LQD Options History — December 2018

In December 2018, LQD traded between $111.54 and $112.97. ATM implied volatility averaged 5.2%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 2.3% (HV 20d: 2.9%). Max pain ranged from $113.00 to $116.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 18.77.

Notable Days

  • 2018-12-20: Highest Volume — 89,419 contracts
  • 2018-12-12: Largest IV drop — 32.3% change
  • 2018-12-24: Highest IV Rank — 61.1%
  • 2018-12-24: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.31$111.54$112.97$111.54$112.90
Max Pain$114.45$113.00$116.00$113.00$113.00
ATM IV5.2%4.0%6.5%4.0%5.6%
Expected Move1.4%1.1%1.9%1.1%1.6%
HV 20d2.9%2.5%3.3%2.8%3.3%
HV 60d3.6%3.5%3.7%3.7%3.5%
IV Rank33.7%8.9%61.1%9.9%42.1%
IV Percentile55.7%8.3%91.3%10.3%76.2%
Term Structure-0.1%-1.0%0.5%0.1%0.5%
VWIV5.3%4.0%7.5%5.5%6.4%
Skew 25d1.4%0.6%2.5%1.9%1.2%
Skew 10d3.1%1.4%5.3%4.4%4.4%
Call IV 25d4.6%3.5%6.3%4.1%5.4%
Put IV 25d5.9%5.0%7.2%6.0%6.6%
Bid-Ask Spread %88.8569.40104.3273.0878.89
Gamma HHI0.240.160.400.210.17
Net GEX-176.9M-330.0M-90.1M-149.3M-90.1M
Net DEX280.3M47.2M476.7M476.7M60.9M
Net VEX-4.0M-4.6M-3.4M-4.1M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.770.17174.100.498.75
Total Volume23,263.194989,41994911,477
Total OI319,827.55260,077435,259262,831320,226

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$111.54$113.004.0%1.1%2.8%9.9%5.5%1.9%0.1%-149.3M476.7M-4.1M0.4973.0863731260,819202,012
2018-12-04$111.61$113.004.2%1.2%2.7%13.1%4.1%2.3%0.2%-145.3M402.5M-3.9M0.9685.821,5481,48860,418199,659
2018-12-05$111.56$113.004.7%1.3%2.6%23.4%4.2%2.3%-0.1%-149.5M457.8M-4.0M0.9596.241,5681,48860,418199,659
2018-12-06$111.92$116.005.8%1.5%2.8%45.6%5.7%1.1%-0.2%-129.0M376.2M-3.5M44.4788.3824811,02861,926200,098
2018-12-07$111.96$116.005.2%1.3%2.7%34.9%5.3%0.7%0.0%-147.5M391.0M-3.8M9.8895.981,12511,11862,188209,383
2018-12-10$112.19$116.005.9%1.5%2.8%47.4%5.5%0.9%-0.3%-127.3M340.7M-4.1M39.5887.7745818,12982,416213,997
2018-12-11$112.44$116.006.2%1.4%3.0%53.4%5.6%1.1%-0.0%-110.1M232.1M-3.5M65.8973.2632021,08582,412214,398
2018-12-12$112.53$116.004.2%1.2%3.0%13.3%5.2%1.0%-0.1%-142.6M246.1M-4.1M174.1080.1535461,63082,649232,466
2018-12-13$112.84$116.004.3%1.2%2.8%16.3%4.4%0.9%0.1%-254.0M295.2M-4.0M15.0392.474066,10283,176264,328
2018-12-14$112.74$116.004.0%1.1%2.7%8.9%4.0%1.3%0.3%-294.9M248.8M-3.9M3.4181.801,8756,39783,178264,700
2018-12-17$112.85$116.004.6%1.3%2.7%21.3%4.2%1.3%0.1%-256.1M249.7M-3.8M1.0193.002,7542,78784,864264,817
2018-12-18$112.92$116.004.3%1.2%2.6%15.5%4.3%0.6%0.2%-187.8M83.4M-3.4M1.1469.407,7478,85887,028267,573
2018-12-19$112.97$115.004.9%1.4%2.5%28.2%4.1%1.9%0.5%-176.4M47.2M-3.5M0.1794.4836,5806,23687,235262,934
2018-12-20$112.49$113.005.9%1.7%3.0%48.0%5.9%1.0%-1.0%-276.0M254.3M-4.3M3.71104.3219,00570,414121,726268,386
2018-12-21$112.33$113.005.5%1.6%3.0%39.7%6.0%1.8%0.5%-330.0M263.7M-4.5M3.6999.0518,83469,419124,125311,134
2018-12-24$112.03$113.006.5%1.9%3.2%61.1%5.1%0.8%-0.3%-133.0M367.7M-4.6M1.3687.7718,76225,45598,309215,169
2018-12-26$111.94$113.006.0%1.7%3.2%51.0%6.7%1.2%-0.9%-158.0M349.2M-4.5M0.23102.255,0731,173103,295217,905
2018-12-27$112.06$113.005.9%1.7%3.1%48.0%6.5%2.0%-0.6%-148.4M244.5M-4.6M0.2499.255,1061,204103,294217,614
2018-12-28$112.47$113.006.1%1.7%3.1%52.0%7.5%2.5%-0.3%-133.4M218.9M-4.6M0.3793.565,1641,898103,286217,331
2018-12-31$112.90$113.005.6%1.6%3.3%42.1%6.4%1.2%0.5%-90.1M60.9M-4.3M8.7578.891,17710,300103,355216,871