LQD Options History — January 2018

In January 2018, LQD traded between $119.66 and $121.04. ATM implied volatility averaged 4.4%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded below realized volatility by 0.0% (HV 20d: 4.5%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.47.

Notable Days

  • 2018-01-18: Highest Volume — 40,718 contracts
  • 2018-01-29: Largest IV spike — 29.7% change
  • 2018-01-29: Highest IV Rank — 40.7%
  • 2018-01-30: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.47$119.66$121.04$120.78$120.11
Max Pain$120.62$120.00$121.00$121.00$121.00
ATM IV4.4%3.7%5.6%4.0%5.2%
Expected Move1.3%1.1%1.6%1.1%1.5%
HV 20d4.5%4.1%4.9%4.6%4.1%
HV 60d3.9%3.8%4.1%3.8%4.1%
IV Rank17.5%1.6%40.7%8.5%33.0%
IV Percentile36.1%1.2%86.9%7.9%81.3%
Term Structure0.2%-0.3%0.6%0.4%0.4%
VWIV4.7%2.9%7.0%4.5%5.9%
Skew 25d1.2%0.7%2.4%1.0%1.0%
Skew 10d2.6%-0.4%4.6%-0.4%2.2%
Call IV 25d4.0%2.4%5.2%4.0%5.0%
Put IV 25d5.2%4.3%6.3%5.0%6.0%
Bid-Ask Spread %29.6412.7450.8113.2841.40
Gamma HHI0.240.200.310.200.22
Net GEX-86.4M-131.2M-9.8M-14.6M-131.2M
Net DEX182.2M-591.6K336.1M13.3M310.7M
Net VEX-1.9M-2.3M-1.1M-1.2M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.725.370.923.94
Total Volume22,485.09512,43240,71812,43223,324
Total OI102,152.85750,633137,04350,633137,043

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$120.78$121.004.0%1.1%4.6%8.5%4.5%1.0%0.4%-14.6M13.3M-1.2M0.9213.286,4905,94222,20028,433
2018-01-03$121.04$121.003.9%1.1%4.6%6.2%3.6%1.9%0.6%-9.8M-591.6K-1.2M0.9122.986,5055,93022,27828,526
2018-01-04$120.91$120.004.0%1.2%4.6%9.1%3.5%0.9%0.0%-12.3M8.2M-1.1M0.8812.746,8025,96022,31328,520
2018-01-05$120.92$120.003.7%1.2%4.5%1.6%3.5%1.2%-0.3%-83.8M141.8M-1.9M2.5420.709,31023,63622,35463,560
2018-01-08$120.89$120.003.8%1.1%4.4%5.0%3.9%0.7%-0.1%-87.4M119.9M-2.0M2.1237.7211,18523,76124,89763,587
2018-01-09$120.45$121.004.4%1.3%4.6%16.6%2.9%1.1%0.1%-91.7M159.1M-1.9M2.8736.828,24423,66426,63263,724
2018-01-10$120.54$121.003.9%1.1%4.6%6.3%3.6%1.2%0.4%-86.7M153.5M-1.8M0.7738.539,2497,14825,38563,830
2018-01-11$120.81$121.004.0%1.1%4.7%8.1%3.2%1.2%0.4%-77.3M120.2M-2.0M0.7940.528,9057,05127,16064,966
2018-01-12$120.83$121.004.0%1.2%4.4%9.3%3.7%1.1%0.3%-74.5M127.5M-2.1M0.7238.629,7206,99627,90464,981
2018-01-16$120.95$121.004.3%1.2%4.4%13.5%3.0%1.1%-0.0%-76.4M118.4M-2.1M0.9736.967,0806,84226,39565,035
2018-01-17$120.61$121.004.1%1.2%4.4%10.1%3.2%0.7%0.4%-88.9M168.3M-2.0M1.7045.386,85911,64526,28565,067
2018-01-18$120.13$121.004.9%1.4%4.5%25.8%4.5%0.9%-0.1%-103.9M237.4M-2.0M5.3723.836,38934,32926,30168,942
2018-01-19$119.75$121.004.8%1.4%4.3%24.8%5.6%1.0%0.3%-110.2M309.1M-2.0M1.4221.6514,32020,31726,29193,949
2018-01-22$119.66$121.004.9%1.4%4.2%26.7%5.8%1.3%0.2%-126.0M330.0M-2.2M3.4716.265,72819,90033,28296,289
2018-01-23$120.16$121.004.7%1.4%4.5%23.5%5.7%1.3%-0.0%-109.7M260.8M-2.2M3.6823.744,33615,95733,54696,427
2018-01-24$120.10$120.005.1%1.5%4.5%29.9%6.2%1.3%0.1%-108.6M270.4M-2.2M4.0922.694,10116,78333,83296,632
2018-01-25$120.70$120.004.3%1.2%4.9%14.3%6.4%1.9%-0.0%-89.5M178.8M-2.2M3.8943.844,18816,27133,87097,543
2018-01-26$120.52$120.004.3%1.2%4.4%14.7%6.5%2.4%0.5%-99.9M219.9M-2.2M3.4519.804,98017,20533,99097,488
2018-01-29$120.26$120.005.6%1.6%4.4%40.7%7.0%1.3%0.0%-104.3M242.8M-2.1M3.2350.815,21116,84134,44198,368
2018-01-30$119.82$120.005.6%1.6%4.5%40.7%6.2%1.1%-0.1%-127.9M336.1M-2.3M4.0714.114,55218,53134,43498,510
2018-01-31$120.11$121.005.2%1.5%4.1%33.0%5.9%1.0%0.4%-131.2M310.7M-2.2M3.9441.404,72518,59934,510102,533