LQD Options History — November 2018

In November 2018, LQD traded between $111.40 and $112.39. ATM implied volatility averaged 5.3%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.1% (HV 20d: 3.2%). Max pain ranged from $113.00 to $114.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.66.

Notable Days

  • 2018-11-27: Highest Volume — 71,296 contracts
  • 2018-11-07: Largest IV drop — 37.2% change
  • 2018-11-06: Highest IV Rank — 60.3%
  • 2018-11-20: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.83$111.40$112.39$112.16$111.43
Max Pain$113.10$113.00$114.00$114.00$113.00
ATM IV5.3%4.1%6.5%5.4%5.6%
Expected Move1.5%1.4%1.7%1.5%1.6%
HV 20d3.2%2.8%3.9%3.9%3.0%
HV 60d3.9%3.8%4.0%3.9%3.8%
IV Rank37.1%11.5%60.3%37.7%42.3%
IV Percentile67.8%13.9%90.1%75.0%79.8%
Term Structure-0.1%-0.5%0.4%-0.2%-0.5%
VWIV5.7%4.5%6.9%5.3%6.1%
Skew 25d1.4%1.0%1.9%1.0%1.4%
Skew 10d3.0%-0.3%4.2%1.5%3.0%
Call IV 25d4.8%4.1%5.4%5.0%4.7%
Put IV 25d6.2%5.7%7.0%6.0%6.2%
Bid-Ask Spread %39.9521.2183.2521.5473.37
Gamma HHI0.260.190.410.330.24
Net GEX-154.5M-233.2M-110.7M-196.8M-135.3M
Net DEX589.5M465.1M804.1M575.2M502.1M
Net VEX-3.0M-4.1M-2.0M-2.2M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.835.153.563.05
Total Volume29,67110,90471,29641,78623,913
Total OI190,858.857146,167259,629152,720258,276

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$112.16$114.005.4%1.5%3.9%37.7%5.3%1.0%-0.2%-196.8M575.2M-2.2M3.5621.549,16232,62429,879122,841
2018-11-02$111.75$114.005.5%1.6%3.9%39.1%5.5%1.2%-0.1%-156.2M630.7M-2.0M4.5839.008,28637,93629,955117,750
2018-11-05$111.94$113.005.9%1.6%3.9%48.0%4.9%1.1%-0.3%-162.3M583.9M-2.0M5.1536.084,95025,50329,965116,202
2018-11-06$112.14$113.006.5%1.7%3.9%60.3%6.1%1.9%-0.5%-168.5M556.3M-2.1M4.7325.944,97823,54129,979116,474
2018-11-07$112.39$113.004.1%1.5%3.9%11.5%4.7%1.8%-0.3%-233.2M506.0M-2.2M4.5344.254,98522,57330,009124,387
2018-11-08$112.21$113.004.9%1.5%3.4%27.6%4.8%1.6%-0.0%-212.7M606.9M-2.7M2.9382.285,27115,46935,727139,250
2018-11-09$112.15$113.004.7%1.4%3.4%24.2%4.5%1.5%0.0%-200.4M633.7M-2.9M2.4037.095,20012,49935,866145,094
2018-11-12$112.15$113.004.8%1.5%3.3%26.4%4.5%1.1%-0.0%-192.8M634.2M-2.8M2.4037.545,00011,98735,875146,045
2018-11-13$112.09$113.005.5%1.5%3.1%39.5%5.0%1.1%-0.1%-162.9M691.8M-2.7M1.5221.217,52111,46935,881146,113
2018-11-14$111.73$113.005.4%1.5%2.8%37.3%5.0%1.1%0.1%-146.0M749.4M-2.7M0.9024.545,7535,15138,593146,582
2018-11-15$111.52$113.005.4%1.5%2.9%37.5%5.7%1.8%0.4%-130.0M797.2M-2.7M1.6235.7610,25816,63739,186146,839
2018-11-16$111.71$113.005.6%1.6%3.0%41.3%6.4%1.5%0.1%-142.5M804.1M-3.1M1.7425.039,15815,89443,186158,341
2018-11-19$111.62$113.005.8%1.7%3.0%46.1%6.0%1.6%-0.3%-110.7M520.7M-3.2M1.4731.1713,83820,33544,166142,161
2018-11-20$111.40$113.005.9%1.7%2.9%48.1%6.3%1.4%-0.0%-114.8M549.9M-3.4M1.6631.419,94016,54747,646150,621
2018-11-21$111.61$113.005.3%1.5%3.0%36.3%6.5%1.7%0.3%-131.0M564.9M-3.3M0.8330.7915,80913,15339,238151,581
2018-11-23$111.64$113.005.4%1.6%3.0%38.3%6.5%1.5%-0.2%-123.0M502.9M-3.4M0.8634.4715,61913,41247,969151,722
2018-11-26$111.69$113.005.3%1.5%2.9%36.3%6.9%1.7%-0.0%-123.1M495.8M-3.4M0.8534.1115,77113,42648,981151,973
2018-11-27$111.59$113.005.3%1.5%2.9%36.1%6.3%1.2%-0.1%-119.1M479.3M-3.8M3.4726.6815,96055,33659,007156,497
2018-11-28$111.90$113.005.1%1.5%2.9%32.5%6.3%1.7%0.2%-141.0M465.1M-4.1M4.6863.448,01537,47460,983198,646
2018-11-29$111.55$113.005.1%1.5%3.1%32.1%6.8%1.3%0.1%-142.7M529.7M-4.1M2.8783.255,87916,85961,004197,546
2018-11-30$111.43$113.005.6%1.6%3.0%42.3%6.1%1.4%-0.5%-135.3M502.1M-3.5M3.0573.375,90118,01260,859197,417