LQD Options History — June 2019

In June 2019, LQD traded between $120.80 and $124.41. ATM implied volatility averaged 4.9%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.4% (HV 20d: 3.4%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 13.38.

Notable Days

  • 2019-06-18: Highest Volume — 81,730 contracts
  • 2019-06-07: Largest IV drop — 16.4% change
  • 2019-06-28: Highest IV Rank — 66.3%
  • 2019-06-28: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.37$120.80$124.41$120.83$124.41
Max Pain$122.20$120.00$125.00$120.00$125.00
ATM IV4.9%4.1%5.3%5.1%5.3%
Expected Move1.4%1.2%1.5%1.5%1.5%
HV 20d3.4%2.5%4.8%2.8%4.7%
HV 60d4.1%3.9%4.3%4.0%4.2%
IV Rank48.6%23.1%66.3%40.7%66.3%
IV Percentile67.7%23.0%82.9%75.8%82.9%
Term Structure-0.0%-0.5%0.9%0.3%-0.3%
VWIV4.8%3.9%5.9%4.9%5.2%
Skew 25d1.0%0.3%1.5%1.5%1.1%
Skew 10d1.9%-0.7%4.3%-0.7%0.9%
Call IV 25d4.3%3.2%5.2%4.4%4.3%
Put IV 25d5.3%4.6%6.0%6.0%5.5%
Bid-Ask Spread %82.1169.35105.7185.8576.48
Gamma HHI0.150.120.210.140.13
Net GEX40.0M4.3M83.3M45.3M17.1M
Net DEX-423.3M-584.2M-242.3M-281.9M-583.3M
Net VEX-4.7M-5.2M-3.1M-4.4M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.380.08135.050.204.71
Total Volume20,205.6527281,7307,89818,717
Total OI347,425.15299,811418,170299,811389,796

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$120.83$120.005.1%1.5%2.8%40.7%4.9%1.5%0.3%45.3M-281.9M-4.4M0.2085.856,5801,31884,671215,140
2019-06-04$120.87$120.004.6%1.3%2.8%32.6%5.6%1.4%0.9%46.9M-242.3M-4.6M0.0892.6111,06987683,822216,302
2019-06-05$120.80$120.004.8%1.4%2.8%34.9%4.9%1.5%0.2%53.7M-306.0M-5.1M0.6189.666,1043,69693,597216,587
2019-06-06$120.99$120.004.9%1.4%2.5%37.2%5.4%1.1%0.1%64.3M-372.7M-5.0M4.2089.521,0974,60799,018219,183
2019-06-07$121.51$120.004.1%1.2%2.8%23.1%5.1%1.2%0.2%77.3M-386.0M-5.0M4.5081.361,2365,56696,545220,461
2019-06-10$121.19$120.004.5%1.2%3.1%30.0%4.3%0.8%-0.1%70.3M-368.5M-4.9M9.7979.816866696,485221,907
2019-06-11$121.30$120.004.3%1.3%3.1%27.7%4.9%0.8%-0.0%83.3M-397.5M-4.6M43.7083.49713,10396,483221,917
2019-06-12$121.38$120.004.7%1.3%3.1%34.0%4.8%1.1%-0.0%78.9M-403.7M-4.7M135.0582.1810213,77596,484224,399
2019-06-13$121.69$121.005.1%1.5%3.0%63.1%5.9%0.6%-0.5%38.3M-355.0M-5.1M17.0580.161883,20596,516234,805
2019-06-14$121.74$121.005.3%1.5%2.9%66.1%4.5%0.5%-0.3%43.9M-370.5M-4.9M33.8094.671334,49596,538234,863
2019-06-17$121.87$121.005.2%1.5%2.9%64.8%5.3%1.3%-0.5%39.1M-429.0M-4.8M1.7877.509817496,544236,731
2019-06-18$122.60$121.005.2%1.5%3.1%65.1%4.1%0.6%-0.3%39.4M-484.3M-4.9M2.2184.2625,43556,29596,598236,846
2019-06-19$123.38$125.004.7%1.3%3.5%49.9%3.9%1.5%-0.2%23.3M-495.3M-5.2M0.71105.7146,84233,050121,835273,024
2019-06-20$124.03$125.004.5%1.3%3.7%44.4%4.1%0.9%0.1%8.1M-541.8M-4.8M0.8375.7734,09628,188121,195295,601
2019-06-21$123.69$125.004.7%1.3%4.1%50.7%4.4%1.2%-0.0%5.6M-497.0M-5.0M1.0076.6131,97131,964121,816296,354
2019-06-24$123.99$125.004.7%1.3%4.1%50.9%5.1%0.5%0.0%10.3M-498.2M-4.5M0.5369.601,330709118,873252,333
2019-06-25$123.65$125.005.1%1.5%4.4%62.3%5.0%0.3%0.1%38.2M-584.2M-3.1M0.2174.453,640780120,116252,929
2019-06-26$123.33$125.005.1%1.5%4.6%62.6%4.2%1.3%-0.0%4.3M-344.2M-4.8M0.6973.083,5412,441121,918253,008
2019-06-27$124.08$125.005.3%1.5%4.8%66.0%5.3%0.5%-0.1%11.8M-525.0M-4.7M6.0269.352,40514,482122,478254,785
2019-06-28$124.41$125.005.3%1.5%4.7%66.3%5.2%1.1%-0.3%17.1M-583.3M-4.8M4.7176.483,27915,438122,500267,296