LQD Options History — February 2018

In February 2018, LQD traded between $116.46 and $119.17. ATM implied volatility averaged 6.7%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.4% (HV 20d: 5.3%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 8.51.

Notable Days

2018-02-23: Highest Volume — 112,856 contracts
2018-02-08: Largest IV spike — 17.1% change
2018-02-08: Highest IV Rank — 91.5%
2018-02-08: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.52	$116.46	$119.17	$119.17	$117.11
Max Pain	$120.42	$120.00	$121.00	$121.00	$120.00
ATM IV	6.7%	5.5%	8.1%	6.5%	6.7%
Expected Move	1.9%	1.6%	2.3%	1.7%	1.9%
HV 20d	5.3%	4.8%	5.9%	4.8%	5.9%
HV 60d	4.6%	4.4%	4.9%	4.4%	4.9%
IV Rank	63.0%	39.6%	91.5%	59.1%	63.7%
IV Percentile	93.9%	86.1%	99.6%	96.0%	95.6%
Term Structure	-0.2%	-0.9%	0.1%	-0.4%	-0.4%
VWIV	6.9%	3.7%	10.8%	5.9%	6.3%
Skew 25d	1.5%	0.9%	2.0%	1.6%	1.9%
Skew 10d	3.0%	0.6%	4.8%	2.8%	2.4%
Call IV 25d	6.0%	5.0%	7.7%	5.1%	6.0%
Put IV 25d	7.5%	6.4%	9.5%	6.7%	7.9%
Bid-Ask Spread %	37.41	16.25	59.59	43.97	32.34
Gamma HHI	0.18	0.13	0.25	0.20	0.22
Net GEX	-132.8M	-176.8M	-77.3M	-136.3M	-126.3M
Net DEX	655.9M	388.4M	837.0M	388.4M	598.4M
Net VEX	-2.4M	-2.9M	-2.0M	-2.3M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.51	1.79	17.38	2.88	8.53
Total Volume	64,973	19,196	112,856	19,196	97,771
Total OI	187,370.211	136,183	249,567	136,183	249,567

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$119.17	$121.00	6.5%	1.7%	4.8%	59.1%	5.9%	1.6%	-0.4%	-136.3M	388.4M	-2.3M	2.88	43.97	4,953	14,243	34,907	101,276
2018-02-02	$118.58	$121.00	6.5%	1.7%	5.0%	59.3%	7.5%	1.6%	-0.1%	-152.7M	500.9M	-2.2M	2.96	39.61	5,483	16,236	35,055	102,934
2018-02-05	$118.79	$121.00	7.3%	1.8%	5.1%	75.3%	8.2%	1.3%	-0.1%	-144.7M	444.5M	-2.4M	2.13	59.59	6,348	13,507	35,030	106,761
2018-02-06	$118.54	$121.00	7.6%	1.8%	5.1%	82.4%	8.7%	1.0%	-0.3%	-146.3M	518.1M	-2.3M	1.80	58.53	7,158	12,873	35,529	107,330
2018-02-07	$118.14	$121.00	6.9%	2.0%	5.1%	67.6%	7.3%	1.6%	-0.4%	-148.7M	601.5M	-2.2M	3.60	52.76	6,755	24,305	35,512	107,476
2018-02-08	$117.59	$121.00	8.1%	2.3%	5.2%	91.5%	10.8%	2.0%	-0.9%	-154.6M	757.2M	-2.3M	4.48	44.37	6,318	28,324	33,990	118,963
2018-02-09	$117.24	$121.00	7.9%	2.3%	5.1%	87.1%	9.5%	1.6%	0.1%	-176.8M	837.0M	-2.3M	5.46	42.04	6,955	37,977	34,043	128,448
2018-02-12	$117.22	$121.00	7.4%	2.1%	5.1%	77.4%	7.8%	1.8%	-0.4%	-172.7M	798.5M	-2.1M	1.79	38.19	24,866	44,452	34,612	118,093
2018-02-13	$117.15	$120.00	6.6%	1.9%	5.0%	61.9%	7.7%	1.9%	-0.2%	-125.7M	772.6M	-2.1M	2.91	45.88	11,262	32,789	50,173	117,581
2018-02-14	$116.75	$120.00	6.3%	1.8%	5.0%	54.3%	7.9%	1.8%	0.1%	-96.7M	834.0M	-2.1M	14.52	38.23	5,690	82,601	54,413	118,756
2018-02-15	$117.30	$120.00	6.4%	1.8%	5.4%	56.6%	6.7%	1.7%	-0.1%	-144.4M	723.4M	-2.7M	17.38	23.02	5,143	89,391	54,209	174,981
2018-02-16	$117.63	$120.00	5.5%	1.6%	5.5%	39.6%	3.7%	1.5%	0.1%	-133.6M	700.6M	-2.6M	15.53	24.72	5,197	80,710	54,268	178,880
2018-02-20	$117.19	$120.00	5.9%	1.7%	5.6%	46.5%	4.9%	0.9%	-0.2%	-97.8M	574.3M	-2.4M	13.91	35.67	5,662	78,785	52,130	155,063
2018-02-21	$116.46	$120.00	6.2%	1.8%	5.6%	52.1%	5.0%	1.4%	-0.0%	-95.1M	776.7M	-2.6M	12.73	40.24	5,679	72,291	52,232	163,686
2018-02-22	$116.67	$120.00	5.7%	1.6%	5.7%	43.7%	6.0%	1.1%	-0.0%	-77.3M	708.0M	-2.0M	12.03	21.06	6,063	72,941	53,265	165,165
2018-02-23	$117.14	$120.00	6.3%	1.8%	5.5%	55.2%	6.4%	1.3%	-0.0%	-106.8M	660.7M	-2.4M	17.00	16.25	6,269	106,587	54,651	168,706
2018-02-26	$117.39	$120.00	6.7%	1.9%	5.7%	62.7%	5.7%	1.1%	-0.1%	-136.9M	570.5M	-2.9M	14.41	27.16	6,696	96,477	55,317	178,883
2018-02-27	$116.82	$120.00	6.6%	1.9%	5.8%	60.9%	5.3%	1.8%	-0.3%	-149.1M	695.8M	-2.8M	7.69	27.13	12,167	93,563	55,760	182,389
2018-02-28	$117.11	$120.00	6.7%	1.9%	5.9%	63.7%	6.3%	1.9%	-0.4%	-126.3M	598.4M	-2.7M	8.53	32.34	10,262	87,509	61,875	187,692