LQD Options History — August 2019

In August 2019, LQD traded between $125.05 and $129.10. ATM implied volatility averaged 6.0%, placing in the 69.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.5% (HV 20d: 4.4%). Max pain ranged from $124.00 to $126.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 23.35.

Notable Days

  • 2019-08-01: Highest Volume — 34,490 contracts
  • 2019-08-05: Largest IV spike — 42.8% change
  • 2019-08-05: Highest IV Rank — 100.0%
  • 2019-08-06: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.25$125.05$129.10$125.05$128.82
Max Pain$125.09$124.00$126.00$124.00$126.00
ATM IV6.0%4.9%7.5%5.4%5.9%
Expected Move1.7%1.4%1.9%1.6%1.7%
HV 20d4.4%3.8%5.6%5.6%4.6%
HV 60d4.8%4.6%5.1%4.6%5.1%
IV Rank69.6%45.9%100.0%70.0%66.0%
IV Percentile90.6%61.9%100.0%85.7%89.3%
Term Structure-0.2%-0.8%0.6%0.4%-0.2%
VWIV6.8%5.0%13.1%9.0%13.1%
Skew 25d0.9%0.3%1.4%0.3%1.2%
Skew 10d1.7%-0.9%3.6%-0.1%2.9%
Call IV 25d5.7%4.9%6.6%5.2%5.4%
Put IV 25d6.6%5.4%7.7%5.5%6.7%
Bid-Ask Spread %88.5673.26106.84106.8489.33
Gamma HHI0.150.120.190.160.16
Net GEX-691.3K-66.2M31.2M-38.6M5.3M
Net DEX-628.6M-842.3M-280.9M-366.4M-760.7M
Net VEX-3.0M-4.7M-1.9M-4.1M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.350.11160.650.620.11
Total Volume7,905.54546334,49034,4906,587
Total OI428,284.682404,371470,539416,062428,865

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$125.05$124.005.4%1.6%5.6%70.0%9.0%0.3%0.4%-38.6M-366.4M-4.1M0.62106.8421,34713,14385,511330,551
2019-08-02$125.08$124.005.2%1.5%4.5%65.2%5.7%0.9%0.6%-35.7M-368.2M-4.1M11.9984.371,55418,63286,463327,177
2019-08-05$125.27$124.007.5%1.9%4.5%100.0%6.6%1.1%-0.1%-66.2M-280.9M-4.7M34.8388.75772,68286,410337,852
2019-08-06$125.85$124.006.0%1.9%4.6%68.9%6.7%0.9%-0.5%-29.0M-466.3M-4.0M2.0873.266381,32486,442339,721
2019-08-07$125.99$124.006.5%1.9%4.6%78.9%6.4%0.5%-0.8%-31.5M-481.8M-4.2M54.7791.221407,66887,058341,519
2019-08-08$126.19$124.006.0%1.8%4.0%68.7%7.0%1.0%-0.5%-35.2M-483.6M-4.3M10.1587.503193,23787,141343,344
2019-08-09$126.01$124.005.5%1.7%4.1%58.1%6.2%0.6%-0.6%-28.5M-516.6M-4.0M8.8884.357566687,410343,937
2019-08-12$126.73$124.006.8%1.7%4.4%84.7%6.2%0.5%-0.4%3.7M-718.4M-2.6M0.8593.3111,1359,46087,451343,270
2019-08-13$126.67$124.005.2%1.7%4.2%52.3%6.0%0.6%-0.2%27.2M-806.6M-2.6M22.8887.701002,28897,965346,594
2019-08-14$127.01$125.006.2%1.8%3.9%73.2%6.8%1.4%-0.7%24.0M-701.6M-2.5M37.1588.97853,158108,086356,627
2019-08-15$127.56$125.006.3%1.8%4.0%74.9%6.9%1.4%-0.2%21.3M-773.3M-2.5M116.0694.7522425,998108,085359,388
2019-08-16$127.76$126.005.9%1.7%3.8%65.7%5.7%1.1%-0.1%31.2M-842.3M-2.4M2.1883.272,6225,719112,155358,384
2019-08-19$127.38$126.005.8%1.7%4.1%64.1%5.7%1.2%-0.1%2.0M-443.3M-3.2M3.3779.8010635798,652305,719
2019-08-20$128.12$126.005.7%1.6%4.4%63.1%6.3%0.9%0.3%17.8M-644.8M-2.9M160.6577.11528,35498,689305,844
2019-08-21$128.49$126.004.9%1.4%4.4%45.9%5.0%0.5%0.5%23.0M-737.6M-2.2M2.9585.601,6294,80198,720313,740
2019-08-22$127.91$126.005.8%1.7%4.6%63.9%6.2%1.1%-0.2%19.5M-657.6M-2.3M3.3594.215631,88899,329317,102
2019-08-23$128.39$126.006.3%1.8%4.7%75.0%6.7%0.6%0.2%18.9M-716.0M-2.1M3.9791.827522,98499,352318,191
2019-08-26$128.36$126.006.5%1.9%4.7%78.8%6.9%0.8%-0.7%17.0M-698.3M-2.2M11.8697.5377913100,268320,069
2019-08-27$128.97$126.006.0%1.7%4.7%68.0%6.1%1.1%-0.1%17.1M-819.8M-1.9M2.5088.741,5223,802100,461320,708
2019-08-28$129.10$126.006.6%1.9%4.7%81.6%7.2%1.4%-0.3%14.6M-814.8M-2.0M0.6091.131,150692100,745322,646
2019-08-29$128.82$126.005.8%1.7%4.6%64.9%6.2%1.0%0.3%6.8M-731.4M-2.4M21.7988.712375,165101,411323,211
2019-08-30$128.82$126.005.9%1.7%4.6%66.0%13.1%1.2%-0.2%5.3M-760.7M-2.1M0.1189.335,917670101,491327,374