LQD Options History — February 2019

In February 2019, LQD traded between $115.81 and $116.44. ATM implied volatility averaged 4.0%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded below realized volatility by 0.6% (HV 20d: 4.6%). Max pain ranged from $116.00 to $116.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 40.66.

Notable Days

2019-02-01: Highest Volume — 47,985 contracts
2019-02-06: Largest IV spike — 16.3% change
2019-02-01: Highest IV Rank — 26.8%
2019-02-04: Largest Expected Move — 1.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$116.14	$115.81	$116.44	$116.08	$115.99
Max Pain	$116.00	$116.00	$116.00	$116.00	$116.00
ATM IV	4.0%	3.7%	4.3%	4.3%	3.9%
Expected Move	1.2%	1.1%	1.3%	1.2%	1.1%
HV 20d	4.6%	4.4%	4.8%	4.5%	4.6%
HV 60d	3.7%	3.6%	3.8%	3.6%	3.7%
IV Rank	20.7%	14.9%	26.8%	26.8%	18.3%
IV Percentile	9.6%	1.6%	21.8%	21.8%	6.0%
Term Structure	-0.0%	-0.8%	0.4%	-0.0%	-0.0%
VWIV	4.8%	3.8%	7.9%	5.1%	4.5%
Skew 25d	1.6%	0.4%	2.6%	1.4%	1.7%
Skew 10d	1.3%	-3.4%	3.4%	3.4%	1.4%
Call IV 25d	3.3%	2.3%	4.2%	3.8%	3.2%
Put IV 25d	4.9%	4.2%	5.3%	5.3%	5.0%
Bid-Ask Spread %	89.21	75.86	110.97	78.40	93.15
Gamma HHI	0.23	0.15	0.39	0.16	0.39
Net GEX	-25.0M	-88.3M	2.6M	-13.3M	-88.3M
Net DEX	-141.3M	-204.4M	-29.0M	-176.2M	-29.0M
Net VEX	-2.2M	-2.6M	-1.9M	-1.9M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	40.66	0.06	372.36	1.69	2.38
Total Volume	12,781.158	317	47,985	47,985	11,356
Total OI	257,947.105	230,832	286,090	250,496	248,706

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
2019-02-01	$116.08	$116.00	4.3%	1.2%	4.5%	26.8%	5.1%	1.4%	-0.0%	-13.3M	-176.2M	-1.9M	1.69	78.40	17,826	30,159	38,352	212,144
2019-02-04	$115.81	$116.00	4.2%	1.3%	4.6%	24.8%	4.4%	0.7%	-0.3%	-17.6M	-81.4M	-2.1M	0.06	84.91	2,159	129	47,161	219,445
2019-02-05	$116.23	$116.00	3.7%	1.2%	4.7%	14.9%	4.9%	2.2%	-0.8%	-7.7M	-118.7M	-2.0M	0.18	89.39	2,820	516	46,461	219,515
2019-02-06	$116.12	$116.00	4.3%	1.2%	4.7%	25.5%	4.3%	1.7%	-0.2%	-19.5M	-166.4M	-2.2M	1.01	97.27	10,041	10,169	47,839	214,186
2019-02-07	$116.01	$116.00	4.2%	1.2%	4.7%	23.8%	4.2%	0.9%	-0.1%	-13.7M	-133.2M	-2.6M	1.03	80.55	10,102	10,441	55,873	224,312
2019-02-08	$116.34	$116.00	4.3%	1.2%	4.4%	25.2%	4.2%	1.5%	-0.3%	-700.1K	-204.4M	-2.0M	3.07	75.86	10,356	31,809	55,926	224,415
2019-02-11	$116.06	$116.00	4.2%	1.2%	4.5%	24.9%	7.9%	1.5%	-0.1%	-16.5M	-156.4M	-2.4M	0.62	81.03	1,407	875	56,094	229,996
2019-02-12	$116.19	$116.00	4.1%	1.2%	4.4%	21.8%	4.9%	1.7%	0.0%	-36.6K	-195.6M	-2.1M	0.62	80.31	1,418	885	56,340	220,417
2019-02-13	$115.97	$116.00	3.9%	1.1%	4.5%	18.2%	4.8%	2.5%	0.1%	-4.2M	-168.4M	-2.3M	4.67	86.52	1,923	8,979	57,352	220,391
2019-02-14	$116.08	$116.00	3.8%	1.1%	4.4%	17.4%	4.4%	2.6%	0.2%	-4.7M	-144.0M	-2.4M	6.25	91.24	1,542	9,637	55,951	219,741
2019-02-15	$116.19	$116.00	3.9%	1.1%	4.4%	19.0%	4.2%	0.4%	0.3%	2.6M	-180.9M	-2.2M	11.84	88.59	1,231	14,581	55,956	221,030
2019-02-19	$116.24	$116.00	3.8%	1.1%	4.4%	16.4%	4.7%	2.3%	-0.1%	-31.1M	-148.7M	-2.3M	372.36	91.60	28	10,426	48,076	182,756
2019-02-20	$116.19	$116.00	3.9%	1.1%	4.4%	18.3%	3.8%	2.0%	0.0%	-34.7M	-129.3M	-2.3M	11.19	110.97	26	291	48,085	183,108
2019-02-21	$115.83	$116.00	3.7%	1.1%	4.5%	15.1%	4.5%	1.6%	0.1%	-49.7M	-57.3M	-2.3M	56.79	95.44	47	2,669	48,089	183,152
2019-02-22	$116.33	$116.00	4.0%	1.1%	4.7%	20.4%	4.9%	1.1%	-0.1%	-33.5M	-172.8M	-2.0M	76.26	88.42	38	2,898	49,090	187,242
2019-02-25	$116.31	$116.00	4.1%	1.2%	4.7%	22.5%	5.6%	2.2%	-0.2%	-37.1M	-148.9M	-2.3M	18.33	87.19	78	1,430	50,090	187,817
2019-02-26	$116.44	$116.00	3.9%	1.1%	4.7%	19.0%	4.8%	1.1%	0.4%	-29.9M	-179.5M	-2.2M	168.43	95.31	94	15,832	50,090	188,728
2019-02-27	$116.17	$116.00	4.0%	1.2%	4.8%	21.1%	4.6%	2.0%	0.1%	-76.0M	-94.4M	-2.2M	35.81	98.82	506	18,118	50,086	196,983
2019-02-28	$115.99	$116.00	3.9%	1.1%	4.6%	18.3%	4.5%	1.7%	-0.0%	-88.3M	-29.0M	-2.5M	2.38	93.15	3,364	7,992	50,200	198,506