LQD Options History — April 2008

In April 2008, LQD traded between $104.18 and $106.14. ATM implied volatility averaged 6.8%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded below realized volatility by 1.3% (HV 20d: 8.1%). Max pain ranged from $102.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2008-04-07: Highest Volume — 146 contracts
  • 2008-04-21: Largest IV spike — 37.5% change
  • 2008-04-21: Highest IV Rank — 36.4%
  • 2008-04-21: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.04$104.18$106.14$104.52$105.99
Max Pain$104.14$102.00$105.00$104.00$104.00
ATM IV6.8%4.9%9.3%6.4%5.6%
Expected Move2.0%1.4%2.7%1.8%1.6%
HV 20d8.1%6.6%10.3%9.9%6.9%
HV 60d8.8%8.6%9.1%8.9%8.7%
IV Rank23.3%13.0%36.4%21.1%16.6%
IV Percentile79.6%36.1%95.2%83.3%57.9%
Term Structure-0.4%-3.5%0.7%0.1%0.7%
VWIV7.5%5.7%8.7%7.9%6.6%
Skew 25d2.9%0.8%7.3%3.3%0.8%
Skew 10d2.8%1.0%5.7%1.9%1.4%
Call IV 25d5.5%2.6%7.4%4.8%4.5%
Put IV 25d8.4%5.3%13.5%8.1%5.3%
Bid-Ask Spread %78.6653.22148.9079.4382.62
Gamma HHI0.300.160.470.160.47
Net GEX305.7K38.9K729.6K38.9K729.6K
Net DEX-266.1K-1.3M426.8K369.9K-1.3M
Net VEX-8.4K-9.8K-6.8K-7.0K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.630.270.00
Total Volume19.0910146196
Total OI636.545479731479726

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$104.52$104.006.4%1.8%9.9%21.1%0.0%3.3%0.1%38.9K369.9K-7.0K0.2779.43154257222
2008-04-02$104.70$104.006.4%1.8%9.7%20.9%0.0%2.9%0.1%107.0K76.4K-7.4K0.0074.3902272226
2008-04-03$104.75$104.005.8%1.7%9.4%17.9%0.0%2.5%0.4%95.7K110.7K-7.1K0.0076.8430272224
2008-04-04$106.02$102.006.7%1.8%10.2%22.4%0.0%1.5%0.0%223.5K-720.4K-6.8K0.0062.45110272224
2008-04-07$106.14$102.007.6%2.2%10.2%27.4%7.9%2.0%-0.6%241.7K-683.0K-8.0K0.1653.2212620283224
2008-04-08$105.76$104.007.1%2.3%10.3%24.6%8.7%2.2%-0.8%392.0K-1.0M-9.8K0.0058.23010409244
2008-04-09$105.45$104.008.7%2.3%9.4%33.1%7.9%2.0%-0.5%381.1K-849.4K-9.7K1.2555.6245409254
2008-04-10$105.55$105.007.0%2.0%8.5%24.4%0.0%2.4%0.0%390.9K-679.6K-9.6K0.0055.5840413259
2008-04-11$105.65$105.006.2%1.8%7.3%20.2%8.2%3.0%-0.9%449.1K-1.0M-9.7K0.0099.27240417259
2008-04-14$105.00$105.007.5%2.1%7.7%26.7%0.0%2.1%-0.7%388.2K-473.1K-9.2K0.0068.1000425259
2008-04-15$104.78$105.007.4%2.1%7.3%26.2%7.3%2.1%-0.9%274.5K4.5K-8.3K0.0073.4402425259
2008-04-16$104.18$105.007.8%2.2%7.6%28.2%0.0%2.9%-0.9%126.5K426.8K-7.9K0.0069.4310425261
2008-04-17$104.45$105.007.7%2.2%7.5%28.1%0.0%3.8%-0.5%192.7K287.9K-7.6K0.0066.3100426261
2008-04-18$104.91$105.006.8%1.9%7.4%22.9%7.6%1.6%-0.2%497.0K-68.4K-8.0K1.6799.151220426261
2008-04-21$104.57$104.009.3%2.7%7.5%36.4%0.0%7.3%-3.5%130.8K105.8K-8.3K0.00148.9000359240
2008-04-22$104.34$104.007.3%2.1%7.3%25.6%0.0%3.0%-0.4%142.2K243.6K-7.6K2.6378.09821359240
2008-04-23$104.66$104.004.9%1.4%7.4%13.0%5.7%3.4%0.2%221.8K25.7K-8.3K0.0096.64740367261
2008-04-24$104.52$104.005.2%1.5%7.1%14.4%0.0%3.4%0.1%330.8K17.6K-8.8K0.0091.84260440261
2008-04-25$104.57$104.006.2%1.8%6.8%20.1%0.0%2.6%-0.3%306.9K215.2K-8.5K0.0080.7800465261
2008-04-28$105.07$104.006.6%1.9%7.0%22.0%0.0%3.7%-0.0%455.7K-277.8K-9.0K0.0083.65100465261
2008-04-29$105.40$104.006.4%1.8%6.6%20.9%0.0%4.2%0.2%609.7K-708.0K-9.1K0.0076.60120470261
2008-04-30$105.99$104.005.6%1.6%6.9%16.6%6.6%0.8%0.7%729.6K-1.3M-9.2K0.0082.6260465261