LQD Options History — January 2019

In January 2019, LQD traded between $113.02 and $116.62. ATM implied volatility averaged 4.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.1% (HV 20d: 3.5%). Max pain ranged from $112.00 to $113.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.20.

Notable Days

  • 2019-01-04: Highest Volume — 39,002 contracts
  • 2019-01-15: Largest IV drop — 32.1% change
  • 2019-01-03: Highest IV Rank — 54.8%
  • 2019-01-02: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.16$113.02$116.62$113.02$116.62
Max Pain$112.05$112.00$113.00$113.00$112.00
ATM IV4.6%2.8%6.2%6.2%2.8%
Expected Move1.3%0.9%1.8%1.8%0.9%
HV 20d3.5%3.1%4.0%3.3%3.9%
HV 60d3.3%3.2%3.5%3.4%3.5%
IV Rank23.3%0.0%54.8%53.4%0.0%
IV Percentile32.1%0.0%86.9%86.5%0.0%
Term Structure-0.0%-0.7%0.7%-0.7%0.1%
VWIV5.0%3.5%6.3%6.3%5.0%
Skew 25d1.8%0.3%2.5%1.3%2.0%
Skew 10d2.9%-0.7%5.3%1.9%5.2%
Call IV 25d3.6%2.4%5.3%5.1%3.2%
Put IV 25d5.3%3.4%6.8%6.3%5.2%
Bid-Ask Spread %81.6566.06106.0089.4470.48
Gamma HHI0.320.160.720.190.19
Net GEX48.1M-108.4M391.5M-58.1M-2.4M
Net DEX-326.4M-646.3M-41.7M-51.1M-646.3M
Net VEX-2.9M-3.8M-2.0M-3.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0532.683.251.34
Total Volume18,495.9524639,00213,55137,896
Total OI313,893.095232,807370,716320,614289,960

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$113.02$113.006.2%1.8%3.3%53.4%6.3%1.3%-0.7%-58.1M-51.1M-3.8M3.2589.443,18910,362103,717216,897
2019-01-03$113.23$112.006.2%1.7%3.3%54.8%5.3%1.5%-0.2%-28.7M-148.8M-3.3M6.1969.504,17725,868106,945216,924
2019-01-04$113.12$112.005.9%1.7%3.3%48.4%5.2%2.3%-0.1%-108.4M-41.7M-3.6M2.2183.2712,16326,839100,288228,267
2019-01-07$113.19$112.006.1%1.6%3.2%52.2%5.0%1.9%-0.5%-59.7M-196.1M-3.0M0.1176.671,109120100,598237,854
2019-01-08$113.42$112.005.5%1.5%3.2%40.3%4.7%1.6%-0.3%-53.1M-173.2M-3.5M0.1366.061,225164104,770237,766
2019-01-09$113.87$112.004.5%1.3%3.4%19.8%4.6%1.3%-0.1%47.3M-354.4M-3.2M1.7383.631,4472,504105,035237,819
2019-01-10$113.44$112.004.8%1.4%3.7%25.3%4.3%2.0%-0.1%-31.5M-259.7M-2.9M1.4373.4211,51616,461105,335239,949
2019-01-11$113.74$112.004.3%1.2%3.8%16.5%4.9%1.3%-0.2%99.3M-297.3M-3.6M1.2172.7511,01213,341115,578250,351
2019-01-14$113.47$112.005.0%1.4%3.8%29.1%5.7%2.5%-0.7%109.5M-282.5M-3.2M0.3777.14477175115,965249,431
2019-01-15$113.51$112.003.4%1.0%3.8%0.0%4.9%1.9%0.4%114.1M-293.9M-3.2M0.0576.3623,2921,271115,613249,223
2019-01-16$113.88$112.004.4%1.3%3.9%20.3%5.4%2.5%0.0%298.9M-409.2M-3.1M0.2478.3813,3623,237114,633248,768
2019-01-17$113.92$112.004.4%1.3%3.9%20.5%5.5%2.2%-0.1%391.5M-461.7M-2.5M0.6990.5018,26812,638115,030250,577
2019-01-18$114.13$112.004.4%1.3%4.0%20.2%5.5%1.6%-0.0%191.1M-452.4M-2.6M0.9577.0412,35711,746110,016260,700
2019-01-22$114.37$112.004.7%1.3%3.6%26.1%4.6%1.7%0.5%13.7M-358.5M-2.4M0.3481.272,12171765,708167,099
2019-01-23$114.66$112.003.8%1.1%3.5%8.5%4.9%1.4%0.7%23.6M-381.0M-2.6M4.6581.323,45316,05767,290167,824
2019-01-24$114.92$112.004.1%1.2%3.3%14.5%3.7%1.8%0.2%7.6M-400.8M-2.3M3.5284.074,53415,98267,713183,164
2019-01-25$115.01$112.003.8%1.1%3.2%8.6%3.5%0.3%0.3%17.0M-367.9M-3.0M4.0294.015,94123,90670,476188,173
2019-01-28$115.01$112.004.1%1.2%3.2%14.3%4.7%1.9%0.0%18.2M-412.6M-2.5M0.7790.95262070,477191,036
2019-01-29$115.19$112.004.2%1.2%3.1%16.6%6.2%2.5%-0.2%-544.7K-448.9M-2.2M32.6892.351173,82471,183191,053
2019-01-30$115.73$112.003.3%0.9%3.2%0.0%6.0%1.8%-0.2%20.3M-416.9M-2.8M1.38106.0014,90020,60171,265191,285
2019-01-31$116.62$112.002.8%0.9%3.9%0.0%5.0%2.0%0.1%-2.4M-646.3M-2.0M1.3470.4816,16521,73178,524211,436