LQD Options History — August 2018

In August 2018, LQD traded between $115.03 and $116.29. ATM implied volatility averaged 4.2%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.5% (HV 20d: 3.7%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.31.

Notable Days

2018-08-09: Highest Volume — 32,487 contracts
2018-08-13: Largest IV spike — 28.1% change
2018-08-13: Highest IV Rank — 30.4%
2018-08-01: Largest Expected Move — 1.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.62	$115.03	$116.29	$115.03	$115.47
Max Pain	$114.87	$114.00	$115.00	$114.00	$115.00
ATM IV	4.2%	3.8%	5.0%	4.6%	4.2%
Expected Move	1.2%	1.1%	1.3%	1.3%	1.2%
HV 20d	3.7%	2.9%	4.0%	3.9%	2.9%
HV 60d	3.9%	3.5%	4.5%	4.5%	3.5%
IV Rank	13.9%	5.8%	30.4%	22.8%	13.3%
IV Percentile	20.2%	3.6%	64.3%	43.3%	19.0%
Term Structure	0.3%	-0.2%	0.7%	-0.2%	0.3%
VWIV	4.3%	2.8%	5.8%	5.2%	5.1%
Skew 25d	0.9%	0.3%	2.3%	1.0%	0.5%
Skew 10d	1.7%	-1.1%	3.1%	3.1%	-1.1%
Call IV 25d	3.8%	2.7%	4.2%	4.2%	3.8%
Put IV 25d	4.7%	4.3%	5.3%	5.3%	4.3%
Bid-Ask Spread %	44.42	15.21	106.70	96.87	61.46
Gamma HHI	0.22	0.19	0.27	0.20	0.21
Net GEX	10.8M	-17.2M	30.4M	-6.7M	-17.2M
Net DEX	18.9M	-67.8M	83.9M	83.5M	74.0M
Net VEX	-1.8M	-2.1M	-1.7M	-2.0M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.31	1.31	4.26	2.28	1.31
Total Volume	20,160.087	16,423	32,487	18,449	17,500
Total OI	118,423.957	112,479	127,181	118,031	114,515

Daily Data (23 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
2018-08-01	$115.03	$114.00	4.6%	1.3%	3.9%	22.8%	5.2%	1.0%	-0.2%	-6.7M	83.5M	-2.0M	2.28	96.87	5,624	12,825	46,483	71,548
2018-08-02	$115.15	$114.00	4.6%	1.3%	3.8%	21.4%	5.0%	2.3%	0.1%	-2.7M	83.9M	-2.0M	2.30	21.60	5,624	12,942	46,390	72,396
2018-08-03	$115.49	$114.00	4.5%	1.3%	3.9%	21.0%	5.8%	1.4%	-0.0%	11.5M	30.7M	-2.1M	2.18	43.10	5,878	12,816	46,391	70,948
2018-08-06	$115.62	$115.00	4.3%	1.2%	3.9%	16.3%	5.1%	1.3%	0.2%	21.0M	18.5M	-1.9M	1.89	28.50	5,698	10,767	46,510	70,949
2018-08-07	$115.28	$115.00	4.4%	1.3%	4.0%	17.3%	4.5%	1.1%	0.0%	6.6M	67.0M	-1.9M	1.85	27.02	5,766	10,657	46,627	71,134
2018-08-08	$115.14	$115.00	4.0%	1.2%	4.0%	9.3%	4.3%	0.9%	-0.0%	154.7K	70.8M	-1.9M	1.49	29.99	7,295	10,854	46,999	71,047
2018-08-09	$115.12	$115.00	3.8%	1.2%	3.9%	5.8%	3.2%	1.1%	0.2%	2.8M	68.1M	-1.9M	4.09	45.58	6,382	26,105	47,921	71,417
2018-08-10	$115.35	$115.00	3.9%	1.3%	4.0%	8.3%	4.2%	0.7%	0.1%	8.7M	37.4M	-1.9M	4.26	94.23	6,132	26,121	48,395	76,882
2018-08-13	$115.28	$115.00	5.0%	1.3%	4.0%	30.4%	4.6%	0.3%	0.1%	12.7M	37.1M	-1.9M	3.35	51.58	5,282	17,669	49,055	76,923
2018-08-14	$115.48	$115.00	3.9%	1.3%	4.0%	8.7%	4.2%	0.8%	0.2%	15.0M	10.3M	-2.0M	3.39	18.66	5,204	17,664	49,047	77,524
2018-08-15	$115.68	$115.00	4.2%	1.2%	4.0%	14.0%	4.3%	1.0%	0.6%	15.0M	-10.2M	-2.0M	3.40	21.94	5,192	17,668	49,047	77,527
2018-08-16	$115.83	$115.00	4.1%	1.2%	4.0%	12.1%	4.2%	0.9%	0.5%	23.2M	-34.9M	-1.8M	3.14	18.94	5,600	17,576	49,057	77,531
2018-08-17	$115.97	$115.00	4.2%	1.2%	3.8%	14.7%	4.3%	0.9%	0.5%	29.3M	-67.8M	-1.7M	3.12	15.21	5,323	16,589	49,651	77,530
2018-08-20	$116.26	$115.00	4.4%	1.3%	3.5%	17.2%	4.5%	0.7%	0.4%	28.0M	-67.3M	-1.7M	2.39	34.90	5,894	14,096	40,973	71,506
2018-08-21	$116.02	$115.00	4.0%	1.2%	3.5%	10.9%	3.9%	0.5%	0.7%	17.9M	-22.9M	-1.9M	1.76	20.37	6,027	10,597	41,750	71,465
2018-08-22	$115.99	$115.00	4.2%	1.2%	3.5%	14.1%	4.1%	0.5%	0.4%	15.4M	4.9M	-1.9M	1.78	93.86	6,012	10,721	41,902	71,592
2018-08-23	$116.03	$115.00	4.1%	1.2%	3.5%	11.8%	4.2%	0.7%	0.5%	19.8M	-14.6M	-1.8M	1.78	89.50	6,137	10,899	41,906	71,607
2018-08-24	$116.29	$115.00	4.0%	1.2%	3.5%	10.7%	3.9%	1.1%	0.3%	28.4M	-48.7M	-1.7M	1.50	37.29	7,238	10,866	42,008	71,903
2018-08-27	$116.09	$115.00	3.9%	1.1%	3.6%	8.5%	4.0%	0.7%	0.4%	30.4M	-31.7M	-1.7M	1.49	23.21	7,342	10,916	42,301	71,958
2018-08-28	$115.65	$115.00	3.9%	1.1%	3.7%	7.0%	4.1%	0.5%	0.6%	2.8M	36.8M	-1.7M	1.51	106.70	7,211	10,898	42,394	72,081
2018-08-29	$115.49	$115.00	4.2%	1.2%	3.0%	14.4%	2.9%	1.0%	0.3%	-10.2M	59.9M	-1.7M	1.43	19.36	7,554	10,786	42,291	72,172
2018-08-30	$115.63	$115.00	4.0%	1.1%	3.0%	8.9%	2.8%	0.9%	0.3%	-3.5M	51.1M	-1.7M	1.35	21.66	7,555	10,180	42,310	72,188
2018-08-31	$115.47	$115.00	4.2%	1.2%	2.9%	13.3%	5.1%	0.5%	0.3%	-17.2M	74.0M	-1.7M	1.31	61.46	7,576	9,924	42,317	72,198