LQD Options History — August 2017

In August 2017, LQD traded between $120.24 and $121.64. ATM implied volatility averaged 4.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.0% (HV 20d: 3.5%). Max pain ranged from $120.00 to $140.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-08-07: Highest Volume — 92,213 contracts
  • 2017-08-08: Largest IV spike — 24.9% change
  • 2017-08-10: Highest IV Rank — 23.2%
  • 2017-08-10: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.84$120.24$121.64$121.18$121.64
Max Pain$133.26$120.00$140.00$140.00$135.00
ATM IV4.6%3.9%5.2%4.7%4.0%
Expected Move1.3%1.2%1.5%1.3%1.2%
HV 20d3.5%3.0%4.2%3.8%3.1%
HV 60d3.9%3.6%4.0%3.9%3.6%
IV Rank13.5%3.8%23.2%14.8%4.9%
IV Percentile16.8%0.8%36.5%17.5%1.2%
Term Structure0.3%-0.1%0.6%0.0%0.5%
VWIV4.9%4.2%5.8%4.5%4.2%
Skew 25d0.9%0.4%2.2%1.1%2.2%
Skew 10d2.5%0.0%14.2%2.6%14.2%
Call IV 25d4.3%3.8%5.0%3.8%4.1%
Put IV 25d5.2%4.8%6.3%4.9%6.3%
Bid-Ask Spread %25.1210.0854.1020.2317.19
Gamma HHI0.520.420.640.450.61
Net GEX-12.6M-36.4M9.9M5.4M9.9M
Net DEX517.3M142.7M825.8M825.8M641.8M
Net VEX-262.0K-338.5K-181.1K-204.0K-181.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.921.271.191.24
Total Volume51,610.95726,23892,21360,30026,475
Total OI141,215.913103,655212,747159,684138,098

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$121.18$140.004.7%1.3%3.8%14.8%4.5%1.1%0.0%5.4M825.8M-204.0K1.1920.2327,57132,72977,99181,693
2017-08-02$121.01$135.004.6%1.3%3.8%13.6%4.2%1.1%-0.1%5.8M146.4M-202.8K1.0013.3527,75827,74078,05725,598
2017-08-03$121.20$120.004.3%1.3%3.7%9.3%5.0%1.2%0.5%7.4M142.7M-196.8K0.9250.4927,87925,57078,25925,577
2017-08-04$120.72$120.003.9%1.2%4.0%3.8%4.8%1.0%0.4%4.9M152.5M-204.4K1.0616.4527,59429,11978,33825,861
2017-08-07$120.70$120.004.1%1.2%4.0%6.7%4.7%1.4%0.3%-9.2M165.4M-279.3K0.9617.9347,13845,07578,42929,476
2017-08-08$120.24$135.005.2%1.3%4.2%22.4%5.1%1.6%0.4%-17.0M473.4M-251.5K0.9331.5929,82527,84398,00753,944
2017-08-09$120.40$135.004.9%1.4%3.9%19.0%5.0%0.8%0.1%-16.6M469.6M-297.6K0.9427.5929,76327,891100,17254,134
2017-08-10$120.41$135.005.2%1.5%3.9%23.2%5.3%0.4%-0.1%-16.0M469.5M-268.6K0.9454.1029,76927,88798,19854,197
2017-08-11$120.48$135.005.0%1.4%3.8%20.3%5.5%0.6%0.2%-17.1M461.4M-225.0K0.9422.2129,77527,83998,20454,206
2017-08-14$120.44$135.004.8%1.4%3.8%16.5%4.8%0.6%0.4%-17.2M486.0M-271.9K0.9343.9129,94227,857100,21656,209
2017-08-15$120.25$135.004.8%1.4%3.5%16.6%5.2%1.0%0.2%-32.6M493.9M-268.9K0.9418.3636,86534,653100,17456,219
2017-08-16$120.59$135.004.5%1.3%3.7%12.6%4.7%0.7%0.2%-8.3M581.7M-223.7K1.1622.8537,07342,896109,20565,226
2017-08-17$120.75$135.004.5%1.3%3.7%12.9%5.1%0.8%0.5%-34.2M617.7M-316.3K1.1424.5443,03948,899109,49673,225
2017-08-18$120.67$135.004.5%1.3%3.6%13.0%4.8%0.9%0.2%-36.4M800.1M-322.7K0.9514.8642,89040,666124,51488,233
2017-08-21$120.82$135.004.5%1.3%3.6%12.9%4.8%0.7%0.5%-16.8M546.4M-334.6K1.1810.0815,82118,61652,74363,064
2017-08-22$120.67$135.004.5%1.3%3.0%11.8%4.6%0.7%0.4%-17.1M551.1M-338.5K1.1812.6315,81418,62452,69663,102
2017-08-23$121.08$135.004.4%1.3%3.0%11.5%4.7%0.6%0.6%-14.4M539.5M-304.3K1.2414.3611,80614,62352,70463,124
2017-08-24$120.92$135.004.7%1.3%3.0%15.0%5.1%0.6%0.3%-15.9M672.8M-283.7K1.2436.0511,78914,63463,73574,123
2017-08-25$121.21$135.004.6%1.3%3.1%13.4%4.9%0.7%0.3%-14.2M665.9M-250.3K1.2518.3611,74514,62463,73774,137
2017-08-28$121.19$135.004.4%1.2%3.1%10.2%5.3%1.3%0.5%-14.2M669.2M-281.4K1.2433.2911,73814,52963,73274,137
2017-08-29$121.36$135.004.5%1.3%3.1%11.6%5.8%0.8%0.5%-13.5M664.7M-288.6K1.2236.5311,88414,54763,72574,146
2017-08-30$121.37$135.004.6%1.3%3.1%13.9%4.8%0.8%0.5%-12.6M660.8M-229.8K1.2720.8311,57314,66563,75274,153
2017-08-31$121.64$135.004.0%1.2%3.1%4.9%4.2%2.2%0.5%9.9M641.8M-181.1K1.2417.1911,83914,63663,84474,254