LQD Options History — June 2018

In June 2018, LQD traded between $113.92 and $114.99. ATM implied volatility averaged 5.5%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.7% (HV 20d: 4.8%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.03.

Notable Days

  • 2018-06-11: Highest Volume — 32,935 contracts
  • 2018-06-13: Largest IV drop — 35.2% change
  • 2018-06-11: Highest IV Rank — 100.0%
  • 2018-06-12: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.44$113.92$114.99$114.99$114.54
Max Pain$115.67$115.00$116.00$116.00$115.00
ATM IV5.5%3.5%8.5%5.7%3.5%
Expected Move1.4%1.0%1.7%1.6%1.0%
HV 20d4.8%3.6%5.9%5.5%3.6%
HV 60d4.6%4.4%4.7%4.7%4.5%
IV Rank41.6%0.0%100.0%46.4%0.0%
IV Percentile68.5%0.0%100.0%85.3%0.0%
Term Structure0.0%-0.3%0.3%-0.3%0.0%
VWIV5.4%4.2%7.1%7.1%4.2%
Skew 25d1.2%0.8%1.7%1.0%0.8%
Skew 10d2.9%0.8%4.4%3.3%0.8%
Call IV 25d4.6%3.9%5.4%5.4%4.1%
Put IV 25d5.9%4.9%6.8%6.4%4.9%
Bid-Ask Spread %32.1517.6475.9818.0368.64
Gamma HHI0.240.160.310.210.29
Net GEX-11.0M-45.5M24.7M-43.1M17.4M
Net DEX183.4M103.2M286.0M144.3M149.4M
Net VEX-2.2M-2.4M-2.1M-2.4M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.031.043.151.431.58
Total Volume23,734.14316,74032,93532,83717,889
Total OI124,079.143105,879140,731136,715117,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$114.99$116.005.7%1.6%5.5%46.4%7.1%1.0%-0.3%-43.1M144.3M-2.4M1.4318.0313,53219,30556,38380,332
2018-06-04$114.75$116.005.5%1.4%5.6%43.1%5.4%1.4%0.1%-40.9M162.2M-2.1M2.8137.086,72718,89457,05872,990
2018-06-05$114.76$116.006.0%1.5%5.6%52.6%5.8%0.8%0.1%-45.5M162.8M-2.4M2.8028.357,27720,39357,72973,113
2018-06-06$114.30$116.006.7%1.6%5.8%68.8%5.9%1.4%-0.1%-40.6M247.9M-2.4M2.3637.878,19719,32458,51972,880
2018-06-07$114.61$116.006.4%1.5%5.9%63.1%6.1%1.5%-0.0%-37.1M210.2M-2.4M3.0635.347,59623,23659,90272,901
2018-06-08$114.58$116.006.6%1.5%5.6%67.5%5.4%1.3%-0.2%-25.8M196.2M-2.3M2.9333.238,02823,53760,98671,441
2018-06-11$114.38$116.008.1%1.7%5.5%100.0%6.4%1.5%-0.1%-29.3M213.8M-2.3M3.1526.057,93824,99761,52171,705
2018-06-12$114.41$116.008.5%1.7%5.5%100.0%5.0%1.7%-0.3%-29.8M236.5M-2.4M1.2629.7213,87717,48361,55874,145
2018-06-13$114.27$116.005.5%1.6%4.6%39.0%6.1%1.5%-0.0%-28.1M286.0M-2.2M2.4433.887,30017,80966,56773,648
2018-06-14$114.80$116.004.9%1.4%4.8%27.3%5.8%1.5%0.0%-17.1M182.2M-2.1M2.3719.707,23517,17166,85773,830
2018-06-15$114.66$116.004.8%1.4%4.7%24.7%5.5%1.4%0.2%-16.1M198.2M-2.3M2.8425.666,76619,22266,85973,872
2018-06-18$114.53$116.004.7%1.3%4.6%22.1%4.8%1.2%0.3%24.7M118.3M-2.2M1.6029.556,65610,61754,04151,949
2018-06-19$114.50$116.005.2%1.5%4.6%33.5%4.6%1.2%-0.0%23.4M103.2M-2.2M1.7322.066,13410,60654,02551,948
2018-06-20$114.00$116.005.0%1.4%4.8%29.2%5.5%0.8%0.1%13.5M155.5M-2.2M1.6317.646,38310,43153,97251,907
2018-06-21$113.93$115.004.9%1.4%4.6%27.1%5.0%1.4%0.2%-2.1M201.6M-2.1M1.6475.987,34312,02355,34453,731
2018-06-22$114.00$115.004.7%1.4%4.4%23.4%4.8%1.1%0.2%4.8M204.6M-2.2M1.0420.0610,78811,17156,29857,826
2018-06-25$113.92$115.005.1%1.5%4.3%30.6%5.1%1.2%0.0%9.4M196.2M-2.3M1.1445.609,03610,33157,91857,944
2018-06-26$114.26$115.004.8%1.4%3.9%24.1%4.4%0.8%0.2%1.8M182.5M-2.1M1.5331.967,05410,77456,06158,613
2018-06-27$114.61$115.004.8%1.4%3.9%24.0%4.7%1.5%0.2%13.7M158.0M-2.2M1.6519.706,81311,22856,20559,429
2018-06-28$114.46$115.004.9%1.4%3.9%27.2%4.8%1.4%0.1%16.3M142.4M-2.2M1.6019.016,65610,64056,42560,198
2018-06-29$114.54$115.003.5%1.0%3.6%0.0%4.2%0.8%0.0%17.4M149.4M-2.2M1.5868.646,94710,94256,47360,559