LQD Options History — November 2019

In November 2019, LQD traded between $125.73 and $128.24. ATM implied volatility averaged 5.4%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.0% (HV 20d: 5.4%). Max pain ranged from $127.00 to $127.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 12.60.

Notable Days

  • 2019-11-26: Highest Volume — 12,650 contracts
  • 2019-11-11: Largest IV spike — 21.5% change
  • 2019-11-11: Highest IV Rank — 75.2%
  • 2019-11-11: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$126.97$125.73$128.24$127.51$128.04
Max Pain$127.00$127.00$127.00$127.00$127.00
ATM IV5.4%4.6%6.5%4.6%5.1%
Expected Move1.5%1.3%1.7%1.3%1.5%
HV 20d5.4%4.7%5.8%4.7%5.1%
HV 60d5.8%5.6%6.0%5.7%5.6%
IV Rank52.9%37.5%75.2%37.5%47.6%
IV Percentile62.6%39.7%91.3%39.7%53.2%
Term Structure-0.1%-0.6%0.7%0.7%-0.3%
VWIV5.5%4.1%6.8%4.5%4.5%
Skew 25d0.9%0.2%1.5%1.5%0.4%
Skew 10d3.2%0.5%11.0%2.0%0.5%
Call IV 25d4.9%3.8%5.3%3.8%4.9%
Put IV 25d5.8%5.1%6.6%5.3%5.3%
Bid-Ask Spread %76.6460.9094.4187.6679.36
Gamma HHI0.260.210.350.220.24
Net GEX-32.4M-179.6M72.3M-23.2M43.8M
Net DEX7.2M-277.2M326.7M-75.5M-212.0M
Net VEX-1.6M-1.8M-1.2M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.600.04156.420.2512.33
Total Volume4,288.4524812,6502,7136,852
Total OI261,180.75234,870287,968267,117240,381

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$127.51$127.004.6%1.3%4.7%37.5%4.5%1.5%0.7%-23.2M-75.5M-1.5M0.2587.662,16954441,002226,115
2019-11-04$126.91$127.005.2%1.6%4.7%49.0%6.7%0.5%-0.1%-53.9M63.2M-1.6M1.4671.3225236740,904226,575
2019-11-05$126.26$127.005.2%1.6%5.0%48.8%5.9%0.8%-0.1%-115.0M207.0M-1.6M7.6474.238626,58941,139226,872
2019-11-06$126.85$127.005.9%1.6%5.4%63.1%6.4%0.8%-0.5%-56.7M88.0M-1.6M10.2075.278586741,955226,353
2019-11-07$126.03$127.006.0%1.7%5.5%65.7%6.4%1.3%-0.6%-139.9M274.8M-1.7M4.0272.721,1164,48441,989227,179
2019-11-08$125.73$127.005.3%1.6%5.5%52.0%5.1%1.3%-0.1%-170.2M326.7M-1.6M0.0860.901,41911943,057229,812
2019-11-11$125.81$127.006.5%1.7%5.3%75.2%6.8%1.4%-0.5%-175.7M320.2M-1.6M0.1471.123,66649644,470229,871
2019-11-12$125.83$127.006.1%1.6%5.2%67.3%6.0%1.3%-0.1%-179.6M279.7M-1.5M0.0472.3911,08841146,211230,159
2019-11-13$126.12$127.005.7%1.6%5.3%58.8%5.8%1.4%-0.3%-127.1M156.5M-1.6M3.6471.4111040056,500229,940
2019-11-14$126.80$127.005.3%1.5%5.6%51.6%5.7%1.3%-0.2%24.2M-26.0M-1.7M5.0572.491,3256,68757,711229,908
2019-11-15$126.77$127.005.2%1.5%5.6%48.9%5.9%1.3%-0.2%56.5M1.2M-1.6M13.8787.972413,34357,556230,412
2019-11-18$127.01$127.005.5%1.6%5.6%54.3%5.5%0.9%-0.1%11.9M-68.5M-1.6M2.6676.0415140245,867189,003
2019-11-19$127.23$127.005.2%1.5%5.6%49.7%5.2%0.5%-0.0%7.6M-81.1M-1.8M0.3272.295,0101,59346,278193,877
2019-11-20$127.49$127.005.5%1.6%5.7%56.0%5.6%0.4%-0.2%21.9M-140.7M-1.7M4.1194.414401,81049,157195,469
2019-11-21$127.17$127.005.2%1.5%5.7%48.5%5.9%0.9%0.1%17.1M-92.6M-1.7M156.4274.90192,97249,415196,614
2019-11-22$127.49$127.005.2%1.5%5.8%48.9%5.2%0.6%0.0%27.2M-143.3M-1.7M9.0380.742372,14049,414199,098
2019-11-25$127.94$127.005.2%1.5%5.8%48.4%5.0%0.4%-0.2%58.2M-217.6M-1.6M18.4377.912374,36849,392200,556
2019-11-26$128.17$127.005.1%1.5%5.7%46.5%4.5%0.2%-0.1%52.3M-238.6M-1.6M1.9080.464,3608,29049,589201,729
2019-11-27$128.24$127.004.8%1.4%5.6%41.0%4.1%0.4%0.0%72.3M-277.2M-1.2M0.3379.171876148,585193,501
2019-11-29$128.04$127.005.1%1.5%5.1%47.6%4.5%0.4%-0.3%43.8M-212.0M-1.4M12.3379.365146,33846,844193,537