LQD Options History — October 2019

In October 2019, LQD traded between $126.51 and $128.25. ATM implied volatility averaged 6.0%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.7% (HV 20d: 5.3%). Max pain ranged from $127.00 to $128.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 18.08.

Notable Days

  • 2019-10-03: Highest Volume — 18,080 contracts
  • 2019-10-03: Largest IV drop — 13.0% change
  • 2019-10-02: Highest IV Rank — 82.5%
  • 2019-10-02: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.16$126.51$128.25$127.26$127.76
Max Pain$127.48$127.00$128.00$127.00$127.00
ATM IV6.0%5.1%6.9%6.6%5.3%
Expected Move1.7%1.5%2.0%1.9%1.5%
HV 20d5.3%4.1%7.1%7.1%4.9%
HV 60d5.6%5.5%5.7%5.6%5.7%
IV Rank64.7%47.8%82.5%77.2%51.2%
IV Percentile79.5%54.4%98.0%94.8%62.3%
Term Structure0.2%-0.3%0.8%0.3%-0.0%
VWIV6.1%5.1%7.3%6.6%5.1%
Skew 25d0.8%-0.1%1.7%-0.1%0.8%
Skew 10d2.3%-0.4%4.2%3.3%1.3%
Call IV 25d5.7%4.0%6.5%6.5%4.2%
Put IV 25d6.5%5.0%7.4%6.4%5.0%
Bid-Ask Spread %81.0250.6391.0584.5986.22
Gamma HHI0.250.180.660.220.21
Net GEX4.4M-71.4M305.4M-9.5M-23.8M
Net DEX-12.3M-152.4M189.2M-40.8M-80.2M
Net VEX-1.7M-2.4M-1.2M-2.2M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.080.04153.062.752.08
Total Volume3,947.69619118,0804,6464,518
Total OI284,075.652229,604319,062289,913266,329

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$127.26$127.006.6%1.9%7.1%77.2%6.6%-0.1%0.3%-9.5M-40.8M-2.2M2.7584.591,2393,40754,235235,678
2019-10-02$127.31$127.006.9%2.0%7.1%82.5%6.5%0.5%0.1%-25.0M39.2M-2.4M4.1485.505572,30659,155242,784
2019-10-03$127.76$128.006.0%1.9%6.8%64.5%7.3%1.4%0.1%-5.4M-90.1M-1.9M127.2379.8014117,93959,682243,025
2019-10-04$128.25$128.005.9%1.8%6.8%62.9%6.8%0.7%0.2%1.1M-152.4M-1.9M5.2476.676443,37559,802243,448
2019-10-07$127.69$128.005.9%1.8%6.5%63.5%6.5%0.9%0.2%4.8M-92.0M-1.8M0.0450.633,06113159,764245,101
2019-10-08$127.53$128.006.0%1.9%5.8%65.7%7.1%0.8%0.0%20.4M-106.0M-1.8M19.4987.09901,75465,043247,281
2019-10-09$127.49$128.006.8%1.9%5.7%81.1%6.2%0.8%-0.3%12.3M-64.9M-1.8M0.3578.611424965,063247,607
2019-10-10$126.81$128.006.6%1.9%6.0%76.6%6.6%0.5%-0.1%-4.6M76.6M-1.9M0.0680.141,92811965,157247,614
2019-10-11$126.55$128.006.5%1.9%5.3%76.0%6.3%0.9%-0.1%-42.0M189.2M-2.1M1.2187.3648558963,300247,655
2019-10-14$127.01$128.006.7%1.9%5.2%79.7%6.0%0.8%-0.1%-102.1K54.0M-1.7M0.3876.6642816463,292248,135
2019-10-15$126.58$128.006.5%1.9%5.3%74.4%6.9%0.7%-0.0%-5.1M145.8M-1.8M153.0677.54365,51063,239248,243
2019-10-16$126.77$128.006.4%1.8%5.3%72.9%6.4%0.7%0.3%11.8M117.0M-1.8M10.3878.384546763,241248,568
2019-10-17$127.01$128.006.3%1.8%5.3%71.6%6.3%1.0%0.1%115.9M49.6M-1.8M0.0879.737,03659463,251248,999
2019-10-18$127.10$127.005.9%1.7%4.7%63.7%5.6%0.7%0.5%305.4M-97.7M-1.5M0.2378.4559513569,727249,335
2019-10-21$126.88$127.005.6%1.6%4.7%56.7%6.0%0.3%0.8%-17.5M-37.0M-1.3M23.1581.312626,06635,759193,845
2019-10-22$127.06$127.005.8%1.7%4.6%60.8%5.9%0.7%0.4%-21.6M-49.1M-1.4M1.4882.058471,25035,927199,690
2019-10-23$127.16$127.005.5%1.6%4.2%55.9%5.5%0.6%0.3%-19.6M-70.7M-1.3M32.2379.871341936,716200,894
2019-10-24$127.33$127.005.2%1.5%4.1%49.0%5.1%0.7%0.3%-14.7M-96.7M-1.2M0.8491.052,5392,13836,713201,204
2019-10-25$127.19$127.005.4%1.5%4.2%52.4%5.3%1.1%0.2%-12.6M-83.9M-1.3M0.3885.893,7401,42639,243203,272
2019-10-28$126.81$127.005.4%1.6%4.2%53.2%5.7%0.9%0.1%-33.9M-11.3M-1.5M25.6482.193739,56542,882204,380
2019-10-29$126.51$127.005.2%1.5%4.2%49.0%5.1%1.7%0.6%-71.4M79.5M-1.6M2.3984.947918942,893212,474
2019-10-30$126.88$127.005.1%1.5%4.4%47.8%5.3%0.7%0.4%-63.9M38.9M-1.5M2.9488.691,1193,28842,921221,174
2019-10-31$127.76$127.005.3%1.5%4.9%51.2%5.1%0.8%-0.0%-23.8M-80.2M-1.5M2.0886.221,4663,05242,988223,341