LQD Options History — October 2008

In October 2008, LQD traded between $81.70 and $90.21. ATM implied volatility averaged 29.2%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 26.2% (HV 20d: 55.4%). Max pain ranged from $86.00 to $90.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2008-10-15: Highest Volume — 228 contracts
  • 2008-10-06: Largest IV spike — 126.8% change
  • 2008-10-07: Highest IV Rank — 100.0%
  • 2008-10-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.31$81.70$90.21$90.21$87.65
Max Pain$87.87$86.00$90.00$88.00$86.00
ATM IV29.2%12.7%74.1%13.3%20.1%
Expected Move5.8%3.6%8.4%3.8%5.8%
HV 20d55.4%35.0%66.1%58.6%35.3%
HV 60d37.4%34.0%39.3%34.0%39.2%
IV Rank48.8%12.7%100.0%29.5%23.0%
IV Percentile93.3%83.3%100.0%90.5%87.7%
Term Structure-4.9%-15.7%4.6%-1.0%4.6%
VWIV20.7%10.1%37.4%14.7%14.8%
Skew 25d0.8%-13.0%19.5%0.5%19.5%
Skew 10d-2.9%-12.4%25.7%1.4%-7.4%
Call IV 25d25.5%7.6%43.8%18.8%7.6%
Put IV 25d26.3%10.3%41.4%19.3%27.1%
Bid-Ask Spread %142.5733.07167.99125.61158.41
Gamma HHI0.150.100.360.220.12
Net GEX164.4K31.9K398.8K168.0K182.3K
Net DEX-398.4K-1.3M509.0K-321.4K-833.9K
Net VEX-8.4K-15.3K-4.1K-4.6K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.004.672.140.00
Total Volume77.65202284417
Total OI855.6095471,1675471,145

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$90.21$88.0013.3%3.8%58.6%29.5%14.7%0.5%-1.0%168.0K-321.4K-4.6K2.14125.61143045988
2008-10-02$88.90$88.0014.0%4.0%58.7%31.5%24.8%2.6%-6.2%100.3K109.7K-4.1K0.15124.09335460118
2008-10-03$88.86$88.0012.7%3.6%58.7%27.4%15.4%-2.4%-6.1%98.0K134.8K-4.2K4.67123.99628493123
2008-10-06$87.83$90.0028.8%5.7%58.6%77.3%0.0%-4.9%-3.8%92.9K66.2K-5.6K0.00167.5700493143
2008-10-07$89.47$90.0039.6%5.6%59.2%100.0%20.4%0.2%-3.5%123.5K-478.2K-6.3K0.36167.995520493139
2008-10-08$88.83$89.0042.6%5.7%59.2%100.0%24.6%-0.8%-4.0%119.4K-297.0K-6.6K0.10167.20212532159
2008-10-09$86.47$89.0043.4%6.0%59.6%100.0%0.0%-6.3%-3.9%89.1K173.3K-5.3K0.00155.8000549160
2008-10-10$81.70$89.0035.6%7.1%62.1%80.2%23.1%-3.0%2.0%31.9K509.0K-4.4K0.06126.9818411549150
2008-10-13$86.20$89.0062.2%6.2%66.1%100.0%0.0%-3.8%-7.2%121.5K-117.2K-5.2K0.00158.332260589130
2008-10-14$84.85$89.0055.0%6.8%62.5%87.8%10.9%-1.6%-8.7%203.9K-339.5K-4.5K0.22154.3415233744127
2008-10-15$84.85$89.0074.1%6.9%60.5%100.0%0.0%0.3%-8.8%177.2K-349.1K-6.1K0.00154.512280836160
2008-10-16$85.74$89.0022.7%6.5%60.4%26.8%33.9%-13.0%-6.3%398.8K-652.8K-6.0K0.00148.11250982160
2008-10-17$85.01$89.0027.7%7.9%59.1%34.0%22.8%8.8%-1.8%247.9K184.0K-6.2K0.00123.798001,007160
2008-10-20$87.60$89.0025.1%7.2%60.3%30.2%37.4%7.9%-15.7%100.7K-313.8K-7.3K0.20158.325010491140
2008-10-21$88.47$88.0023.8%6.8%60.4%28.5%24.0%8.9%-6.6%129.2K-890.4K-9.3K0.44159.1313660541150
2008-10-22$87.45$86.0023.7%6.8%60.5%28.3%11.4%-3.7%-5.3%135.7K-576.1K-11.8K0.57163.647040676210
2008-10-23$88.00$86.0014.7%4.2%60.5%15.5%0.0%0.6%-0.4%196.9K-723.4K-13.1K0.00125.2390746250
2008-10-24$88.35$86.0024.1%6.9%59.8%28.7%36.7%-1.8%-12.6%168.6K-970.8K-14.4K0.09162.83111755250
2008-10-27$87.78$86.0013.0%3.7%48.4%12.8%14.1%2.9%-1.1%201.7K-589.2K-11.9K0.1933.07275764251
2008-10-28$87.20$86.0012.9%3.7%35.0%12.7%10.1%8.5%-2.2%193.7K-418.5K-12.1K0.22126.319120785256
2008-10-29$88.67$86.0013.2%3.8%35.6%13.1%10.1%-3.4%-3.6%291.5K-1.3M-13.9K0.00129.02031847276
2008-10-30$88.01$86.0029.3%8.4%35.3%36.0%24.1%2.3%-9.6%207.7K-1.2M-15.3K0.31164.864213847296
2008-10-31$87.65$86.0020.1%5.8%35.3%23.0%14.8%19.5%4.6%182.3K-833.9K-14.9K0.00158.41170842303