LQD Options History — September 2018

In September 2018, LQD traded between $114.30 and $115.22. ATM implied volatility averaged 4.4%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.5% (HV 20d: 3.9%). Max pain ranged from $115.00 to $115.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.48.

Notable Days

2018-09-24: Highest Volume — 47,497 contracts
2018-09-26: Largest IV drop — 19.9% change
2018-09-25: Highest IV Rank — 32.4%
2018-09-25: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.81	$114.30	$115.22	$114.83	$114.97
Max Pain	$115.00	$115.00	$115.00	$115.00	$115.00
ATM IV	4.4%	4.0%	5.1%	4.4%	4.1%
Expected Move	1.3%	1.2%	1.5%	1.2%	1.2%
HV 20d	3.9%	3.3%	4.1%	3.5%	4.1%
HV 60d	3.7%	3.6%	3.7%	3.6%	3.6%
IV Rank	17.3%	9.3%	32.4%	17.1%	12.7%
IV Percentile	31.6%	10.3%	70.6%	31.7%	16.3%
Term Structure	0.0%	-0.4%	0.4%	0.1%	0.3%
VWIV	5.7%	3.9%	8.0%	4.4%	4.0%
Skew 25d	0.8%	-4.3%	1.9%	0.4%	0.6%
Skew 10d	1.9%	-1.5%	4.3%	-1.5%	1.2%
Call IV 25d	4.3%	3.2%	9.3%	4.4%	4.2%
Put IV 25d	5.1%	4.8%	5.9%	4.8%	4.8%
Bid-Ask Spread %	58.14	11.22	98.08	81.60	22.17
Gamma HHI	0.27	0.20	0.37	0.21	0.32
Net GEX	-76.7M	-124.7M	-25.9M	-40.4M	-85.4M
Net DEX	135.6M	77.6M	213.4M	101.6M	130.9M
Net VEX	-1.6M	-2.0M	-1.3M	-1.5M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.48	1.20	5.37	1.91	5.37
Total Volume	25,649.263	15,515	47,497	15,515	34,184
Total OI	117,537.105	102,456	142,227	110,198	135,761

Daily Data (19 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
2018-09-04	$114.83	$115.00	4.4%	1.2%	3.5%	17.1%	4.4%	0.4%	0.1%	-40.4M	101.6M	-1.5M	1.91	81.60	5,339	10,176	45,447	64,751
2018-09-05	$114.85	$115.00	4.2%	1.2%	3.3%	14.7%	4.5%	0.7%	0.4%	-50.4M	130.5M	-1.6M	1.56	72.35	6,832	10,648	41,201	72,188
2018-09-06	$115.12	$115.00	4.3%	1.4%	3.4%	15.1%	5.6%	0.9%	-0.3%	-25.9M	77.6M	-1.5M	1.69	87.10	6,291	10,655	41,136	72,507
2018-09-07	$114.68	$115.00	4.0%	1.3%	3.7%	9.3%	5.6%	1.1%	-0.1%	-75.7M	155.1M	-1.5M	1.69	83.06	6,285	10,622	41,152	72,511
2018-09-10	$115.01	$115.00	4.2%	1.3%	3.8%	14.3%	6.9%	1.5%	-0.1%	-53.9M	116.2M	-1.5M	1.79	87.45	5,776	10,313	41,157	72,515
2018-09-11	$114.74	$115.00	4.3%	1.2%	3.8%	14.9%	6.0%	1.0%	-0.0%	-73.8M	145.2M	-1.5M	1.66	80.96	6,231	10,346	41,174	72,550
2018-09-12	$114.99	$115.00	4.3%	1.2%	3.9%	15.4%	8.0%	1.1%	0.0%	-55.7M	97.1M	-1.4M	1.65	94.36	6,227	10,251	41,220	72,591
2018-09-13	$115.22	$115.00	4.5%	1.3%	3.9%	19.7%	7.4%	-4.3%	-0.0%	-35.3M	80.7M	-1.5M	1.56	98.08	6,393	9,991	41,220	72,603
2018-09-14	$115.08	$115.00	4.4%	1.3%	3.9%	17.3%	6.3%	1.0%	-0.1%	-66.5M	94.0M	-1.4M	1.60	93.14	6,334	10,135	41,207	72,718
2018-09-17	$115.01	$115.00	4.4%	1.3%	3.8%	17.6%	4.8%	1.1%	-0.1%	-84.0M	107.1M	-1.3M	1.20	22.83	8,373	10,065	41,188	72,856
2018-09-18	$114.55	$115.00	4.4%	1.3%	3.9%	17.2%	5.1%	0.9%	-0.0%	-113.4M	164.8M	-1.4M	1.21	16.57	8,400	10,167	43,310	72,880
2018-09-19	$114.30	$115.00	4.8%	1.4%	3.9%	25.1%	4.4%	0.9%	-0.2%	-116.8M	213.4M	-1.4M	1.40	11.22	7,595	10,652	43,297	72,847
2018-09-20	$114.65	$115.00	4.3%	1.2%	4.1%	16.3%	5.9%	1.1%	0.2%	-112.8M	152.8M	-1.5M	4.66	15.25	7,523	35,085	45,750	73,334
2018-09-21	$114.74	$115.00	4.3%	1.2%	4.1%	16.0%	5.8%	0.9%	0.4%	-124.7M	184.7M	-1.5M	3.26	15.44	10,983	35,858	43,847	98,380
2018-09-24	$114.45	$115.00	4.9%	1.4%	4.0%	28.8%	5.8%	1.0%	-0.4%	-69.6M	127.5M	-1.7M	2.90	11.37	12,187	35,310	24,176	78,280
2018-09-25	$114.41	$115.00	5.1%	1.5%	4.0%	32.4%	6.6%	1.8%	-0.3%	-95.1M	187.3M	-1.9M	3.56	54.55	9,918	35,334	24,744	91,319
2018-09-26	$114.76	$115.00	4.1%	1.2%	4.1%	11.9%	7.2%	1.9%	0.3%	-80.0M	145.7M	-1.8M	3.88	95.69	6,447	24,997	24,195	91,443
2018-09-27	$114.96	$115.00	4.2%	1.2%	4.1%	12.9%	3.9%	1.8%	0.1%	-97.5M	163.7M	-2.0M	4.59	61.44	6,333	29,080	24,260	111,490
2018-09-28	$114.97	$115.00	4.1%	1.2%	4.1%	12.7%	4.0%	0.6%	0.3%	-85.4M	130.9M	-1.9M	5.37	22.17	5,370	28,814	24,303	111,458