LQD Options History — March 2007

In March 2007, LQD traded between $107.27 and $108.32. ATM implied volatility averaged 4.0%. The 30-day expected move averaged 1.1%. IV traded below realized volatility by 0.1% (HV 20d: 4.1%). Max pain ranged from $106.00 to $109.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 4.03.

Notable Days

  • 2007-03-07: Highest Volume — 147 contracts
  • 2007-03-13: Largest IV spike — 87.2% change
  • 2007-03-30: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.72$107.27$108.32$108.02$107.27
Max Pain$108.73$106.00$109.00$106.00$109.00
ATM IV4.0%2.8%6.4%4.1%4.8%
Expected Move1.1%0.8%1.4%1.2%1.4%
HV 20d4.1%3.3%4.5%4.4%3.3%
HV 60d4.1%4.0%4.2%4.2%4.0%
Term Structure-0.1%-1.3%1.5%-0.1%-1.2%
VWIV4.1%2.7%4.9%4.3%4.9%
Skew 25d1.0%0.0%2.6%0.2%1.1%
Skew 10d0.9%-1.3%2.5%0.8%1.0%
Call IV 25d3.6%2.3%4.6%4.6%4.3%
Put IV 25d4.6%3.7%5.4%4.8%5.4%
Bid-Ask Spread %96.0763.16133.49106.4088.99
Gamma HHI0.280.180.590.290.18
Net GEX539.7K-134.0K1.9M1.0M-41.6K
Net DEX-1.6M-4.0M357.3K-3.7M330.5K
Net VEX-18.6K-20.9K-11.4K-17.9K-20.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.030.0028.504.001.56
Total Volume34.59101475041
Total OI1,486.5451,3111,7301,5081,418

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$108.02$106.004.1%1.2%4.4%0.0%4.3%0.2%-0.1%1.0M-3.7M-17.9K4.00106.401040735773
2007-03-02$108.32$106.003.6%1.0%4.0%0.0%0.0%1.8%1.5%663.3K-4.0M-19.1K28.50109.98257740813
2007-03-05$108.16$109.003.7%1.2%4.1%0.0%4.1%0.6%-0.6%609.2K-3.4M-18.8K0.0096.4440742830
2007-03-06$107.75$109.005.9%1.0%4.4%0.0%0.0%1.1%-0.6%842.5K-2.8M-18.1K0.0096.2800746830
2007-03-07$107.85$109.003.8%1.1%4.4%0.0%0.0%1.3%-0.7%926.2K-2.9M-18.3K0.00103.331470746830
2007-03-08$107.99$109.004.0%1.0%4.4%0.0%0.0%1.2%-0.6%863.7K-3.1M-18.3K0.00104.8500746830
2007-03-09$107.71$109.004.0%1.0%4.5%0.0%0.0%2.6%0.1%1.2M-2.2M-18.7K0.3385.733010746830
2007-03-12$107.94$109.003.4%0.9%4.2%0.0%0.0%0.3%-0.2%905.9K-2.9M-18.4K0.0093.5100750840
2007-03-13$108.00$109.006.4%1.0%4.2%0.0%4.5%0.0%-0.4%984.6K-3.3M-18.3K10.0092.85220750840
2007-03-14$107.90$109.004.2%0.9%4.2%0.0%0.0%0.6%0.2%1.9M-3.0M-11.4K15.0085.31230752860
2007-03-15$107.92$109.003.1%0.9%3.8%0.0%4.2%2.2%0.3%1.4M-2.7M-17.9K13.0085.608104752880
2007-03-16$107.50$109.004.0%1.2%4.0%0.0%0.0%1.3%-0.8%1.2M-1.6M-17.2K0.0863.1612010756974
2007-03-19$107.30$109.004.0%1.2%4.0%0.0%0.0%1.8%0.1%-121.5K104.0K-19.0K0.0091.5910499813
2007-03-20$107.59$109.002.8%0.8%4.1%0.0%2.7%2.3%1.5%-134.0K-184.4K-20.3K0.0089.0810498813
2007-03-21$107.91$109.003.9%1.1%4.3%0.0%4.0%0.7%1.0%-26.4K-757.5K-20.3K0.12133.49425499813
2007-03-22$107.61$109.003.5%1.0%4.3%0.0%0.0%0.1%0.1%-59.1K-255.9K-19.0K0.0089.0270540818
2007-03-23$107.33$109.004.0%1.1%4.3%0.0%0.0%0.8%0.1%-91.6K179.3K-19.0K0.0081.12160547818
2007-03-26$107.53$109.003.6%1.0%4.0%0.0%0.0%1.0%-0.0%-20.8K-141.8K-19.9K0.00102.43180563818
2007-03-27$107.51$109.004.1%1.2%3.7%0.0%0.0%0.5%-1.3%-60.1K125.6K-20.0K0.0098.6620566818
2007-03-28$107.44$109.004.2%1.2%3.7%0.0%0.0%0.1%-0.4%84.0K-380.5K-18.1K0.00109.4700568818
2007-03-29$107.31$109.003.7%1.1%3.5%0.0%0.0%1.1%-0.3%-98.5K357.3K-19.6K0.00106.25320568818
2007-03-30$107.27$109.004.8%1.4%3.3%0.0%4.9%1.1%-1.2%-41.6K330.5K-20.9K1.5688.991625600818