LQD Options History — May 2017

In May 2017, LQD traded between $118.17 and $120.17. ATM implied volatility averaged 4.6%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.8% (HV 20d: 3.9%). Max pain ranged from $118.00 to $119.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 8.64.

Notable Days

  • 2017-05-25: Highest Volume — 9,328 contracts
  • 2017-05-17: Largest IV spike — 13.9% change
  • 2017-05-30: Highest IV Rank — 12.4%
  • 2017-05-04: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.15$118.17$120.17$118.37$120.17
Max Pain$118.32$118.00$119.00$119.00$119.00
ATM IV4.6%4.2%5.1%4.7%4.6%
Expected Move1.3%1.2%1.5%1.3%1.3%
HV 20d3.9%3.3%4.2%3.9%3.3%
HV 60d4.5%4.2%4.7%4.7%4.2%
IV Rank4.9%0.0%12.4%4.4%6.1%
IV Percentile4.9%0.0%15.1%2.0%4.4%
Term Structure0.2%-0.2%0.6%0.6%0.3%
VWIV4.9%3.7%5.6%4.7%4.3%
Skew 25d0.8%0.0%1.6%0.2%0.3%
Skew 10d2.2%-0.1%3.6%-0.1%1.2%
Call IV 25d4.4%3.5%4.9%4.8%4.6%
Put IV 25d5.2%4.7%5.5%5.0%4.9%
Bid-Ask Spread %40.1918.1277.9666.5826.33
Gamma HHI0.380.250.620.280.51
Net GEX3.6M-6.9M28.1M4.1M-6.9M
Net DEX-10.6M-222.7M111.0M55.7M-26.0M
Net VEX-215.2K-390.9K-65.8K-341.5K-65.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.640.6520.291.429.56
Total Volume5,642.5911,0669,3282,5376,503
Total OI40,668.522,60055,04640,57526,084

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$118.37$119.004.7%1.3%3.9%4.4%4.7%0.2%0.6%4.1M55.7M-341.5K1.4266.581,0471,49017,84322,732
2017-05-02$118.65$119.004.7%1.3%4.0%4.8%4.8%1.6%-0.0%6.1M26.7M-390.9K2.5847.3229877018,59023,500
2017-05-03$118.57$119.004.5%1.3%3.9%1.0%4.6%0.0%0.0%7.4M16.4M-368.2K2.7477.4028578118,66323,533
2017-05-04$118.36$118.004.7%1.5%4.0%5.8%5.6%0.5%0.2%4.2M66.6M-336.7K20.2939.652845,76118,61323,514
2017-05-05$118.39$118.004.7%1.4%4.0%5.8%5.5%0.6%0.6%-2.6M83.2M-356.4K6.6543.359746,47918,61728,514
2017-05-08$118.20$118.004.6%1.4%3.9%3.4%5.5%0.7%0.2%-4.8M101.7M-317.7K5.7829.441,1176,45819,32929,229
2017-05-09$118.17$118.004.5%1.4%3.9%2.7%5.6%0.6%0.3%-4.8M111.0M-289.6K5.7437.321,0015,74819,47329,233
2017-05-10$118.31$118.004.7%1.3%3.6%4.8%5.3%0.9%0.1%-2.9M101.7M-309.4K5.7456.071,0015,74719,50629,254
2017-05-11$118.45$118.004.7%1.4%3.5%5.9%4.7%0.8%0.6%780.5K107.8M-261.7K0.6948.491,06073219,50629,251
2017-05-12$119.05$118.004.6%1.3%3.9%3.8%4.4%0.7%0.2%14.5M-26.9M-298.7K0.6521.371,13573719,60729,253
2017-05-15$119.03$118.004.5%1.3%3.8%1.2%4.5%0.4%0.4%24.4M-31.5M-242.9K0.6818.121,14878420,41829,249
2017-05-16$119.17$118.004.5%1.3%3.7%1.1%3.7%1.0%0.4%28.1M-82.7M-211.3K4.6820.631,2305,75220,44529,295
2017-05-17$119.92$118.005.1%1.5%4.2%11.8%5.1%1.1%-0.0%6.9M-220.8M-89.0K8.9527.386435,75220,56134,344
2017-05-18$119.92$118.004.9%1.4%4.1%8.3%4.9%0.5%0.3%4.1M-222.3M-88.1K9.4924.906065,75220,70234,344
2017-05-19$119.94$118.004.8%1.4%4.1%6.6%5.1%0.4%0.4%5.8M-222.7M-82.6K12.6735.414575,79120,69734,339
2017-05-22$119.86$118.004.8%1.4%4.1%7.0%4.7%0.9%0.0%3.6M-18.8M-84.6K9.2919.966165,7243,70418,896
2017-05-23$119.51$118.004.5%1.3%4.0%2.5%4.8%0.8%0.2%815.8K-6.8M-179.0K12.1662.794735,7503,92518,905
2017-05-24$119.70$118.004.6%1.3%3.9%3.6%4.9%0.8%0.2%4.8M-18.7M-88.3K19.0255.424648,8244,00218,925
2017-05-25$119.69$119.004.2%1.2%3.9%0.0%4.7%1.5%0.5%-5.9M-5.7M-117.7K19.0630.224658,8634,00122,002
2017-05-26$119.81$119.004.5%1.3%3.9%4.5%4.9%1.6%0.0%-5.0M-8.3M-112.6K19.4377.964568,8594,00622,043
2017-05-30$120.02$119.005.0%1.4%3.4%12.4%5.1%0.8%-0.2%-3.6M-12.3M-101.0K12.7718.154595,8614,01822,042
2017-05-31$120.17$119.004.6%1.3%3.3%6.1%4.3%0.3%0.3%-6.9M-26.0M-65.8K9.5626.336165,8874,02822,056