LQD Options History — September 2019

In September 2019, LQD traded between $124.77 and $128.49. ATM implied volatility averaged 6.6%, placing in the 78.3% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.1% (HV 20d: 6.5%). Max pain ranged from $123.00 to $128.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.97.

Notable Days

  • 2019-09-13: Highest Volume — 39,896 contracts
  • 2019-09-11: Largest IV drop — 18.6% change
  • 2019-09-10: Highest IV Rank — 100.0%
  • 2019-09-16: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$126.82$124.77$128.49$128.39$127.44
Max Pain$125.75$123.00$128.00$128.00$127.00
ATM IV6.6%5.3%7.7%6.2%6.8%
Expected Move1.9%1.5%2.2%1.8%2.0%
HV 20d6.5%4.8%7.2%4.9%7.2%
HV 60d5.7%5.1%6.0%5.1%5.6%
IV Rank78.3%54.7%100.0%72.1%81.6%
IV Percentile95.4%75.4%100.0%94.4%97.6%
Term Structure-0.1%-0.6%0.9%-0.1%-0.3%
VWIV6.5%5.4%7.5%6.2%6.4%
Skew 25d0.8%0.0%1.7%0.4%0.3%
Skew 10d2.4%-1.7%4.8%-1.7%2.7%
Call IV 25d6.1%5.2%6.8%5.8%6.1%
Put IV 25d6.8%5.9%8.3%6.2%6.4%
Bid-Ask Spread %84.4676.7898.6787.5380.83
Gamma HHI0.150.120.240.130.24
Net GEX-92.9M-176.6M4.2M-30.7M4.2M
Net DEX133.2M-148.3M600.6M-96.2M-148.3M
Net VEX-2.2M-2.9M-1.5M-2.3M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.970.0417.044.401.28
Total Volume9,438.551539,89613,07223,209
Total OI365,318.3249,506438,302379,453293,480

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$128.39$128.006.2%1.8%4.9%72.1%6.2%0.4%-0.1%-30.7M-96.2M-2.3M4.4087.532,42010,65251,675327,778
2019-09-04$128.49$128.005.3%1.5%4.8%54.7%5.4%0.6%0.9%-47.8M-134.9M-1.8M0.0498.676,71624252,649337,405
2019-09-05$127.62$123.006.1%1.6%5.5%71.5%6.2%0.7%0.1%-73.2M63.5M-2.4M2.7886.652,8047,78457,085337,544
2019-09-06$128.15$124.005.9%1.6%5.6%66.6%5.6%0.7%0.0%-47.5M-59.1M-2.2M2.9688.217162,12258,217338,273
2019-09-09$127.26$124.006.6%1.7%6.2%82.1%6.6%1.0%-0.4%-88.5M131.9M-2.1M17.0495.591522,59056,030340,267
2019-09-10$126.26$126.007.7%1.8%6.6%100.0%6.5%1.5%-0.5%-118.5M325.6M-2.5M13.6880.295537,56757,259341,414
2019-09-11$126.06$125.006.3%1.8%6.6%71.1%6.7%1.4%-0.4%-136.2M328.9M-2.8M8.5177.561,27510,85458,857336,257
2019-09-12$125.74$125.006.2%1.8%6.6%68.6%6.5%1.1%-0.3%-134.0M340.6M-2.5M5.2590.036333,32358,800340,493
2019-09-13$124.77$125.007.1%2.0%6.8%86.8%7.5%1.7%-0.6%-176.6M600.6M-2.8M6.6286.135,23934,65758,840338,408
2019-09-16$125.35$125.007.6%2.2%7.0%97.5%7.4%1.1%-0.5%-162.5M469.8M-2.9M0.7979.4670955961,581348,028
2019-09-17$125.69$125.006.8%2.0%7.1%81.5%7.0%1.0%-0.2%-143.1M392.7M-2.9M0.8379.6170658362,062345,339
2019-09-18$125.99$125.007.2%2.1%6.8%88.7%7.5%0.9%-0.4%-139.8M307.6M-2.6M7.2494.771,93313,99662,539364,876
2019-09-19$126.33$125.006.7%1.9%6.8%79.6%6.5%0.6%-0.1%-120.7M170.9M-1.9M0.9181.3527024563,906367,711
2019-09-20$127.19$126.006.8%1.9%7.1%80.5%6.8%0.6%0.1%-128.9M70.1M-2.0M0.9479.578,4107,89565,444372,858
2019-09-23$127.15$126.006.5%1.8%7.0%74.2%6.5%0.3%0.2%-76.6M-53.9M-1.5M5.0676.785882,97832,819216,687
2019-09-24$127.53$127.006.4%1.8%7.1%73.6%6.3%0.7%0.5%-63.8M-25.5M-1.7M0.0578.861,3327241,036224,924
2019-09-25$126.85$127.006.6%1.9%7.0%76.3%6.4%0.0%0.2%-90.4M67.1M-2.0M0.2878.793,34692043,317225,933
2019-09-26$127.13$127.006.8%2.0%7.1%82.1%6.9%0.6%-0.3%-64.3M11.6M-2.0M0.3484.7515,0665,06746,630226,767
2019-09-27$127.09$127.006.6%1.9%7.1%77.0%6.2%0.7%0.1%-19.0M-99.0M-1.7M0.4983.8239419361,658231,520
2019-09-30$127.44$127.006.8%2.0%7.2%81.6%6.4%0.3%-0.3%4.2M-148.3M-1.8M1.2880.8310,19313,01662,014231,466