LQD Options History — May 2007

In May 2007, LQD traded between $105.93 and $107.40. ATM implied volatility averaged 3.8%. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 0.1% (HV 20d: 3.7%). Max pain ranged from $106.00 to $107.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.65.

Notable Days

  • 2007-05-04: Highest Volume — 104 contracts
  • 2007-05-18: Largest IV spike — 45.0% change
  • 2007-05-24: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.72$105.93$107.40$107.19$105.93
Max Pain$106.41$106.00$107.00$107.00$107.00
ATM IV3.8%2.5%4.9%4.3%3.7%
Expected Move1.1%0.7%1.4%1.2%1.1%
HV 20d3.7%2.7%4.2%4.1%2.7%
HV 60d3.8%3.4%4.0%4.0%3.4%
Term Structure-0.2%-1.2%1.3%-0.1%-0.6%
VWIV4.3%2.9%5.3%5.1%4.2%
Skew 25d0.5%-1.7%2.1%-0.3%0.5%
Skew 10d0.3%-1.4%2.5%-0.4%0.4%
Call IV 25d3.4%2.5%5.2%4.3%4.1%
Put IV 25d3.9%2.9%5.1%4.0%4.7%
Bid-Ask Spread %103.7288.11113.31113.31106.91
Gamma HHI0.240.210.270.220.25
Net GEX638.1K87.3K1.0M665.8K87.3K
Net DEX-534.2K-2.6M1.9M-1.8M1.9M
Net VEX-18.6K-22.1K-14.3K-21.3K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.0020.000.630.00
Total Volume2101042030
Total OI1,807.7271,7161,8751,7161,867

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$107.19$107.004.3%1.2%4.1%0.0%0.0%-0.3%-0.1%665.8K-1.8M-21.3K0.00113.31020827889
2007-05-02$107.16$107.004.0%1.2%4.1%0.0%0.0%0.5%0.1%722.5K-1.9M-21.2K0.00110.6800827909
2007-05-03$107.01$107.004.0%1.2%4.2%0.0%0.0%-0.1%-0.0%672.8K-1.3M-20.6K0.63111.811610827909
2007-05-04$107.27$107.004.4%1.2%4.2%0.0%0.0%1.8%-0.5%745.2K-2.4M-20.9K0.2488.118420843899
2007-05-07$107.40$107.004.1%1.3%4.0%0.0%5.1%2.1%-0.7%801.0K-2.4M-22.1K0.0097.21100877919
2007-05-08$107.34$106.003.8%1.2%3.9%0.0%2.9%1.0%-0.2%975.9K-2.6M-21.2K0.2589.8641887919
2007-05-09$107.17$106.004.8%1.2%3.9%0.0%0.0%-0.1%-0.4%860.4K-1.9M-21.3K0.00101.6100891918
2007-05-10$107.22$106.004.0%1.1%3.9%0.0%0.0%1.0%0.2%924.6K-2.0M-20.0K0.0097.16260891918
2007-05-11$107.11$106.003.2%0.9%3.8%0.0%0.0%-1.1%0.2%1.0M-1.8M-20.7K0.00102.08160909918
2007-05-14$107.00$106.003.1%0.9%3.9%0.0%0.0%2.1%0.3%863.4K-1.3M-19.6K0.00103.7100915918
2007-05-15$106.76$106.003.3%0.9%3.5%0.0%0.0%1.8%0.8%932.7K-986.9K-18.2K0.00105.3760915918
2007-05-16$107.01$106.003.4%1.0%3.6%0.0%0.0%2.1%0.1%815.4K-1.1M-18.8K0.00105.95180919918
2007-05-17$106.69$106.002.9%0.8%3.7%0.0%0.0%0.8%0.7%822.2K-382.6K-17.9K3.33100.461240927918
2007-05-18$106.39$106.004.2%1.2%3.8%0.0%0.0%0.9%-0.5%568.0K465.7K-18.4K20.00105.36120937938
2007-05-21$106.53$106.002.5%0.7%3.7%0.0%0.0%0.8%1.3%727.2K-102.0K-16.9K0.00110.71010909868
2007-05-22$106.19$106.003.1%0.9%3.6%0.0%0.0%0.2%-0.2%475.6K855.8K-16.5K0.00109.1420909878
2007-05-23$106.09$106.003.5%1.0%3.6%0.0%0.0%0.1%-0.3%248.8K1.3M-16.7K0.00108.09250911878
2007-05-24$106.22$106.004.9%1.4%3.7%0.0%4.5%0.0%-1.2%250.0K1.2M-16.9K2.00105.541020936878
2007-05-25$106.15$107.004.1%1.2%3.7%0.0%5.3%0.6%-0.9%381.6K1.3M-15.5K0.00106.59310936894
2007-05-29$105.94$107.003.9%1.1%3.1%0.0%4.6%-1.5%-1.1%131.8K1.8M-14.5K0.00100.38200955894
2007-05-30$106.02$107.004.0%1.2%2.7%0.0%3.4%-1.7%-1.2%325.3K1.4M-15.5K0.00101.74010963894
2007-05-31$105.93$107.003.7%1.1%2.7%0.0%4.2%0.5%-0.6%87.3K1.9M-14.3K0.00106.91300963904