LQD Options History — May 2019

In May 2019, LQD traded between $118.35 and $120.81. ATM implied volatility averaged 4.6%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.5% (HV 20d: 4.1%). Max pain ranged from $119.00 to $120.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 22.32.

Notable Days

  • 2019-05-08: Highest Volume — 22,012 contracts
  • 2019-05-15: Largest IV drop — 20.5% change
  • 2019-05-13: Highest IV Rank — 52.6%
  • 2019-05-31: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.28$118.35$120.81$118.92$120.81
Max Pain$119.05$119.00$120.00$119.00$120.00
ATM IV4.6%3.8%5.8%4.5%4.8%
Expected Move1.2%0.9%1.4%1.3%1.4%
HV 20d4.1%3.1%4.7%4.1%3.1%
HV 60d4.1%3.9%4.2%4.0%4.0%
IV Rank31.4%18.0%52.6%29.5%35.1%
IV Percentile49.7%7.9%88.9%48.8%66.3%
Term Structure0.1%-0.6%0.5%-0.6%-0.0%
VWIV4.6%2.4%5.8%4.5%5.5%
Skew 25d1.1%0.3%2.0%0.3%1.1%
Skew 10d2.0%-0.6%3.4%-0.6%2.4%
Call IV 25d3.7%2.9%4.7%4.1%4.7%
Put IV 25d4.9%3.9%5.8%4.4%5.8%
Bid-Ask Spread %87.0968.75110.36105.9383.93
Gamma HHI0.150.130.170.130.13
Net GEX-2.3M-62.9M48.5M-12.3M48.5M
Net DEX-41.3M-221.0M138.7M13.8M-221.0M
Net VEX-4.5M-4.9M-3.9M-4.2M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.320.10106.230.170.88
Total Volume4,031.90942722,0126,0007,841
Total OI299,499.045287,140322,678287,140299,012

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$118.92$119.004.5%1.3%4.1%29.5%4.5%0.3%-0.6%-12.3M13.8M-4.2M0.17105.935,14086069,987217,153
2019-05-02$118.35$119.004.3%1.2%4.3%27.7%2.4%0.4%-0.0%-62.9M138.7M-4.0M0.22103.255,1791,14570,018217,401
2019-05-03$118.90$119.003.9%1.1%4.6%19.5%4.3%1.3%-0.1%-12.4M26.0M-4.0M0.75107.285,1483,85170,022217,751
2019-05-06$119.10$119.004.5%1.2%4.6%29.8%5.1%1.0%0.0%-8.1M38.3M-4.2M67.1168.75960467,497220,404
2019-05-07$119.08$119.004.9%1.3%4.6%37.2%4.0%2.0%-0.1%-6.7M13.7M-4.0M32.0886.94632,02167,493221,003
2019-05-08$118.74$119.004.7%1.2%4.7%33.3%4.4%1.0%0.0%-26.0M49.7M-3.9M0.1082.8520,0451,96767,637221,012
2019-05-09$118.80$119.005.6%1.2%4.3%49.1%5.4%1.1%0.1%-9.6M5.0M-4.9M106.2372.45646,79987,667221,289
2019-05-10$118.83$119.004.9%0.9%4.2%38.1%5.8%1.8%0.2%-5.2M4.3M-4.8M69.67110.36835,78387,699226,336
2019-05-13$118.97$119.005.8%1.3%4.2%52.6%5.2%1.4%-0.3%-2.1M-17.6M-4.7M12.2474.707186987,699226,336
2019-05-14$119.06$119.005.5%1.3%4.2%47.4%5.0%1.6%-0.3%1.1M-70.7M-4.5M20.3083.281773,59387,791232,778
2019-05-15$119.40$119.004.3%1.2%4.2%27.8%0.0%1.2%0.3%24.0M-95.2M-4.6M37.2082.012074487,833233,471
2019-05-16$119.24$119.004.1%1.2%4.2%23.7%4.1%1.6%0.4%8.3M-72.6M-4.7M14.6983.39901,32287,853234,720
2019-05-17$119.31$119.004.3%1.2%4.2%27.2%4.4%1.1%-0.0%16.9M-77.6M-4.7M24.2083.50641,54987,864234,814
2019-05-20$119.03$119.004.5%1.3%4.3%29.9%4.2%1.1%-0.0%-24.4M-26.8M-4.6M15.6578.904062682,131208,371
2019-05-21$119.01$119.004.2%1.2%4.1%24.8%4.1%0.8%0.2%-25.7M-16.7M-4.5M9.6884.584038782,163208,616
2019-05-22$119.20$119.004.3%1.2%3.8%26.4%3.7%1.4%-0.0%-11.9M-64.1M-4.3M4.5684.1318986182,163208,770
2019-05-23$119.48$119.004.7%1.3%3.9%33.2%4.6%1.4%-0.1%-2.1M-86.0M-4.4M24.6692.22982,41782,319209,327
2019-05-24$119.73$119.003.8%1.1%3.8%18.0%4.6%1.3%0.4%5.2M-117.6M-4.5M15.0395.491602,40482,363210,091
2019-05-28$119.78$119.004.3%1.2%3.5%27.6%5.0%1.2%0.4%6.6M-76.4M-4.7M7.0284.139969582,460210,889
2019-05-29$119.88$119.004.3%1.2%3.5%27.8%4.8%0.8%0.4%12.5M-84.9M-4.8M27.3083.93561,52982,515211,751
2019-05-30$120.44$119.004.2%1.2%3.7%24.9%4.5%0.3%0.5%36.2M-171.3M-4.5M1.4183.961,6622,33882,598211,912
2019-05-31$120.81$120.004.8%1.4%3.1%35.1%5.5%1.1%-0.0%48.5M-221.0M-4.7M0.8883.934,1603,68185,202213,810