LQD Options History — November 2017

In November 2017, LQD traded between $119.90 and $121.33. 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 0.9% (HV 20d: 3.5%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 9.74.

Notable Days

  • 2017-11-27: Highest Volume — 38,277 contracts
  • 2017-11-10: Largest IV spike — 19.6% change
  • 2017-11-15: Highest IV Rank — 20.9%
  • 2017-11-15: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.74$119.90$121.33$121.01$120.71
Max Pain$120.05$120.00$121.00$121.00$120.00
ATM IV4.4%3.8%5.0%4.5%4.4%
Expected Move1.3%1.1%1.4%1.3%1.3%
HV 20d3.5%3.0%3.9%3.1%3.8%
HV 60d3.7%3.4%3.9%3.6%3.4%
IV Rank11.0%2.0%20.9%13.1%10.9%
IV Percentile23.8%1.6%58.7%27.0%21.0%
Term Structure-0.0%-0.4%0.4%-0.4%-0.3%
VWIV4.7%3.5%5.7%5.0%5.7%
Skew 25d1.1%0.6%2.0%1.1%1.5%
Skew 10d1.8%-0.6%3.1%1.3%2.1%
Call IV 25d3.9%3.2%4.3%4.0%3.9%
Put IV 25d5.0%4.3%5.5%5.0%5.5%
Bid-Ask Spread %19.338.5542.9842.9815.87
Gamma HHI0.340.240.520.330.29
Net GEX14.3M-36.4M57.0M34.2M-8.8M
Net DEX-18.7M-138.0M142.6M-110.1M53.2M
Net VEX-887.8K-1.1M-718.1K-843.9K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.740.5233.702.2315.22
Total Volume16,130.194,56638,2776,39118,496
Total OI85,861.71473,437111,29973,86385,513

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$121.01$121.004.5%1.3%3.1%13.1%5.0%1.1%-0.4%34.2M-110.1M-843.9K2.2342.981,9774,41434,70939,154
2017-11-02$120.99$120.004.4%1.2%3.1%11.7%4.9%1.3%0.2%34.0M-103.3M-777.5K1.5322.414,2956,57734,71339,374
2017-11-03$121.14$120.004.1%1.2%3.1%7.1%4.5%1.2%0.3%40.8M-122.2M-786.6K2.4122.302,3045,55435,13539,784
2017-11-06$121.11$120.003.8%1.2%3.1%2.0%4.6%1.0%0.3%57.0M-134.3M-721.0K2.0424.762,7285,55436,13839,893
2017-11-07$121.08$120.004.3%1.1%3.0%10.5%4.0%1.3%0.3%42.7M-116.1M-718.1K2.0912.858,51617,77336,51139,894
2017-11-08$120.94$120.003.8%1.1%3.1%2.7%3.7%1.1%0.4%24.1M-80.7M-900.0K0.5227.7110,4755,46242,72149,802
2017-11-09$120.58$120.003.8%1.1%3.2%2.4%4.1%1.0%0.3%16.6M-278.0K-934.6K1.0217.825,4785,56744,11450,033
2017-11-10$119.90$120.004.6%1.3%3.4%13.8%4.6%1.3%0.1%-35.6M133.2M-898.6K4.2239.022,95112,46846,17950,603
2017-11-13$119.94$120.004.5%1.3%3.4%13.5%3.5%0.7%0.1%-36.4M142.6M-771.4K1.3928.493,8245,29845,97951,613
2017-11-14$119.95$120.004.8%1.4%3.4%17.3%4.5%0.9%-0.2%-26.9M131.1M-852.3K0.8110.424,8943,94846,19351,854
2017-11-15$120.47$120.005.0%1.4%3.8%20.9%3.7%2.0%-0.4%12.9M35.6M-848.3K9.4711.771,78916,94246,09351,860
2017-11-16$120.28$120.004.6%1.3%3.8%14.3%4.8%0.9%-0.3%-8.2M108.0M-970.6K14.1920.791,19716,98746,12264,822
2017-11-17$120.48$120.004.6%1.3%3.7%14.4%5.0%1.1%-0.2%15.4M100.9M-935.4K4.1310.239714,00946,22565,074
2017-11-20$120.45$120.004.7%1.3%3.7%15.7%5.0%0.6%-0.3%15.9M-6.6M-904.7K4.478.558353,73136,14237,295
2017-11-21$120.84$120.004.3%1.2%3.8%10.0%5.2%1.0%-0.0%25.2M-63.2M-924.9K3.9912.849363,73836,15537,352
2017-11-22$121.33$120.004.3%1.2%3.9%10.1%4.7%1.3%-0.2%38.8M-138.0M-836.1K30.7114.0096729,69436,22537,374
2017-11-24$121.19$120.004.3%1.2%3.9%10.2%5.6%1.4%-0.1%24.9M-94.2M-962.5K30.4717.1297429,67636,35440,387
2017-11-27$121.08$120.004.3%1.2%3.8%9.9%4.5%0.7%-0.1%22.3M-86.7M-932.6K33.7018.941,10337,17436,35840,387
2017-11-28$121.23$120.004.5%1.3%3.7%12.5%5.1%1.5%-0.4%12.8M-64.6M-1.0M27.5211.311,08129,75036,50147,894
2017-11-29$120.85$120.004.2%1.2%3.8%8.8%5.5%1.2%0.1%-760.0K22.1M-1.1M12.5115.631,37917,24836,58047,987
2017-11-30$120.71$120.004.4%1.3%3.8%10.9%5.7%1.5%-0.3%-8.8M53.2M-1.0M15.2215.871,14017,35636,87148,642