LQD Options History — July 2018

In July 2018, LQD traded between $114.24 and $115.74. ATM implied volatility averaged 4.5%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.0% (HV 20d: 3.5%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.88.

Notable Days

2018-07-09: Highest Volume — 24,249 contracts
2018-07-31: Largest IV drop — 16.1% change
2018-07-30: Highest IV Rank — 29.2%
2018-07-30: Largest Expected Move — 1.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.26	$114.24	$115.74	$114.24	$115.74
Max Pain	$114.05	$114.00	$115.00	$115.00	$114.00
ATM IV	4.5%	4.1%	5.0%	4.7%	4.2%
Expected Move	1.3%	1.2%	1.4%	1.4%	1.2%
HV 20d	3.5%	2.9%	3.9%	3.6%	3.4%
HV 60d	4.4%	4.2%	4.6%	4.4%	4.3%
IV Rank	19.7%	12.1%	29.2%	24.2%	13.1%
IV Percentile	34.8%	13.9%	61.9%	46.0%	15.5%
Term Structure	0.1%	-0.3%	0.3%	0.2%	-0.1%
VWIV	5.7%	4.3%	8.1%	4.6%	5.6%
Skew 25d	1.4%	0.9%	1.8%	0.9%	1.5%
Skew 10d	2.7%	-2.4%	4.7%	1.5%	3.4%
Call IV 25d	3.9%	3.4%	4.4%	4.2%	3.8%
Put IV 25d	5.3%	4.8%	5.9%	5.1%	5.3%
Bid-Ask Spread %	41.65	18.79	115.98	24.54	87.92
Gamma HHI	0.34	0.17	0.51	0.28	0.22
Net GEX	46.4M	-6.5M	114.4M	17.0M	11.3M
Net DEX	29.5M	-73.0M	140.6M	140.6M	22.0M
Net VEX	-2.1M	-2.3M	-2.0M	-2.2M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.88	1.08	3.16	1.11	2.52
Total Volume	18,556.952	14,126	24,249	14,239	19,800
Total OI	119,041.095	106,316	126,851	117,528	118,072

Daily Data (21 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
2018-07-02	$114.24	$115.00	4.7%	1.4%	3.6%	24.2%	4.6%	0.9%	0.2%	17.0M	140.6M	-2.2M	1.11	24.54	6,762	7,477	56,620	60,908
2018-07-03	$114.66	$114.00	4.6%	1.3%	3.9%	22.2%	5.3%	1.6%	-0.0%	29.1M	95.2M	-2.3M	1.08	115.98	7,249	7,814	56,482	59,908
2018-07-05	$115.02	$114.00	4.2%	1.4%	3.7%	12.9%	5.8%	1.5%	0.0%	46.3M	41.0M	-2.3M	1.22	26.43	6,356	7,770	57,097	59,912
2018-07-06	$115.20	$114.00	4.3%	1.4%	3.7%	15.3%	4.8%	1.1%	0.1%	58.4M	7.6M	-2.2M	1.29	47.68	6,780	8,753	57,294	59,923
2018-07-09	$115.28	$114.00	4.3%	1.4%	3.7%	15.3%	5.2%	1.3%	-0.0%	63.6M	7.6M	-2.2M	1.13	19.34	11,400	12,849	57,586	60,902
2018-07-10	$115.16	$114.00	4.3%	1.3%	3.6%	16.9%	4.3%	1.4%	0.1%	63.3M	30.4M	-2.2M	1.19	40.48	10,857	12,926	61,683	65,069
2018-07-11	$115.34	$114.00	4.9%	1.4%	3.6%	27.6%	6.4%	1.3%	-0.3%	74.2M	-15.3M	-2.2M	1.94	24.52	6,670	12,948	61,690	65,161
2018-07-12	$115.58	$114.00	4.2%	1.2%	3.6%	14.6%	6.3%	1.2%	0.2%	97.3M	-41.9M	-2.2M	2.10	26.19	6,157	12,948	61,517	65,185
2018-07-13	$115.71	$114.00	4.3%	1.2%	3.3%	14.8%	7.0%	1.2%	0.1%	114.4M	-73.0M	-2.2M	2.18	21.58	5,756	12,550	61,586	65,185
2018-07-16	$115.51	$114.00	4.2%	1.2%	3.4%	13.8%	7.0%	1.1%	0.3%	95.9M	-35.9M	-2.1M	2.14	25.66	5,721	12,270	61,592	65,199
2018-07-17	$115.39	$114.00	4.5%	1.3%	3.3%	19.5%	4.5%	1.4%	0.2%	72.9M	8.0M	-2.1M	2.10	18.79	5,832	12,251	61,603	65,211
2018-07-18	$115.36	$114.00	4.4%	1.3%	3.3%	17.4%	4.3%	1.4%	0.3%	63.9M	18.2M	-2.1M	2.12	37.22	5,792	12,252	61,599	65,229
2018-07-19	$115.60	$114.00	4.1%	1.2%	2.9%	12.1%	4.7%	1.8%	0.3%	113.0M	-48.0M	-2.1M	2.17	25.73	5,705	12,371	61,604	64,627
2018-07-20	$115.23	$114.00	4.6%	1.3%	3.2%	22.7%	6.9%	1.1%	-0.1%	13.3M	38.6M	-2.1M	1.92	28.87	5,674	10,911	61,610	64,752
2018-07-23	$114.77	$114.00	4.8%	1.4%	3.6%	26.2%	6.4%	1.5%	-0.0%	-6.5M	118.8M	-2.0M	2.01	25.47	6,708	13,493	44,597	61,719
2018-07-24	$115.16	$114.00	4.7%	1.4%	3.7%	24.3%	7.5%	1.4%	0.3%	3.7M	90.8M	-2.0M	1.98	32.48	6,568	12,984	46,014	63,069
2018-07-25	$115.30	$114.00	4.7%	1.3%	3.6%	22.9%	8.1%	1.3%	0.1%	8.8M	55.5M	-2.0M	2.40	51.83	5,417	12,992	46,094	63,172
2018-07-26	$115.38	$114.00	4.7%	1.3%	3.5%	23.0%	4.9%	1.5%	0.1%	10.5M	52.9M	-2.0M	2.14	30.38	5,227	11,200	46,206	63,182
2018-07-27	$115.50	$114.00	4.8%	1.4%	3.4%	26.0%	4.9%	1.7%	-0.1%	13.2M	42.6M	-2.0M	1.49	88.14	7,336	10,954	46,247	64,111
2018-07-30	$115.41	$114.00	5.0%	1.4%	3.4%	29.2%	5.5%	1.3%	-0.1%	11.1M	63.5M	-2.0M	3.16	75.43	5,816	18,400	46,607	64,039
2018-07-31	$115.74	$114.00	4.2%	1.2%	3.4%	13.1%	5.6%	1.5%	-0.1%	11.3M	22.0M	-2.1M	2.52	87.92	5,624	14,176	46,617	71,455