LQD Options History — July 2017

In July 2017, LQD traded between $119.74 and $121.53. ATM implied volatility averaged 4.5%, 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 0.4% (HV 20d: 4.1%). Max pain ranged from $120.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.36.

Notable Days

2017-07-24: Highest Volume — 72,511 contracts
2017-07-12: Largest IV drop — 14.5% change
2017-07-03: Highest IV Rank — 21.3%
2017-07-03: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.64	$119.74	$121.53	$119.93	$121.10
Max Pain	$131.40	$120.00	$140.00	$134.00	$140.00
ATM IV	4.5%	3.7%	5.4%	5.4%	3.7%
Expected Move	1.3%	1.1%	1.5%	1.5%	1.1%
HV 20d	4.1%	3.8%	4.5%	4.1%	4.2%
HV 60d	3.9%	3.9%	4.1%	4.0%	3.9%
IV Rank	9.3%	0.0%	21.3%	21.3%	0.3%
IV Percentile	10.9%	0.0%	31.0%	31.0%	0.4%
Term Structure	0.0%	-0.4%	0.7%	0.1%	0.7%
VWIV	4.9%	4.2%	5.6%	5.4%	5.1%
Skew 25d	1.0%	0.5%	1.5%	1.5%	0.5%
Skew 10d	2.4%	0.8%	4.0%	4.0%	1.3%
Call IV 25d	4.2%	3.4%	5.1%	4.8%	4.0%
Put IV 25d	5.2%	4.4%	6.3%	6.3%	4.5%
Bid-Ask Spread %	35.13	11.06	103.86	42.27	19.78
Gamma HHI	0.61	0.42	0.81	0.61	0.42
Net GEX	8.1M	2.9M	11.9M	7.0M	2.9M
Net DEX	425.3M	86.3M	831.0M	537.0M	827.8M
Net VEX	-200.7K	-230.6K	-184.6K	-196.7K	-196.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	1.10	1.70	1.32	1.23
Total Volume	42,458.95	21,229	72,511	23,448	61,262
Total OI	107,529.3	72,070	159,723	110,393	159,723

Daily Data (20 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
2017-07-03	$119.93	$134.00	5.4%	1.5%	4.1%	21.3%	5.4%	1.5%	0.1%	7.0M	537.0M	-196.7K	1.32	42.27	10,090	13,358	53,350	57,043
2017-07-05	$120.13	$134.00	5.3%	1.5%	4.1%	20.7%	5.4%	0.8%	-0.4%	5.4M	518.3M	-226.0K	1.33	57.48	10,045	13,356	53,371	55,054
2017-07-06	$119.79	$120.00	5.2%	1.5%	4.1%	18.9%	5.5%	1.4%	-0.3%	5.2M	217.3M	-208.9K	1.34	37.72	9,985	13,360	53,434	30,053
2017-07-07	$119.74	$120.00	4.5%	1.4%	4.1%	7.9%	4.9%	0.9%	-0.2%	5.6M	99.9M	-222.0K	1.10	21.01	12,164	13,374	53,485	18,585
2017-07-10	$119.93	$120.00	5.0%	1.4%	4.1%	14.5%	4.8%	1.2%	-0.4%	7.6M	93.8M	-187.5K	1.66	18.75	8,039	13,372	53,693	18,606
2017-07-11	$119.94	$120.00	5.0%	1.4%	4.1%	15.8%	5.6%	1.0%	-0.3%	7.1M	94.8M	-196.7K	1.70	20.76	7,854	13,375	53,716	18,608
2017-07-12	$120.51	$120.00	4.3%	1.2%	4.5%	4.1%	5.2%	0.9%	0.4%	9.4M	87.9M	-184.6K	1.70	45.36	7,942	13,530	53,713	18,611
2017-07-13	$120.31	$120.00	4.8%	1.4%	3.8%	11.7%	5.2%	1.1%	-0.2%	9.4M	90.3M	-192.5K	1.70	33.11	7,980	13,531	53,820	18,811
2017-07-14	$120.55	$120.00	4.2%	1.2%	3.8%	2.3%	4.8%	1.0%	0.4%	10.0M	87.5M	-194.0K	1.70	21.31	7,997	13,560	53,838	18,831
2017-07-17	$120.68	$120.00	4.3%	1.2%	3.8%	4.6%	4.8%	1.2%	-0.0%	10.8M	86.3M	-194.5K	1.69	12.23	8,017	13,549	53,863	18,857
2017-07-18	$121.16	$140.00	4.5%	1.3%	4.0%	8.1%	4.8%	1.1%	-0.2%	10.7M	680.4M	-189.7K	1.19	11.41	28,046	33,492	73,896	68,371
2017-07-19	$121.13	$140.00	4.2%	1.2%	3.9%	1.8%	4.4%	0.8%	-0.1%	11.9M	681.2M	-226.2K	1.19	11.06	28,007	33,463	73,981	68,393
2017-07-20	$121.25	$140.00	4.2%	1.2%	3.9%	2.7%	4.4%	1.2%	0.1%	11.7M	678.9M	-189.4K	1.19	24.54	28,013	33,469	74,003	68,392
2017-07-21	$121.53	$140.00	3.7%	1.1%	4.0%	0.0%	4.2%	0.5%	0.2%	9.4M	676.7M	-189.6K	1.19	26.39	28,231	33,477	74,019	68,408
2017-07-24	$121.43	$140.00	4.2%	1.2%	4.0%	7.1%	4.6%	1.0%	0.2%	9.5M	360.9M	-188.2K	1.16	33.85	33,541	38,970	39,629	41,675
2017-07-25	$120.71	$140.00	4.4%	1.3%	4.5%	10.6%	4.6%	0.8%	0.1%	9.0M	378.9M	-190.2K	1.22	67.19	27,480	33,522	40,884	42,883
2017-07-26	$121.04	$140.00	4.4%	1.3%	4.3%	11.4%	4.8%	1.1%	0.3%	8.2M	707.9M	-230.6K	1.22	103.86	27,479	33,498	67,909	70,724
2017-07-27	$120.85	$140.00	4.5%	1.3%	4.3%	12.7%	5.0%	1.0%	-0.1%	7.0M	768.3M	-199.4K	1.23	65.70	27,606	33,832	72,913	75,724
2017-07-28	$121.04	$140.00	4.3%	1.2%	4.3%	9.8%	4.9%	0.9%	-0.0%	4.5M	831.0M	-211.7K	1.22	28.75	27,579	33,734	78,039	81,678
2017-07-31	$121.10	$140.00	3.7%	1.1%	4.2%	0.3%	5.1%	0.5%	0.7%	2.9M	827.8M	-196.3K	1.23	19.78	27,532	33,730	78,045	81,678