LQD Options History — July 2019

In July 2019, LQD traded between $122.95 and $124.91. ATM implied volatility averaged 5.0%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.8% (HV 20d: 5.8%). Max pain ranged from $122.00 to $125.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 20.14.

Notable Days

  • 2019-07-19: Highest Volume — 47,133 contracts
  • 2019-07-09: Largest IV spike — 22.0% change
  • 2019-07-18: Highest IV Rank — 76.2%
  • 2019-07-18: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.92$122.95$124.91$124.13$124.26
Max Pain$122.45$122.00$125.00$125.00$123.00
ATM IV5.0%4.3%5.7%5.0%4.9%
Expected Move1.5%1.3%1.6%1.4%1.4%
HV 20d5.8%4.9%6.5%4.9%5.2%
HV 60d4.6%4.2%4.8%4.2%4.5%
IV Rank60.3%40.8%76.2%58.6%57.0%
IV Percentile73.6%41.7%91.7%75.0%66.7%
Term Structure-0.0%-0.3%0.2%0.1%0.2%
VWIV5.3%3.3%9.7%4.8%9.7%
Skew 25d1.0%-0.2%2.0%0.9%2.0%
Skew 10d2.4%-0.7%4.3%1.4%1.0%
Call IV 25d4.6%3.1%5.2%4.2%3.1%
Put IV 25d5.6%4.3%6.3%5.2%5.1%
Bid-Ask Spread %80.3969.4796.2980.7796.29
Gamma HHI0.140.120.180.130.16
Net GEX-24.0M-66.5M23.8M9.9M-35.2M
Net DEX-298.9M-630.9M-82.1M-412.5M-380.0M
Net VEX-4.3M-5.6M-3.3M-4.1M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.140.21144.731.030.21
Total Volume14,357.40993847,1332,57024,488
Total OI396,423.818372,082444,876372,082440,380

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$124.13$125.005.0%1.4%4.9%58.6%4.8%0.9%0.1%9.9M-412.5M-4.1M1.0380.771,2651,305102,445269,637
2019-07-02$124.51$125.004.4%1.3%4.9%44.3%3.3%-0.2%-0.1%23.7M-573.1M-3.3M6.1981.624022,490103,630270,737
2019-07-03$124.91$125.004.6%1.3%4.9%49.0%4.6%0.4%0.1%23.8M-630.9M-3.6M2.3883.198612,047103,632272,376
2019-07-05$123.84$122.004.3%1.4%6.1%40.8%4.6%0.5%0.1%-15.1M-273.1M-4.3M2.4276.685101,236103,691274,017
2019-07-08$123.74$122.004.4%1.4%6.0%42.1%5.2%1.3%0.1%-10.6M-244.9M-4.2M144.7369.47111,592103,714274,593
2019-07-09$123.41$122.005.3%1.5%6.0%67.6%4.6%0.8%-0.1%-17.4M-155.8M-4.3M1.3673.108,39511,401103,722272,872
2019-07-10$123.62$122.004.7%1.3%6.0%51.2%5.7%1.1%0.1%-11.1M-228.7M-3.6M54.9880.911649,017103,782283,216
2019-07-11$123.02$122.005.0%1.4%6.4%58.2%5.4%0.8%0.0%-55.8M-107.2M-4.4M2.3380.344,2119,824103,833276,322
2019-07-12$123.10$122.005.0%1.4%6.3%58.2%5.1%1.5%0.1%-41.8M-136.1M-3.9M0.6873.795,1653,496108,623280,295
2019-07-15$123.31$122.005.2%1.5%6.4%64.9%5.8%1.7%-0.2%-39.8M-111.0M-4.5M84.2770.7011927108,655281,745
2019-07-16$122.95$122.005.0%1.4%6.5%60.2%5.3%1.3%0.0%-51.6M-82.1M-4.1M1.1478.564,7305,377108,662282,456
2019-07-17$123.62$122.005.0%1.4%6.4%58.1%5.4%1.1%0.2%1.5M-250.0M-3.8M10.0875.024834,869107,090280,032
2019-07-18$124.06$122.005.7%1.6%6.1%76.2%5.9%1.0%-0.2%13.2M-289.2M-4.2M66.7876.6568245,543107,530281,193
2019-07-19$123.83$122.005.3%1.5%5.9%67.0%5.4%1.0%-0.1%-24.1M-135.8M-5.3M3.4777.0910,55336,580115,153329,723
2019-07-22$124.13$122.005.4%1.6%5.9%70.4%4.5%0.3%-0.1%-22.5M-424.1M-4.3M5.4582.996713,65692,592297,449
2019-07-23$124.19$122.005.3%1.5%5.8%68.5%5.6%0.9%-0.1%-48.8M-336.4M-4.8M8.6777.656615,73492,587301,078
2019-07-24$124.56$122.005.2%1.5%5.8%64.6%5.4%1.4%0.0%-23.8M-427.8M-4.4M2.6581.0610,52727,92892,701298,853
2019-07-25$124.16$122.005.3%1.5%5.8%66.5%5.3%1.3%-0.3%-66.5M-243.0M-5.6M2.3180.7210,72424,737102,863322,194
2019-07-26$124.33$122.005.5%1.6%5.5%72.4%5.2%0.8%-0.2%-36.0M-405.2M-4.5M1.8789.4410,38719,441103,017318,962
2019-07-29$124.26$122.005.3%1.5%5.4%65.7%5.6%0.8%-0.0%-49.2M-373.4M-4.7M5.9893.082721,626103,037319,398
2019-07-30$124.19$122.005.2%1.5%5.3%64.9%5.3%1.1%0.1%-51.6M-354.6M-4.5M34.1789.54531,811102,857319,980
2019-07-31$124.26$123.004.9%1.4%5.2%57.0%9.7%2.0%0.2%-35.2M-380.0M-4.5M0.2196.2920,2724,216110,361330,019