LQD Options History — June 2017

In June 2017, LQD traded between $119.92 and $121.41. ATM implied volatility averaged 4.7%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.8% (HV 20d: 4.0%). Max pain ranged from $119.00 to $134.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.77.

Notable Days

  • 2017-06-09: Highest Volume — 65,633 contracts
  • 2017-06-14: Largest IV drop — 33.5% change
  • 2017-06-13: Highest IV Rank — 41.6%
  • 2017-06-30: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.64$119.92$121.41$119.92$120.49
Max Pain$129.32$119.00$134.00$119.00$134.00
ATM IV4.7%4.0%6.7%4.8%5.0%
Expected Move1.3%1.2%1.4%1.4%1.4%
HV 20d4.0%3.5%4.4%3.5%3.9%
HV 60d3.8%3.6%4.1%4.0%3.9%
IV Rank9.3%0.0%41.6%9.0%14.9%
IV Percentile12.3%0.0%72.6%11.1%21.4%
Term Structure0.2%-0.1%0.6%0.0%0.1%
VWIV4.9%4.3%5.6%4.8%4.9%
Skew 25d0.9%0.5%1.6%0.6%1.4%
Skew 10d2.4%-0.0%6.4%2.3%6.4%
Call IV 25d4.2%3.5%4.7%4.6%4.0%
Put IV 25d5.1%4.4%6.1%5.2%5.3%
Bid-Ask Spread %36.6617.9866.0040.1237.71
Gamma HHI0.380.270.500.450.45
Net GEX2.4M-2.4M6.2M-2.4M4.2M
Net DEX328.5M-32.1M559.6M-16.1M548.7M
Net VEX-77.7K-213.1K-47.0K-91.9K-131.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.770.8811.439.671.33
Total Volume17,084.0916,54065,6336,61423,403
Total OI77,383.86426,057109,18526,057107,738

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$119.92$119.004.8%1.4%3.5%9.0%4.8%0.6%0.0%-2.4M-16.1M-91.9K9.6740.126205,9943,96922,088
2017-06-02$120.55$119.004.4%1.3%3.7%3.0%4.5%1.0%0.4%1.8M-29.3M-70.5K10.9724.045486,0124,11222,159
2017-06-05$120.24$119.005.2%1.3%3.9%16.3%5.0%0.8%0.1%1.3M-26.1M-75.8K11.4317.985286,0354,16222,116
2017-06-06$120.58$119.004.7%1.3%3.9%8.8%5.4%0.6%0.2%3.6M-32.1M-65.1K11.2630.205376,0494,17022,178
2017-06-07$120.37$119.005.3%1.4%4.0%17.7%5.6%0.9%0.1%3.3M-29.6M-68.7K11.1828.525376,0034,17622,198
2017-06-08$120.17$120.005.0%1.4%4.1%13.1%5.5%0.8%0.0%3.1M-25.7M-83.8K10.9527.645536,0534,20122,207
2017-06-09$120.03$120.005.1%1.3%4.1%14.3%4.7%0.7%0.4%1.4M-21.6M-78.4K1.0129.4432,63432,9994,20422,218
2017-06-12$120.08$134.006.2%1.3%3.8%32.8%5.0%0.8%0.0%4.4M358.5M-84.1K1.0543.908,0748,47436,29154,199
2017-06-13$120.17$134.006.7%1.3%3.8%41.6%5.5%0.9%0.2%6.2M445.1M-60.9K1.0546.988,0468,47443,82161,721
2017-06-14$120.98$134.004.5%1.3%4.4%4.4%4.6%0.5%0.3%1.8M436.0M-47.0K1.0466.008,1978,48943,82761,724
2017-06-15$120.75$134.004.4%1.3%4.0%3.4%4.5%0.5%0.2%2.4M435.5M-53.4K1.0423.468,1848,50543,93661,781
2017-06-16$120.86$134.004.3%1.2%4.0%1.2%4.6%0.6%0.4%2.8M436.0M-54.2K0.8825.729,6628,53443,94361,810
2017-06-19$120.70$134.004.2%1.2%4.0%0.0%4.6%0.8%0.4%1.7M466.4M-59.1K1.0224.888,1148,28241,36347,103
2017-06-20$121.00$134.004.3%1.2%4.1%2.5%4.6%0.7%0.2%1.6M468.1M-77.5K1.0650.638,0168,50641,39047,168
2017-06-21$121.00$134.004.3%1.2%3.9%2.4%4.4%0.7%0.2%1.3M467.2M-61.0K1.0427.548,2168,50941,40947,412
2017-06-22$121.17$134.004.2%1.2%3.9%0.1%4.3%0.7%0.3%2.2M557.2M-61.9K1.0356.058,2648,49749,12354,923
2017-06-23$121.15$134.004.0%1.2%3.9%0.0%4.7%1.2%0.4%2.1M557.2M-63.5K1.0619.348,0598,52049,12354,925
2017-06-26$121.41$134.004.2%1.2%3.9%2.8%4.6%0.9%0.5%2.4M556.9M-60.8K1.0735.937,9688,51049,18954,981
2017-06-27$120.88$134.004.2%1.2%4.3%1.6%4.8%1.6%0.6%2.3M557.3M-65.0K1.3065.547,94310,28949,19555,011
2017-06-28$120.96$134.004.3%1.2%4.2%4.0%4.7%1.3%0.4%2.4M558.8M-82.7K1.1349.269,94011,19849,20156,795
2017-06-29$120.63$134.004.7%1.4%4.3%10.8%5.4%1.5%-0.1%1.7M559.6M-213.1K1.4035.559,93413,94151,22657,959
2017-06-30$120.49$134.005.0%1.4%3.9%14.9%4.9%1.4%0.1%4.2M548.7M-131.9K1.3337.7110,04313,36051,22756,511