LQD Options History — October 2017

In October 2017, LQD traded between $120.56 and $121.60. ATM implied volatility averaged 4.4%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.3% (HV 20d: 3.1%). Max pain ranged from $121.00 to $125.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2017-10-09: Highest Volume — 29,967 contracts
  • 2017-10-16: Largest IV spike — 15.8% change
  • 2017-10-31: Highest IV Rank — 16.6%
  • 2017-10-31: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.12$120.56$121.60$120.99$121.18
Max Pain$121.55$121.00$125.00$125.00$121.00
ATM IV4.4%3.7%4.8%4.5%4.8%
Expected Move1.3%1.1%1.4%1.3%1.4%
HV 20d3.1%2.7%4.3%4.3%3.1%
HV 60d3.7%3.6%4.0%3.9%3.7%
IV Rank11.0%0.1%16.6%12.8%16.6%
IV Percentile18.5%0.4%43.3%19.8%43.3%
Term Structure0.0%-0.3%0.3%-0.3%0.1%
VWIV4.5%3.8%5.2%4.6%5.2%
Skew 25d1.0%0.4%2.5%0.4%1.1%
Skew 10d2.0%0.6%3.4%2.7%0.6%
Call IV 25d3.9%3.0%4.5%4.4%4.2%
Put IV 25d4.9%4.4%5.5%4.8%5.3%
Bid-Ask Spread %18.8811.2429.0214.9613.30
Gamma HHI0.310.250.400.320.31
Net GEX20.4M-17.4M73.4M-17.4M19.7M
Net DEX311.0M-103.9M741.9M741.9M-89.0M
Net VEX-1.0M-1.2M-820.3K-1.2M-836.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.466.911.242.37
Total Volume20,032.4094,65829,96724,5636,655
Total OI159,077.04572,809207,412207,41273,954

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$120.99$125.004.5%1.3%4.3%12.8%4.6%0.4%-0.3%-17.4M741.9M-1.2M1.2414.9610,95213,61196,068111,344
2017-10-03$121.26$125.004.4%1.3%3.7%11.2%4.4%0.7%-0.1%-8.3M507.3M-1.2M1.1214.0712,15413,65596,10794,612
2017-10-04$121.25$125.004.3%1.2%3.5%10.2%3.9%0.8%0.1%-4.0M501.6M-1.1M1.1914.9211,56013,80197,22894,698
2017-10-05$121.05$121.004.3%1.3%3.2%9.6%4.7%1.1%-0.1%-8.0M529.3M-1.2M1.0129.0213,86113,95297,76394,893
2017-10-06$120.92$121.004.2%1.2%3.1%8.4%4.1%1.0%0.3%2.0M532.4M-1.2M0.8728.4715,95813,952100,76795,058
2017-10-09$121.00$121.004.3%1.2%2.9%9.7%4.2%1.2%0.2%12.9M508.5M-1.2M0.8824.1415,91814,049102,77695,058
2017-10-10$121.11$121.004.5%1.3%2.8%12.0%4.5%0.8%-0.1%21.6M479.8M-1.1M1.0825.2612,99014,045102,78595,170
2017-10-11$121.08$121.004.4%1.3%2.8%11.0%4.4%0.9%-0.0%21.6M487.3M-1.1M0.7026.4612,9789,035102,65295,213
2017-10-12$121.15$121.004.3%1.2%2.7%9.8%4.2%0.9%0.2%26.8M479.4M-1.1M0.6916.1412,9769,016102,65395,213
2017-10-13$121.60$121.003.7%1.1%3.0%0.1%4.2%0.8%0.3%60.6M375.2M-959.8K0.8921.7011,34210,112102,65295,213
2017-10-16$121.42$121.004.3%1.2%3.0%8.9%4.2%0.7%0.1%47.4M403.2M-921.1K0.8024.5011,3369,022103,14596,255
2017-10-17$121.42$121.004.2%1.2%3.0%8.9%3.8%1.4%-0.0%50.4M400.3M-898.6K0.5217.1617,4679,021103,14596,290
2017-10-18$121.22$121.004.2%1.2%3.0%8.8%3.9%1.0%0.1%39.8M443.0M-973.1K0.5118.5317,6789,013105,28496,301
2017-10-19$121.44$121.004.4%1.3%3.1%11.0%4.3%1.1%-0.3%57.4M385.7M-869.7K0.5227.5717,4769,049105,53096,299
2017-10-20$121.05$121.004.4%1.3%3.3%11.1%4.5%1.0%-0.2%73.4M467.5M-982.6K0.4611.9719,8729,066109,45696,359
2017-10-23$121.18$121.004.5%1.3%3.0%13.6%4.5%0.6%-0.0%22.5M-103.5M-973.6K6.9113.895894,06935,69339,139
2017-10-24$120.94$121.004.6%1.3%3.1%14.2%5.1%1.0%0.1%12.4M-69.6M-1.0M3.0913.082,5047,73735,81139,274
2017-10-25$120.56$121.004.6%1.3%2.9%14.7%5.0%1.0%0.0%-5.4M-1.8M-1.1M0.8119.457,6536,22036,81741,395
2017-10-26$120.59$121.004.5%1.3%2.9%13.1%5.1%0.9%0.1%-8.6M6.9M-989.4K1.1918.163,5494,21635,24140,624
2017-10-27$120.89$121.004.4%1.3%3.0%11.9%5.1%2.5%-0.3%8.6M-39.9M-912.7K2.5711.241,6504,24234,18538,624
2017-10-30$121.30$121.004.6%1.3%3.2%14.1%5.1%1.0%0.2%24.1M-103.9M-820.3K2.2811.322,0454,66734,29138,660
2017-10-31$121.18$121.004.8%1.4%3.1%16.6%5.2%1.1%0.1%19.7M-89.0M-836.6K2.3713.301,9774,67834,82139,133