LQD Options History — May 2018

In May 2018, LQD traded between $113.78 and $115.98. ATM implied volatility averaged 5.3%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.6% (HV 20d: 4.7%). Max pain ranged from $116.00 to $117.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 3.08.

Notable Days

  • 2018-05-17: Highest Volume — 73,491 contracts
  • 2018-05-29: Largest IV spike — 29.7% change
  • 2018-05-29: Highest IV Rank — 64.8%
  • 2018-05-29: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.73$113.78$115.98$114.55$115.55
Max Pain$116.23$116.00$117.00$116.00$116.00
ATM IV5.3%4.6%6.5%5.2%5.8%
Expected Move1.5%1.3%1.9%1.5%1.7%
HV 20d4.7%3.8%5.4%4.1%5.2%
HV 60d4.5%4.4%4.7%4.6%4.6%
IV Rank38.0%23.2%64.8%35.2%50.0%
IV Percentile74.1%51.6%92.1%76.6%86.9%
Term Structure-0.2%-1.0%0.2%0.0%-1.0%
VWIV6.7%5.7%8.4%6.4%6.5%
Skew 25d1.6%1.1%2.2%1.1%1.1%
Skew 10d3.8%0.8%5.4%4.2%2.7%
Call IV 25d4.7%4.0%6.3%5.1%5.5%
Put IV 25d6.4%5.7%7.5%6.2%6.5%
Bid-Ask Spread %23.6316.2241.2916.2224.41
Gamma HHI0.260.180.370.310.21
Net GEX-82.5M-142.8M-37.5M-89.2M-52.9M
Net DEX319.4M72.3M493.5M376.1M146.1M
Net VEX-2.0M-2.4M-1.7M-2.0M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.080.735.134.320.73
Total Volume47,574.77319,90273,49151,05823,331
Total OI161,105.818120,363197,372167,811129,594

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$114.55$116.005.2%1.5%4.1%35.2%6.4%1.1%0.0%-89.2M376.1M-2.0M4.3216.229,59541,46339,879127,932
2018-05-02$114.52$116.004.9%1.4%4.1%28.7%5.9%1.2%-0.2%-93.1M377.8M-2.0M4.4341.299,36041,51039,977127,142
2018-05-03$114.59$117.004.7%1.4%4.2%25.0%5.9%1.5%-0.1%-91.0M355.6M-1.9M4.4422.0210,02644,54240,182126,007
2018-05-04$114.64$117.004.6%1.3%3.9%23.2%5.8%1.8%-0.1%-93.6M363.5M-1.8M3.3317.2414,76449,23240,286128,556
2018-05-07$114.55$117.005.1%1.3%3.8%33.2%6.5%1.8%0.2%-99.8M357.7M-2.0M4.5019.3110,60447,68645,895133,570
2018-05-08$114.45$117.005.9%1.5%3.8%51.5%7.3%1.6%-0.3%-92.7M396.4M-1.8M4.6225.319,89045,67646,879133,574
2018-05-09$114.47$117.005.3%1.5%3.8%37.5%5.7%1.6%-0.2%-97.3M370.3M-1.9M3.8129.4711,72044,64947,078133,565
2018-05-10$115.01$116.004.9%1.4%4.3%28.0%7.0%2.0%-0.2%-77.5M276.4M-2.0M4.6218.279,75945,08749,186137,566
2018-05-11$115.25$116.004.7%1.3%4.4%24.4%7.3%1.6%0.2%-75.5M241.6M-2.1M4.4626.7110,09144,98849,438138,023
2018-05-14$115.13$116.004.9%1.4%4.4%28.5%8.4%1.8%-0.1%-76.8M256.8M-2.0M4.7117.759,81846,23949,880138,023
2018-05-15$114.11$116.005.8%1.7%5.2%48.4%6.1%2.2%-0.4%-105.0M448.4M-1.7M5.1336.109,63849,40149,885137,495
2018-05-16$114.06$116.005.8%1.7%5.0%48.2%8.0%1.8%-0.6%-116.4M478.1M-1.7M3.3627.7215,91753,44950,004137,254
2018-05-17$113.78$116.005.5%1.6%4.9%43.4%7.9%2.1%-0.1%-142.8M493.5M-2.1M1.7521.5526,69146,80047,481144,192
2018-05-18$114.26$116.005.3%1.5%5.1%39.0%6.7%2.1%-0.0%-104.9M451.7M-2.1M3.0022.1216,25248,83253,559143,813
2018-05-21$114.28$116.005.6%1.6%5.1%44.0%6.2%2.0%-0.5%-70.5M362.3M-2.1M2.0823.4913,78928,68444,30176,062
2018-05-22$114.25$116.005.5%1.6%5.0%42.1%5.9%1.7%-0.1%-69.2M355.3M-2.1M1.7622.8911,85820,92144,31678,600
2018-05-23$114.70$116.004.8%1.4%5.1%27.6%7.2%1.8%-0.1%-68.2M302.3M-2.3M1.1924.4913,23615,69044,39879,553
2018-05-24$115.02$116.004.9%1.4%5.0%29.0%6.8%1.4%-0.0%-55.0M225.0M-2.1M1.1322.5713,25014,91247,40680,390
2018-05-25$115.34$116.005.0%1.4%5.1%31.8%6.6%1.3%0.0%-50.8M165.8M-2.1M1.4918.389,93614,76347,39980,396
2018-05-29$115.98$116.006.5%1.9%5.4%64.8%6.7%1.2%-0.8%-37.5M72.3M-2.2M1.2422.4010,11112,58347,37780,406
2018-05-30$115.54$116.005.9%1.7%5.2%52.2%6.4%1.1%-0.4%-54.5M154.5M-2.4M1.6420.157,54512,35747,58880,221
2018-05-31$115.55$116.005.8%1.7%5.2%50.0%6.5%1.1%-1.0%-52.9M146.1M-2.4M0.7324.4113,5189,81349,29880,296