LQD Options History — September 2017

In September 2017, LQD traded between $120.62 and $121.59. ATM implied volatility averaged 4.4%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded below realized volatility by 0.2% (HV 20d: 4.6%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2017-09-15: Highest Volume — 106,249 contracts
  • 2017-09-12: Largest IV drop — 28.5% change
  • 2017-09-11: Highest IV Rank — 21.8%
  • 2017-09-05: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.06$120.62$121.59$120.84$121.25
Max Pain$133.50$125.00$135.00$135.00$125.00
ATM IV4.4%3.7%5.1%4.0%4.2%
Expected Move1.3%1.1%1.4%1.2%1.2%
HV 20d4.6%3.7%4.9%3.7%4.8%
HV 60d4.0%3.9%4.2%3.9%3.9%
IV Rank11.5%0.0%21.8%5.2%7.4%
IV Percentile16.5%0.0%42.5%1.6%4.4%
Term Structure0.2%-0.0%0.7%0.7%0.1%
VWIV5.0%3.3%8.7%4.3%4.3%
Skew 25d0.7%0.3%1.3%0.5%0.3%
Skew 10d1.7%0.4%3.6%0.4%0.7%
Call IV 25d4.3%3.5%5.0%4.3%4.1%
Put IV 25d4.9%4.3%5.6%4.8%4.4%
Bid-Ask Spread %21.4311.3249.0724.2311.32
Gamma HHI0.390.280.550.550.35
Net GEX-13.1M-29.2M19.7M-19.2M-16.0M
Net DEX711.8M571.1M896.6M664.6M864.0M
Net VEX-702.1K-1.3M-221.9K-289.1K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.981.791.091.37
Total Volume69,399.126,093106,24966,51726,093
Total OI182,913.6137,768226,981137,768226,981

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$120.84$135.004.0%1.2%3.7%5.2%4.3%0.5%0.7%-19.2M664.6M-289.1K1.0924.2331,78934,72863,50074,268
2017-09-05$121.58$135.004.8%1.4%4.3%16.2%5.4%0.6%-0.0%-5.3M896.6M-262.9K1.1429.3521,73124,70583,61894,403
2017-09-06$121.10$135.005.0%1.4%4.3%19.4%5.0%0.8%0.3%-12.2M595.4M-221.9K1.1318.2825,22328,46693,63469,390
2017-09-07$121.59$135.004.9%1.4%4.5%18.8%5.5%0.7%-0.0%-1.6M588.6M-357.7K1.1415.5521,75224,89997,13573,236
2017-09-08$121.26$135.005.0%1.4%4.6%20.1%3.3%0.6%0.1%-6.0M571.1M-356.0K1.0732.9841,90144,76197,16071,258
2017-09-11$120.89$135.005.1%1.4%4.8%21.8%5.4%0.7%-0.0%-14.0M818.4M-398.2K1.0717.5741,71544,609117,29791,454
2017-09-12$120.70$135.003.7%1.3%4.8%0.0%5.1%0.8%-0.0%-18.7M794.5M-524.1K1.1335.8841,84047,188117,30491,483
2017-09-13$120.62$135.004.7%1.3%4.8%15.4%4.7%0.9%0.0%-24.6M834.2M-403.7K1.1315.3641,71247,260117,44594,139
2017-09-14$120.90$135.004.7%1.4%4.7%16.4%4.8%0.6%0.2%3.4M821.2M-412.9K1.1312.6841,72647,245117,45094,220
2017-09-15$121.05$135.004.4%1.3%4.7%11.6%4.4%0.7%0.1%19.7M818.5M-381.4K1.4215.3443,82562,424117,43294,221
2017-09-18$120.87$135.004.6%1.3%4.8%13.8%4.8%0.7%0.0%-17.6M625.7M-592.7K1.6529.9730,52350,47062,16476,777
2017-09-19$120.96$135.004.3%1.2%4.7%9.9%5.4%0.8%0.3%-15.1M627.7M-593.7K0.9815.6836,86036,28862,30876,885
2017-09-20$120.89$135.004.2%1.2%4.7%7.9%5.7%1.3%0.1%-5.0M609.3M-722.1K1.3149.0738,82750,98668,56877,735
2017-09-21$120.83$135.003.9%1.1%4.6%3.8%4.5%0.5%0.4%-29.2M653.4M-1.3M1.1819.4038,76345,89480,39797,801
2017-09-22$120.99$135.004.0%1.1%4.6%4.9%5.0%0.6%0.5%-26.8M636.9M-1.3M1.0812.6835,71838,67980,41597,823
2017-09-25$121.43$135.004.4%1.3%4.7%11.4%4.1%0.5%0.2%-12.0M581.2M-1.1M1.4914.9225,99738,65480,73597,837
2017-09-26$121.42$135.004.3%1.2%4.7%10.3%8.7%0.9%0.3%-12.7M580.8M-1.2M1.7920.8816,00828,68081,31297,837
2017-09-27$120.93$125.004.1%1.2%4.9%6.1%5.1%0.7%0.3%-26.7M760.0M-1.2M1.7222.9617,74030,58591,519107,784
2017-09-28$121.11$125.004.3%1.2%4.9%9.1%4.3%0.7%0.2%-23.1M893.1M-1.2M1.1314.5719,62722,091103,520119,827
2017-09-29$121.25$125.004.2%1.2%4.8%7.4%4.3%0.3%0.1%-16.0M864.0M-1.2M1.3711.3211,00615,087105,633121,348