LQD Options History — March 2019

In March 2019, LQD traded between $115.52 and $119.12. ATM implied volatility averaged 4.0%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 0.3% (HV 20d: 3.7%). Max pain ranged from $116.00 to $122.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 35.63.

Notable Days

  • 2019-03-29: Highest Volume — 86,727 contracts
  • 2019-03-04: Largest IV spike — 45.4% change
  • 2019-03-28: Highest IV Rank — 38.6%
  • 2019-03-28: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.19$115.52$119.12$115.52$119.12
Max Pain$117.52$116.00$122.00$116.00$118.00
ATM IV4.0%2.8%5.0%2.9%4.7%
Expected Move1.1%0.8%1.4%0.8%1.3%
HV 20d3.7%3.3%4.1%3.9%3.3%
HV 60d3.9%3.9%4.0%3.9%3.9%
IV Rank21.1%0.0%38.6%1.8%33.0%
IV Percentile18.8%0.0%63.5%0.4%46.0%
Term Structure-0.0%-0.4%0.9%0.9%-0.2%
VWIV4.9%3.7%8.2%8.2%4.5%
Skew 25d1.6%0.5%2.4%1.3%0.5%
Skew 10d2.7%-0.3%4.8%0.6%-0.3%
Call IV 25d3.3%2.5%5.0%3.3%4.5%
Put IV 25d4.9%4.4%6.1%4.5%5.0%
Bid-Ask Spread %84.5566.18118.5994.4176.16
Gamma HHI0.280.160.400.400.16
Net GEX-22.5M-104.5M19.1M-104.5M-13.0M
Net DEX-213.4M-371.8M21.9M21.9M-236.8M
Net VEX-2.0M-2.5M-1.2M-2.3M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio35.630.24305.180.651.29
Total Volume17,482.28633986,7277,21386,727
Total OI221,391.667152,908280,354247,198224,803

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$115.52$116.002.9%0.8%3.9%1.8%8.2%1.3%0.9%-104.5M21.9M-2.3M0.6594.414,3752,83848,628198,570
2019-03-04$115.80$116.004.3%1.2%3.7%25.4%6.1%1.7%-0.0%-91.4M-8.9M-2.4M10.82106.325559547,622198,563
2019-03-05$115.72$116.004.2%1.2%3.6%24.3%5.0%1.8%-0.1%-96.9M-6.6M-2.2M115.29107.6613815,91047,668199,040
2019-03-06$115.85$116.004.0%1.2%3.3%21.3%4.9%2.4%-0.1%-91.0M-45.9M-2.4M22.79118.5970115,97848,749214,331
2019-03-07$116.27$116.004.3%1.2%3.6%26.4%5.5%1.9%-0.4%-62.7M-132.3M-2.5M22.38109.3072116,13948,915214,379
2019-03-08$116.33$116.003.6%1.0%3.6%13.1%5.8%1.5%-0.3%-48.5M-197.3M-2.0M3.77111.855,61121,15149,247214,527
2019-03-11$116.48$116.004.7%1.2%3.4%32.4%3.7%1.7%-0.4%-8.5M-253.6M-2.0M132.2467.16293,83554,248219,538
2019-03-12$116.81$116.003.8%1.1%3.4%17.0%0.0%1.1%-0.1%3.0M-309.8M-2.2M15.1268.005177154,249223,242
2019-03-13$116.66$116.003.8%0.9%3.5%17.0%4.3%1.8%0.1%-3.2M-291.7M-2.0M6.7072.0112281754,252223,682
2019-03-14$116.49$116.004.4%1.2%3.4%27.8%4.7%1.7%-0.3%-40.5M-186.1M-2.2M2.5374.001,3413,39254,340223,699
2019-03-15$116.84$116.003.9%1.1%3.6%19.0%4.9%2.0%0.0%10.9M-341.4M-2.0M2.1169.991,8363,86754,122226,232
2019-03-18$116.81$122.003.8%1.1%3.6%16.7%4.7%1.9%0.3%2.9M-166.9M-2.3M83.7566.18433540,856112,052
2019-03-19$116.83$122.003.9%1.0%3.6%19.8%4.5%2.0%-0.2%12.1M-212.7M-1.8M305.1875.22113,35740,857112,108
2019-03-20$117.51$122.002.8%0.8%4.1%0.0%4.9%2.0%0.2%5.1M-279.2M-1.4M0.2497.1515,3533,70040,858115,148
2019-03-21$117.83$118.003.8%1.0%3.9%18.8%4.1%1.7%-0.2%11.6M-257.3M-1.7M1.0787.958,1628,71441,797118,360
2019-03-22$118.53$118.004.0%0.9%4.1%21.0%4.5%1.1%0.2%11.4M-324.3M-1.4M0.8477.167,9576,69141,767123,055
2019-03-25$118.74$118.003.7%1.0%4.1%16.3%4.4%1.9%0.1%3.5M-262.3M-2.0M0.4175.465,2922,16241,867120,826
2019-03-26$118.76$118.003.6%1.3%4.1%15.0%4.3%1.8%0.3%14.4M-345.1M-1.4M0.5070.524,8022,41344,551122,473
2019-03-27$119.03$118.004.9%1.3%3.9%37.7%6.0%1.2%-0.4%19.1M-371.8M-1.2M10.6974.514,94452,85946,575122,820
2019-03-28$119.09$118.005.0%1.4%3.8%38.6%4.3%0.6%-0.2%-5.8M-272.9M-2.2M9.8876.074,90648,46646,703173,906
2019-03-29$119.12$118.004.7%1.3%3.3%33.0%4.5%0.5%-0.2%-13.0M-236.8M-2.3M1.2976.1637,95448,77345,229179,574