LQD Options History — January 2007

In January 2007, LQD traded between $106.18 and $107.25. ATM implied volatility averaged 4.3%. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.2% (HV 20d: 4.0%). Max pain ranged from $108.00 to $108.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 5.59.

Notable Days

  • 2007-01-03: Highest Volume — 1,019 contracts
  • 2007-01-25: Largest IV spike — 36.1% change
  • 2007-01-03: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.72$106.18$107.25$106.45$106.78
Max Pain$108.00$108.00$108.00$108.00$108.00
ATM IV4.3%3.1%5.8%5.8%3.3%
Expected Move1.2%0.9%1.6%1.6%0.9%
HV 20d4.0%3.9%4.2%4.2%4.1%
Term Structure0.1%-0.8%1.3%0.1%0.4%
VWIV4.4%3.2%6.2%6.2%4.6%
Skew 25d0.8%-1.1%2.9%-1.1%0.9%
Skew 10d-0.5%-2.7%3.7%-2.7%0.3%
Call IV 25d4.0%2.9%6.6%6.6%3.7%
Put IV 25d4.8%3.7%6.2%5.5%4.6%
Bid-Ask Spread %99.4878.96113.5197.22103.80
Gamma HHI0.280.190.380.190.28
Net GEX-83.3K-787.2K345.3K86.2K345.3K
Net DEX725.2K-708.4K2.8M1.2M791.7K
Net VEX-28.7K-37.5K-23.2K-37.5K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.590.0049.9549.950.00
Total Volume12201,0191,01933
Total OI2,277.252,1122,8982,2732,218

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$106.45$108.005.8%1.6%0.0%0.0%0.0%-1.1%0.1%86.2K1.2M-37.5K49.9597.22209998171,456
2007-01-04$107.25$108.004.8%1.4%0.0%0.0%0.0%-0.1%0.5%171.3K-702.9K-30.8K22.28113.51368028321,350
2007-01-05$107.19$108.005.4%1.5%0.0%0.0%0.0%2.9%-0.2%-787.2K344.4K-36.1K0.0078.962508682,030
2007-01-08$107.15$108.004.7%1.5%0.0%0.0%6.2%1.9%-0.4%-249.9K-11.6K-33.7K3.8689.18281088681,660
2007-01-09$107.17$108.005.2%1.5%0.0%0.0%0.0%1.7%-0.5%117.6K-708.4K-31.0K0.0096.00008811,382
2007-01-10$107.03$108.005.2%1.4%0.0%0.0%0.0%1.2%-0.2%65.9K-182.0K-28.7K0.0089.572008811,362
2007-01-11$106.70$108.003.8%1.1%0.0%0.0%3.7%-0.1%-0.1%-136.3K905.5K-30.4K0.00102.558508961,350
2007-01-12$106.59$108.003.4%1.0%0.0%0.0%4.1%2.4%0.3%-768806.9K-29.8K0.1395.521629611,350
2007-01-16$106.70$108.003.1%0.9%0.0%0.0%0.0%1.0%0.5%307.6K213.4K-28.3K0.4097.7625109761,348
2007-01-17$106.56$108.003.3%0.9%0.0%0.0%0.0%0.1%1.3%-77.7K1.2M-28.2K0.00108.90309661,338
2007-01-18$106.87$108.003.7%1.1%0.0%0.0%0.0%0.0%0.2%175.9K220.5K-28.4K0.00105.120779691,338
2007-01-19$106.80$108.004.2%1.2%0.0%0.0%0.0%-0.1%-0.8%221.1K392.0K-26.5K0.42102.2724109691,338
2007-01-22$106.88$108.004.0%1.1%0.0%0.0%0.0%1.2%-0.4%256.0K-161.7K-26.2K2.7598.464118541,258
2007-01-23$106.59$108.003.3%1.0%0.0%0.0%0.0%0.2%0.7%-197.3K830.1K-26.4K0.00103.81008581,269
2007-01-24$106.64$108.003.4%1.0%0.0%0.0%3.2%0.2%1.0%1.8K569.6K-24.7K4.00100.9510408581,269
2007-01-25$106.30$108.004.6%1.3%4.2%0.0%4.6%1.8%-0.5%-339.2K1.7M-26.4K0.0095.720208681,299
2007-01-26$106.23$108.005.4%1.5%4.1%0.0%0.0%1.6%-0.4%-465.5K2.1M-27.2K0.00100.690208681,319
2007-01-29$106.18$108.004.6%1.3%4.0%0.0%0.0%0.1%-0.2%-649.6K2.8M-25.6K0.00102.44808681,339
2007-01-30$106.33$108.004.5%1.3%3.9%0.0%0.0%0.4%0.1%-511.7K2.2M-24.8K0.00107.16408751,339
2007-01-31$106.78$108.003.3%0.9%4.1%0.0%0.0%0.9%0.4%345.3K791.7K-23.2K0.00103.803308791,339