LQD Options History — April 2007

In April 2007, LQD traded between $106.30 and $107.73. ATM implied volatility averaged 3.9%. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 0.5% (HV 20d: 3.5%). Max pain ranged from $107.00 to $109.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.51.

Notable Days

  • 2007-04-18: Highest Volume — 85 contracts
  • 2007-04-25: Largest IV spike — 52.7% change
  • 2007-04-09: Largest Expected Move — 1.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.91$106.30$107.73$106.84$107.73
Max Pain$107.30$107.00$109.00$109.00$107.00
ATM IV3.9%2.8%4.8%4.2%3.6%
Expected Move1.1%0.8%1.3%1.2%1.0%
HV 20d3.5%3.3%4.0%3.5%4.0%
HV 60d3.8%3.7%3.9%3.7%3.8%
Term Structure0.0%-0.5%1.7%0.0%0.5%
VWIV3.8%3.2%4.3%3.4%3.6%
Skew 25d0.9%-0.5%2.6%1.8%0.0%
Skew 10d0.4%-0.8%2.1%1.3%0.0%
Call IV 25d3.3%2.3%4.1%3.1%3.7%
Put IV 25d4.1%2.8%5.3%4.8%3.7%
Bid-Ask Spread %100.0683.63113.14100.89113.14
Gamma HHI0.190.160.260.190.26
Net GEX223.0K-122.7K968.5K-36.2K968.5K
Net DEX-410.0K-2.9M1.3M311.6K-2.9M
Net VEX-20.1K-22.2K-18.3K-20.2K-20.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0010.000.711.61
Total Volume31.90851281
Total OI1,536.151,4441,7161,4541,716

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$106.84$109.004.2%1.2%3.5%0.0%0.0%1.8%0.0%-36.2K311.6K-20.2K0.71100.8975616838
2007-04-03$106.78$109.004.1%1.2%3.3%0.0%3.4%1.2%0.4%-75.6K417.4K-19.9K0.0099.17100623821
2007-04-04$106.87$108.004.1%1.2%3.3%0.0%0.0%0.5%0.3%116.2K-168.2K-19.5K0.00106.3100633821
2007-04-05$106.65$108.003.0%0.8%3.3%0.0%0.0%-0.5%0.0%-70.0K505.2K-18.7K0.00104.5200633821
2007-04-09$106.30$107.004.5%1.3%3.3%0.0%0.0%1.1%-0.1%-122.7K1.3M-18.3K0.7198.384935633821
2007-04-10$106.52$107.004.8%1.0%3.3%0.0%0.0%1.5%0.5%27.4K624.4K-19.4K0.5095.7021665791
2007-04-11$106.32$107.004.4%1.2%3.3%0.0%0.0%0.2%-0.0%117.2K477.9K-18.7K0.0094.3100667792
2007-04-12$106.48$107.004.6%1.3%3.4%0.0%0.0%1.6%-0.3%34.0K547.9K-19.3K0.2391.42307667792
2007-04-13$106.30$107.004.3%1.2%3.4%0.0%0.0%0.7%-0.2%33.6K682.4K-20.6K0.0093.57023690797
2007-04-16$106.39$107.004.5%1.3%3.3%0.0%3.2%0.0%-0.3%24.6K859.1K-19.6K4.0697.121665690820
2007-04-17$106.97$107.003.6%1.0%3.8%0.0%0.0%1.0%-0.3%65.5K18.5K-19.9K0.0085.1600686877
2007-04-18$107.00$107.003.5%1.0%3.7%0.0%4.1%2.6%-0.2%-24.8K-229.2K-18.9K0.0083.63850686877
2007-04-19$107.07$107.003.5%1.0%3.5%0.0%0.0%0.4%-0.3%207.7K-927.0K-21.4K0.00103.79017771877
2007-04-20$107.04$107.003.6%1.0%3.4%0.0%0.0%2.3%-0.3%133.9K-766.0K-22.2K0.00100.20020771882
2007-04-23$107.35$107.004.2%1.2%3.5%0.0%4.2%1.1%0.1%402.6K-1.5M-21.4K0.33108.223010723810
2007-04-24$107.62$107.002.8%0.8%3.5%0.0%0.0%1.7%1.7%537.5K-2.0M-21.8K10.00109.84110751820
2007-04-25$107.47$107.004.3%1.2%3.5%0.0%4.3%0.2%-0.3%646.3K-2.0M-19.7K1.43106.58710752830
2007-04-26$107.24$107.003.8%1.1%3.6%0.0%0.0%0.4%-0.5%610.1K-1.5M-20.6K0.00102.93650759840
2007-04-27$107.21$107.003.8%1.1%3.6%0.0%0.0%-0.1%-0.5%864.1K-1.9M-20.8K0.00106.27520824840
2007-04-30$107.73$107.003.6%1.0%4.0%0.0%3.6%0.0%0.5%968.5K-2.9M-20.8K1.61113.143150876840