LQD Options History — March 2018

In March 2018, LQD traded between $115.74 and $117.39. ATM implied volatility averaged 6.3%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.5% (HV 20d: 4.8%). Max pain ranged from $116.00 to $120.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.86.

Notable Days

  • 2018-03-01: Highest Volume — 80,313 contracts
  • 2018-03-12: Largest IV spike — 20.9% change
  • 2018-03-12: Highest IV Rank — 90.1%
  • 2018-03-02: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.36$115.74$117.39$116.67$117.39
Max Pain$117.52$116.00$120.00$120.00$116.00
ATM IV6.3%4.8%8.0%6.5%4.8%
Expected Move1.7%1.4%2.2%1.9%1.4%
HV 20d4.8%4.0%5.8%5.8%4.2%
HV 60d4.9%4.8%5.0%4.9%4.8%
IV Rank56.1%27.4%90.1%58.7%27.4%
IV Percentile87.2%65.5%99.2%90.9%65.5%
Term Structure0.1%-0.7%0.4%0.0%0.4%
VWIV6.5%3.6%10.3%6.4%5.0%
Skew 25d1.4%1.0%1.8%1.6%1.2%
Skew 10d3.1%0.5%5.1%2.2%3.4%
Call IV 25d5.4%4.1%6.8%6.0%4.1%
Put IV 25d6.8%5.3%8.4%7.6%5.3%
Bid-Ask Spread %28.0115.8643.4022.2531.53
Gamma HHI0.260.130.420.240.22
Net GEX-106.9M-238.0M-1.8M-125.5M-1.8M
Net DEX448.4M20.8M775.2M601.2M20.8M
Net VEX-2.2M-3.0M-1.6M-2.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.862.1311.8011.803.42
Total Volume55,772.1944,20480,31380,31351,103
Total OI213,251.81155,351271,581248,686159,262

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$116.67$120.006.5%1.9%5.8%58.7%6.4%1.6%0.0%-125.5M601.2M-2.5M11.8022.256,27674,03761,990186,696
2018-03-02$116.25$120.007.5%2.2%5.4%79.3%8.6%1.6%-0.7%-151.3M717.0M-3.0M7.5419.866,14946,38662,914184,582
2018-03-05$116.23$119.007.8%2.0%5.2%85.0%7.8%1.8%0.1%-164.9M729.4M-2.9M7.1934.495,98242,98163,024186,160
2018-03-06$116.30$119.007.7%2.0%5.2%83.2%7.5%1.7%-0.1%-167.9M699.7M-2.8M7.4331.166,12845,51563,088186,068
2018-03-07$116.27$119.007.7%1.9%5.2%83.6%8.6%1.5%-0.1%-180.4M714.2M-2.6M4.7829.478,99943,04063,320187,452
2018-03-08$116.50$119.007.6%1.9%5.2%82.0%10.3%1.4%-0.2%-166.2M632.6M-2.5M5.3226.407,93642,19866,372187,382
2018-03-09$116.06$119.006.6%1.8%5.1%61.9%6.1%1.7%0.2%-223.8M775.2M-2.3M2.6324.5715,00739,45859,651186,883
2018-03-12$116.24$117.008.0%1.8%5.1%90.1%6.8%1.7%-0.1%-216.4M697.4M-2.3M2.7529.4214,53539,95268,114186,686
2018-03-13$116.26$117.007.0%1.7%5.1%70.2%6.1%1.5%-0.1%-238.0M633.3M-2.0M3.0736.0115,30046,95568,038183,707
2018-03-14$116.41$117.005.9%1.7%5.1%47.8%5.9%1.5%-0.1%-184.9M576.4M-2.0M2.1325.5522,13347,13170,683190,765
2018-03-15$116.62$117.005.5%1.6%5.0%43.2%6.7%1.5%0.4%-81.2M536.4M-2.1M2.9025.3315,42144,74378,295190,220
2018-03-16$116.79$117.005.3%1.5%4.7%37.5%6.4%1.3%0.2%-21.8M492.7M-2.0M4.4543.4012,56055,88281,598189,983
2018-03-19$116.40$117.006.1%1.7%4.7%55.5%6.9%1.4%-0.0%-36.5M168.1M-2.3M7.4627.605,55441,45245,061112,564
2018-03-20$115.95$117.005.6%1.6%4.7%45.5%6.4%1.3%0.1%-55.9M257.7M-2.1M8.6736.564,57239,63245,071118,284
2018-03-21$115.87$117.005.3%1.5%4.2%38.4%5.8%1.4%0.1%-39.3M228.2M-1.7M2.9233.2512,78637,35943,634119,233
2018-03-22$116.09$117.005.6%1.6%4.2%44.3%5.9%1.2%0.1%-57.5M254.5M-1.9M3.7440.2412,72147,54935,095120,256
2018-03-23$115.74$116.005.3%1.5%4.0%38.2%3.6%1.6%0.2%-55.1M257.2M-1.8M3.2916.4212,80842,18535,149121,526
2018-03-26$116.13$116.005.3%1.5%4.2%38.6%5.1%1.0%0.1%-37.5M197.6M-1.6M3.4717.2412,14042,07635,262120,949
2018-03-27$116.54$116.005.2%1.5%4.1%35.4%5.4%1.0%0.2%-24.4M135.6M-1.7M3.3415.8612,58641,99635,325121,032
2018-03-28$116.86$116.005.0%1.4%4.1%31.9%4.9%1.1%0.4%-14.2M90.6M-1.6M3.8721.6610,25639,73735,858121,056
2018-03-29$117.39$116.004.8%1.4%4.2%27.4%5.0%1.2%0.4%-1.8M20.8M-1.6M3.4231.5311,55639,54736,524122,738