LQD Options History — August 2007

In August 2007, LQD traded between $102.66 and $105.21. ATM implied volatility averaged 5.4%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 0.2% (HV 20d: 5.6%). Max pain ranged from $104.00 to $105.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.73.

Notable Days

  • 2007-08-14: Highest Volume — 85 contracts
  • 2007-08-28: Largest IV spike — 85.1% change
  • 2007-08-15: Highest IV Rank — 76.0%
  • 2007-08-08: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.70$102.66$105.21$103.09$105.21
Max Pain$104.87$104.00$105.00$104.00$105.00
ATM IV5.4%2.6%10.2%5.1%4.6%
Expected Move1.4%0.7%1.6%1.5%1.3%
HV 20d5.6%4.1%7.1%5.2%7.1%
HV 60d5.9%5.4%6.4%5.4%6.1%
IV Rank28.9%1.3%76.0%25.8%21.1%
IV Percentile74.5%0.6%99.4%84.1%64.1%
Term Structure-0.5%-2.2%1.3%1.0%-0.1%
VWIV5.2%3.0%7.1%7.1%4.7%
Skew 25d3.8%-0.8%15.8%0.3%-0.5%
Skew 10d5.6%-0.4%17.4%0.3%-0.0%
Call IV 25d4.3%2.9%5.8%5.6%4.7%
Put IV 25d8.1%3.1%20.9%5.8%4.2%
Bid-Ask Spread %103.6096.21115.20111.73114.13
Gamma HHI0.310.200.520.460.26
Net GEX562.1K289.4K1.1M726.4K424.5K
Net DEX902.7K-621.3K2.2M897.4K-621.3K
Net VEX-20.7K-24.2K-17.4K-20.3K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.0014.000.000.00
Total Volume31.739285514
Total OI1,480.0431,2751,5411,4831,540

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$103.09$104.005.1%1.5%5.2%25.8%0.0%0.3%1.0%726.4K897.4K-20.3K0.00111.7350899584
2007-08-02$102.95$104.005.7%1.6%4.8%32.0%0.0%-0.8%-0.4%764.5K1.2M-20.5K0.55100.182011901568
2007-08-03$103.46$104.005.3%1.5%5.0%27.8%7.1%2.3%0.8%748.1K637.3K-22.2K11.60105.08558914579
2007-08-06$103.10$105.005.4%1.5%5.1%29.4%5.3%4.5%-1.2%750.8K1.5M-19.7K0.00101.3820914618
2007-08-07$103.38$105.006.0%1.6%4.6%34.6%0.0%3.0%-0.8%594.8K470.0K-22.1K0.0097.9750916618
2007-08-08$103.49$105.005.9%1.6%4.3%33.6%0.0%14.4%-2.2%728.2K1.1M-20.8K0.91108.871110921618
2007-08-09$103.40$105.006.5%1.6%4.1%39.5%0.0%3.9%-1.3%789.0K1.2M-20.2K0.0096.21032932609
2007-08-10$102.94$105.006.1%1.6%4.1%36.0%3.0%4.1%-0.8%656.5K1.5M-20.1K0.00102.3905932599
2007-08-13$103.30$105.008.6%1.6%4.2%60.3%0.0%12.8%-1.7%732.5K1.0M-20.0K0.0098.44020932594
2007-08-14$103.95$105.006.0%1.6%4.7%34.7%5.9%4.7%-0.8%1.1M186.7K-20.6K7.5098.871075932574
2007-08-15$103.66$105.0010.2%1.3%4.7%76.0%0.0%0.5%-0.6%723.6K448.6K-20.8K0.43115.202812932577
2007-08-16$102.66$105.004.3%1.2%5.8%17.9%0.0%4.0%-0.7%369.7K1.9M-19.5K0.00104.65025928579
2007-08-17$102.84$105.005.2%1.5%5.7%27.3%0.0%15.8%-0.3%447.4K2.2M-17.4K10.00108.97110928577
2007-08-20$103.58$105.004.1%1.2%6.3%16.1%4.9%5.8%-0.5%289.4K1.5M-18.1K2.63101.601950763512
2007-08-21$103.79$105.003.9%1.1%6.3%13.7%0.0%4.9%-0.3%347.6K1.6M-19.1K1.00104.271010782562
2007-08-22$104.00$105.004.8%1.4%6.4%23.1%0.0%4.5%-0.9%392.4K1.5M-18.6K0.59101.393420792572
2007-08-23$104.05$105.005.0%1.4%6.3%25.3%5.1%0.2%-0.4%342.9K797.8K-22.7K1.00103.221010826592
2007-08-24$104.28$105.005.2%1.5%6.2%26.8%0.0%1.6%-0.6%392.2K652.6K-21.7K1.0099.922020836602
2007-08-27$104.00$105.002.6%0.7%6.3%1.3%0.0%-0.3%1.3%440.8K393.1K-22.1K14.00101.40228836622
2007-08-28$104.89$105.004.8%1.4%6.9%23.3%0.0%0.7%-0.0%365.3K422.3K-22.1K0.00100.45410838649
2007-08-29$104.41$105.004.7%1.3%7.1%22.1%4.7%-0.1%0.0%458.7K84.7K-24.2K0.74102.201914858649
2007-08-30$104.72$105.004.2%1.2%7.1%16.8%0.0%0.3%-0.3%373.3K156.3K-21.5K0.00104.28640877658
2007-08-31$105.21$105.004.6%1.3%7.1%21.1%0.0%-0.5%-0.1%424.5K-621.3K-21.7K0.00114.13140882658