LQD Options History — October 2018

In October 2018, LQD traded between $112.31 and $114.58. ATM implied volatility averaged 5.1%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.6% (HV 20d: 4.5%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 2.04.

Notable Days

2018-10-01: Highest Volume — 39,052 contracts
2018-10-04: Largest IV spike — 35.0% change
2018-10-04: Highest IV Rank — 56.7%
2018-10-29: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.10	$112.31	$114.58	$114.50	$112.31
Max Pain	$114.57	$114.00	$115.00	$115.00	$114.00
ATM IV	5.1%	3.8%	6.3%	4.7%	5.3%
Expected Move	1.5%	1.1%	1.7%	1.3%	1.5%
HV 20d	4.5%	3.8%	5.0%	4.3%	4.1%
HV 60d	4.0%	3.7%	4.2%	3.7%	3.9%
IV Rank	32.6%	6.5%	56.7%	24.2%	35.7%
IV Percentile	62.4%	4.4%	88.9%	49.6%	72.6%
Term Structure	0.3%	-0.2%	0.9%	0.1%	0.3%
VWIV	5.2%	4.2%	6.9%	4.2%	5.7%
Skew 25d	1.2%	0.8%	1.6%	1.2%	1.1%
Skew 10d	1.7%	-1.2%	4.0%	1.1%	1.7%
Call IV 25d	4.7%	3.4%	5.4%	3.4%	5.0%
Put IV 25d	5.9%	4.6%	6.6%	4.6%	6.0%
Bid-Ask Spread %	56.44	18.41	108.81	31.78	26.00
Gamma HHI	0.40	0.33	0.59	0.35	0.33
Net GEX	-254.6M	-518.3M	-104.6M	-111.3M	-199.1M
Net DEX	458.8M	164.0M	681.8M	171.4M	579.9M
Net VEX	-2.3M	-2.6M	-2.0M	-2.1M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	0.20	6.26	6.26	1.41
Total Volume	22,017.565	9,022	39,052	39,052	21,835
Total OI	160,343.043	123,840	190,271	146,937	152,661

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
2018-10-01	$114.50	$115.00	4.7%	1.3%	4.3%	24.2%	4.2%	1.2%	0.1%	-111.3M	171.4M	-2.1M	6.26	31.78	5,378	33,674	25,487	121,450
2018-10-02	$114.58	$115.00	4.4%	1.3%	3.8%	18.3%	4.4%	1.2%	-0.1%	-104.6M	164.0M	-2.0M	5.50	21.43	5,722	31,478	25,558	121,314
2018-10-03	$113.88	$115.00	4.7%	1.3%	4.4%	23.6%	6.9%	0.9%	0.1%	-163.7M	285.3M	-2.3M	2.91	34.12	7,783	22,632	26,047	121,273
2018-10-04	$113.43	$115.00	6.3%	1.7%	4.4%	56.7%	5.9%	1.5%	0.1%	-202.3M	410.5M	-2.4M	1.62	84.38	9,846	15,969	25,486	131,333
2018-10-05	$112.96	$115.00	5.9%	1.6%	4.5%	48.0%	5.5%	1.6%	0.5%	-269.0M	533.8M	-2.6M	1.42	79.59	9,182	13,008	27,524	142,880
2018-10-08	$112.81	$115.00	5.2%	1.5%	4.3%	33.9%	4.8%	1.4%	0.9%	-317.6M	555.1M	-2.6M	0.30	79.41	9,195	2,717	28,525	143,101
2018-10-09	$113.08	$115.00	5.2%	1.5%	4.4%	34.7%	4.6%	1.5%	0.6%	-293.5M	471.0M	-2.5M	0.41	18.41	9,206	3,771	28,520	143,115
2018-10-10	$112.82	$115.00	5.6%	1.6%	4.3%	41.4%	4.8%	1.6%	0.3%	-317.0M	563.2M	-2.5M	0.53	93.32	7,257	3,839	26,146	142,659
2018-10-11	$113.40	$115.00	5.7%	1.6%	4.7%	43.4%	5.7%	1.2%	0.6%	-253.5M	413.8M	-2.2M	3.96	39.52	7,047	27,916	25,693	142,717
2018-10-12	$113.37	$115.00	5.4%	1.6%	4.7%	38.4%	4.6%	1.0%	0.3%	-290.5M	434.2M	-2.4M	2.75	89.97	6,339	17,435	25,804	157,820
2018-10-15	$113.11	$115.00	5.2%	1.5%	4.7%	33.9%	4.2%	1.3%	0.5%	-363.0M	471.6M	-2.3M	2.08	19.28	5,993	12,443	25,002	157,836
2018-10-16	$113.46	$115.00	5.5%	1.6%	4.8%	39.4%	5.0%	0.9%	-0.2%	-303.1M	400.2M	-2.2M	3.54	29.17	5,794	20,530	26,008	157,877
2018-10-17	$112.92	$115.00	4.3%	1.2%	5.0%	16.8%	4.3%	1.0%	0.7%	-453.6M	549.3M	-2.2M	3.86	20.87	5,346	20,622	26,823	158,027
2018-10-18	$112.85	$114.00	5.2%	1.5%	4.8%	33.8%	5.3%	1.2%	0.5%	-518.3M	610.3M	-2.2M	3.72	104.38	6,166	22,965	27,155	163,116
2018-10-19	$112.69	$114.00	4.8%	1.4%	4.7%	26.5%	4.8%	0.8%	0.3%	-512.2M	681.8M	-2.2M	1.07	30.27	6,271	6,724	28,382	158,108
2018-10-22	$112.56	$114.00	3.9%	1.1%	4.7%	7.9%	4.7%	1.3%	0.4%	-161.4M	468.3M	-2.1M	0.62	25.13	10,137	6,261	26,734	97,106
2018-10-23	$112.68	$114.00	3.8%	1.1%	4.7%	6.5%	5.3%	1.2%	0.6%	-159.7M	440.4M	-2.3M	0.37	26.65	6,589	2,433	30,506	100,863
2018-10-24	$112.85	$114.00	5.0%	1.4%	4.6%	30.6%	5.2%	1.2%	0.2%	-158.6M	428.4M	-2.3M	0.20	100.00	12,414	2,516	30,594	101,125
2018-10-25	$112.77	$114.00	5.1%	1.5%	4.5%	31.5%	5.5%	0.9%	0.2%	-174.5M	466.1M	-2.2M	0.20	98.58	12,443	2,456	29,558	111,591
2018-10-26	$112.98	$114.00	5.4%	1.5%	4.6%	38.1%	5.5%	1.1%	-0.1%	-168.4M	442.6M	-2.3M	1.37	98.24	9,343	12,758	29,612	112,090
2018-10-29	$112.89	$114.00	6.0%	1.7%	4.5%	50.4%	6.3%	1.1%	-0.2%	-173.9M	469.6M	-2.2M	1.41	108.81	9,331	13,143	29,827	122,360
2018-10-30	$112.51	$114.00	5.3%	1.5%	4.5%	36.1%	5.6%	0.9%	-0.1%	-187.8M	542.9M	-2.3M	1.43	38.85	9,246	13,251	29,824	122,653
2018-10-31	$112.31	$114.00	5.3%	1.5%	4.1%	35.7%	5.7%	1.1%	0.3%	-199.1M	579.9M	-2.2M	1.41	26.00	9,074	12,761	29,829	122,832