.50	47.11	1,496	745	18,021	22,224