LQD Options History — December 2017

In December 2017, LQD traded between $120.52 and $121.77. ATM implied volatility averaged 4.3%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.6% (HV 20d: 3.7%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.80.

Notable Days

  • 2017-12-08: Highest Volume — 27,502 contracts
  • 2017-12-13: Largest IV drop — 25.9% change
  • 2017-12-12: Highest IV Rank — 25.4%
  • 2017-12-01: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.11$120.52$121.77$120.75$121.55
Max Pain$120.95$120.00$121.00$120.00$121.00
ATM IV4.3%3.6%5.3%4.8%3.6%
Expected Move1.2%1.0%1.4%1.4%1.0%
HV 20d3.7%3.2%4.1%3.8%3.9%
HV 60d3.4%3.2%3.6%3.3%3.6%
IV Rank11.0%0.0%25.4%16.7%0.4%
IV Percentile25.7%0.0%71.0%52.0%0.4%
Term Structure0.2%-0.4%0.5%-0.4%0.4%
VWIV4.4%3.1%5.6%5.1%3.1%
Skew 25d0.9%0.4%1.9%1.3%1.2%
Skew 10d2.2%0.8%4.0%2.2%3.1%
Call IV 25d3.6%2.6%4.7%4.7%2.6%
Put IV 25d4.5%3.8%6.0%6.0%3.8%
Bid-Ask Spread %18.0310.3639.6720.0812.56
Gamma HHI0.240.170.410.260.23
Net GEX7.7M-19.9M58.0M6.0M-1.7M
Net DEX-61.8M-263.2M52.7M-18.1M-23.4M
Net VEX-1.1M-1.3M-823.0K-1.0M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.804.474.470.91
Total Volume13,281.856,38127,5027,38112,353
Total OI70,012.946,42794,04085,66450,414

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$120.75$120.004.8%1.4%3.8%16.7%5.1%1.3%-0.4%6.0M-18.1M-1.0M4.4720.081,3506,03136,89048,774
2017-12-04$120.90$121.005.0%1.2%3.8%21.0%5.6%1.0%0.2%5.6M-27.0M-964.2K2.4116.912,2105,32936,87950,099
2017-12-05$121.11$121.005.0%1.3%3.9%20.7%5.5%1.1%0.2%17.1M-82.3M-968.2K2.2615.522,1634,89537,02449,983
2017-12-06$121.37$121.005.0%1.2%3.9%19.9%5.5%0.9%0.5%23.8M-153.0M-900.9K3.1516.601,5374,84437,10350,005
2017-12-07$121.12$121.005.2%1.2%4.0%23.4%4.8%0.8%0.2%10.4M-81.4M-856.8K3.9619.655,50021,75336,93250,088
2017-12-08$121.00$121.004.5%1.2%3.8%12.5%4.5%0.4%0.4%23.7M-87.8M-981.9K3.9111.215,60121,90140,89344,145
2017-12-11$121.06$121.005.1%1.2%3.2%22.6%4.3%0.7%0.2%40.0M-130.2M-895.0K1.5310.545,5698,52841,07944,049
2017-12-12$120.89$121.005.3%1.2%3.2%25.4%4.2%0.9%0.2%24.2M-74.3M-902.4K1.5612.575,4698,50641,25144,397
2017-12-13$121.40$121.004.0%1.1%3.5%4.4%4.1%0.6%0.4%54.8M-208.6M-823.0K1.5839.675,4628,60641,29744,412
2017-12-14$121.61$121.003.6%1.0%3.3%0.0%3.7%1.9%0.3%58.0M-232.7M-1.3M1.4714.215,6398,31545,31148,636
2017-12-15$121.77$121.003.6%1.0%3.2%0.0%3.8%0.9%0.3%-7.2M-263.2M-1.2M0.9417.248,8518,36045,39548,645
2017-12-18$121.45$121.004.0%1.2%3.4%9.5%3.9%0.4%0.1%-7.8M-4.5M-1.0M1.1310.365,2645,94518,42328,004
2017-12-19$120.83$121.003.9%1.1%3.9%6.4%4.0%1.0%0.1%-19.5M44.1M-1.2M0.9721.156,2476,08918,49528,099
2017-12-20$120.52$121.003.9%1.1%3.8%5.9%4.2%0.5%0.1%-19.9M52.7M-1.2M1.1426.245,2305,95319,60228,262
2017-12-21$120.53$121.003.9%1.1%3.5%5.5%5.4%0.9%0.4%-15.7M34.9M-1.1M1.1023.785,3965,94819,61028,317
2017-12-22$120.65$121.003.8%1.1%3.5%4.7%3.8%1.0%0.4%-17.6M41.4M-1.2M0.9312.566,3915,93919,81928,287
2017-12-26$120.78$121.003.8%1.1%3.5%3.5%4.0%0.8%0.3%-13.6M21.4M-1.2M0.9321.016,3965,93320,84628,268
2017-12-27$121.48$121.004.0%1.2%4.1%9.0%4.7%1.3%0.4%-2.9M-25.9M-1.2M0.9218.076,5446,02621,85228,286
2017-12-28$121.40$121.004.0%1.1%3.9%8.3%4.1%1.1%0.3%-3.7M-18.6M-1.1M0.8020.747,5336,03122,00428,383
2017-12-29$121.55$121.003.6%1.0%3.9%0.4%3.1%1.2%0.4%-1.7M-23.4M-1.3M0.9112.566,4755,87822,01828,396