LQD Options History — October 2007

In October 2007, LQD traded between $104.23 and $106.75. ATM implied volatility averaged 4.8%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded below realized volatility by 2.4% (HV 20d: 7.2%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.02.

Notable Days

  • 2007-10-01: Highest Volume — 63 contracts
  • 2007-10-12: Largest IV spike — 33.6% change
  • 2007-10-08: Highest IV Rank — 37.1%
  • 2007-10-01: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.72$104.23$106.75$104.33$106.02
Max Pain$105.00$105.00$105.00$105.00$105.00
ATM IV4.8%3.8%6.2%6.1%4.4%
Expected Move1.3%1.1%1.7%1.7%1.3%
HV 20d7.2%6.5%7.8%7.1%6.7%
HV 60d6.6%6.3%6.9%6.4%6.9%
IV Rank23.0%13.3%37.1%35.8%19.2%
IV Percentile62.3%23.5%94.3%93.6%53.1%
Term Structure0.1%-1.8%2.2%-0.5%-0.5%
VWIV4.7%3.5%5.5%3.5%5.3%
Skew 25d0.9%-0.6%1.8%1.5%-0.5%
Skew 10d0.6%-0.4%1.8%1.7%0.1%
Call IV 25d4.5%3.7%5.9%5.9%5.3%
Put IV 25d5.5%4.4%7.4%7.4%4.8%
Bid-Ask Spread %99.3888.90109.7599.12108.42
Gamma HHI0.250.220.330.260.24
Net GEX539.5K350.3K804.1K350.3K596.2K
Net DEX-3.7M-5.2M-2.1M-2.1M-3.4M
Net VEX-20.9K-24.8K-16.0K-23.0K-18.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0010.000.006.25
Total Volume12.391063630
Total OI1,288.2611,2091,3551,2981,232

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$104.33$105.006.1%1.7%7.1%35.8%0.0%1.5%-0.5%350.3K-2.1M-23.0K0.0099.12063790508
2007-10-02$104.23$105.004.5%1.3%6.7%19.5%3.5%0.9%1.5%509.5K-2.1M-22.0K0.0088.90420790480
2007-10-03$104.70$105.005.2%1.5%6.8%27.3%0.0%1.7%-0.6%762.4K-2.6M-16.0K0.00104.7100832473
2007-10-04$105.53$105.004.8%1.4%7.3%22.9%0.0%0.9%-0.1%656.0K-3.3M-23.2K1.00107.101010832473
2007-10-05$105.10$105.005.3%1.5%7.2%28.3%0.0%1.2%0.9%446.7K-3.0M-24.8K0.0090.3110842483
2007-10-08$105.47$105.006.2%1.6%7.2%37.1%0.0%1.6%-1.0%469.5K-3.5M-24.2K10.0090.59110843483
2007-10-09$105.01$105.005.1%1.1%7.1%26.3%0.0%0.8%-1.2%601.5K-3.6M-22.2K0.0090.7600842488
2007-10-10$105.38$105.005.9%1.4%7.0%34.1%5.3%1.4%1.1%590.1K-3.5M-23.3K0.0093.2301842488
2007-10-11$105.60$105.004.0%1.1%7.0%14.9%5.5%1.8%0.1%571.8K-3.6M-22.6K0.0090.9650842499
2007-10-12$105.02$105.005.3%1.5%7.3%28.3%0.0%0.5%-0.0%505.1K-3.2M-22.7K0.0095.3200847489
2007-10-15$105.35$105.005.6%1.6%7.4%30.7%0.0%1.0%0.8%495.0K-3.4M-22.6K0.0097.49010847489
2007-10-16$105.53$105.004.2%1.2%7.3%17.4%0.0%1.6%0.2%507.6K-3.4M-22.4K0.0094.4890847499
2007-10-17$106.03$105.004.8%1.4%7.2%23.4%0.0%1.5%-0.5%546.5K-4.2M-21.8K0.0098.67160856499
2007-10-18$106.04$105.004.1%1.2%7.1%15.7%0.0%1.8%-0.1%804.1K-4.5M-19.3K0.00100.6300831499
2007-10-19$106.73$105.004.0%1.2%7.2%15.5%0.0%0.6%0.4%549.0K-5.2M-17.2K3.50109.751035831499
2007-10-22$106.73$105.004.2%1.2%7.1%16.7%0.0%1.5%1.4%392.7K-4.0M-21.3K1.4397.47710781428
2007-10-23$106.10$105.004.1%1.2%7.5%16.2%0.0%0.8%0.5%380.5K-3.9M-21.2K0.0098.17110788438
2007-10-24$106.75$105.003.8%1.1%7.7%13.3%0.0%0.5%-0.0%499.8K-4.9M-18.3K0.00104.5900779438
2007-10-25$106.50$105.004.2%1.2%7.7%17.2%0.0%-0.5%2.2%422.3K-4.9M-17.3K0.00108.8400779438
2007-10-26$106.33$105.005.1%1.5%7.8%26.3%3.6%0.7%-0.5%589.2K-4.3M-17.4K6.25104.88425779438
2007-10-29$106.56$105.004.2%1.2%6.5%16.8%5.3%0.8%-0.1%620.3K-4.2M-19.4K0.00107.0904779438
2007-10-30$106.57$105.005.0%1.4%6.5%25.3%0.0%-0.6%-1.8%543.1K-3.9M-19.1K0.00104.2401775457
2007-10-31$106.02$105.004.4%1.3%6.7%19.2%0.0%-0.5%-0.5%596.2K-3.4M-18.9K0.00108.4200775457