LQD Options History — December 2019

In December 2019, LQD traded between $127.05 and $128.42. ATM implied volatility averaged 5.3%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.0% (HV 20d: 5.3%). Max pain ranged from $127.00 to $128.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 5.34.

Notable Days

  • 2019-12-12: Highest Volume — 31,419 contracts
  • 2019-12-11: Largest IV drop — 17.0% change
  • 2019-12-09: Highest IV Rank — 73.4%
  • 2019-12-03: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.87$127.05$128.42$127.05$127.92
Max Pain$127.38$127.00$128.00$127.00$128.00
ATM IV5.3%4.5%6.4%5.9%5.1%
Expected Move1.5%1.3%1.7%1.7%1.5%
HV 20d5.3%4.6%6.1%5.8%4.6%
HV 60d5.2%5.0%5.7%5.7%5.0%
IV Rank51.8%35.8%73.4%62.3%48.0%
IV Percentile60.0%36.5%88.9%76.2%54.8%
Term Structure-0.1%-1.0%0.4%-1.0%-0.1%
VWIV5.1%3.5%6.1%5.6%4.2%
Skew 25d0.9%0.4%1.6%1.1%0.9%
Skew 10d2.5%1.2%4.1%3.4%1.2%
Call IV 25d4.7%3.8%5.6%5.2%4.6%
Put IV 25d5.6%5.1%6.2%6.2%5.5%
Bid-Ask Spread %74.6447.40102.1678.8988.20
Gamma HHI0.260.180.390.250.32
Net GEX6.3M-89.0M80.7M6.5M80.7M
Net DEX-103.6M-374.1M205.7M-66.4M-47.0M
Net VEX-2.0M-2.6M-1.4M-1.5M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.340.0226.270.185.62
Total Volume9,261.52418431,4191,5351,496
Total OI309,474.571246,477388,943246,477343,044

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$127.05$127.005.9%1.7%5.8%62.3%5.6%1.1%-1.0%6.5M-66.4M-1.5M0.1878.891,30123446,616199,861
2019-12-03$127.98$127.006.1%1.7%6.1%67.1%6.1%0.4%-0.7%35.4M-231.7M-1.4M6.1078.682,70016,47647,798199,868
2019-12-04$127.81$128.005.8%1.7%5.8%61.5%5.9%0.4%-0.6%-20.0M-108.0M-1.6M11.7881.183743649,626216,179
2019-12-05$127.76$127.006.1%1.5%5.6%66.5%5.3%0.8%-0.1%-23.2M-95.4M-1.6M0.9287.7919017549,665216,517
2019-12-06$127.65$127.006.0%1.5%5.0%64.9%5.3%0.7%-0.1%-29.3M-59.8M-1.6M0.2376.983418049,759216,603
2019-12-09$127.67$127.006.4%1.5%4.9%73.4%5.4%0.8%0.0%-23.7M-83.9M-1.5M12.1450.801417049,950216,631
2019-12-10$127.65$127.006.4%1.5%4.9%72.6%5.4%0.4%-0.1%-30.0M-62.9M-1.5M0.3578.027,6162,64449,955216,719
2019-12-11$128.11$127.005.3%1.5%5.0%50.7%5.7%1.2%-0.2%21.4M-268.1M-1.6M4.93102.163,15315,55563,178216,528
2019-12-12$127.58$127.005.1%1.5%5.3%47.4%5.3%0.5%-0.2%-16.0M-71.5M-1.9M1.0878.7115,12216,29763,155230,899
2019-12-13$128.40$127.005.0%1.4%5.4%44.2%5.0%0.4%-0.0%13.0M-374.1M-2.0M8.9081.483934778,197246,508
2019-12-16$128.11$127.004.5%1.3%5.5%35.8%4.8%0.6%0.1%-14.0M-305.6M-1.9M0.7551.1959544978,200247,252
2019-12-17$128.03$127.004.8%1.4%5.5%40.1%5.3%0.7%-0.1%-21.5M-279.8M-1.9M6.5788.561,0677,01378,564247,525
2019-12-18$127.94$127.004.8%1.4%5.5%41.0%5.0%0.5%-0.0%-3.1M-32.0M-2.3M0.6247.404,8573,009100,587273,340
2019-12-19$127.67$127.005.0%1.4%5.5%45.8%5.1%1.6%-0.0%-13.5M22.0M-2.6M26.2794.5465117,10396,332275,374
2019-12-20$127.69$128.004.8%1.4%5.4%40.7%4.8%0.8%0.0%-89.0M205.7M-2.6M0.0249.6215,67232997,404291,539
2019-12-23$127.69$128.004.7%1.3%5.4%38.8%5.4%1.2%0.4%44.2M80.7M-2.5M7.3955.581581,16796,306225,186
2019-12-24$127.83$128.005.0%1.4%5.2%45.2%4.0%1.1%0.2%40.9M-10.5M-2.6M1.0578.021,8531,94596,521225,294
2019-12-26$128.07$128.005.1%1.5%5.2%47.8%5.1%1.5%-0.1%50.2M-98.8M-2.4M1.4372.418,29911,90096,615225,460
2019-12-27$128.32$128.004.9%1.4%5.3%42.3%3.5%1.4%0.3%62.7M-226.3M-2.2M1.0265.9414,34314,69896,898228,880
2019-12-30$128.42$128.005.3%1.5%5.2%51.2%4.6%1.6%0.0%60.7M-62.6M-2.2M14.8581.203134,648110,913243,520
2019-12-31$127.92$128.005.1%1.5%4.6%48.0%4.2%0.9%-0.1%80.7M-47.0M-2.3M5.6288.202261,270111,517231,527