LQD Options History — December 2008

In December 2008, LQD traded between $91.09 and $101.65. ATM implied volatility averaged 16.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.4% (HV 20d: 12.2%). Max pain ranged from $89.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2008-12-18: Highest Volume — 653 contracts
  • 2008-12-09: Largest IV spike — 177.8% change
  • 2008-12-31: Highest IV Rank — 36.3%
  • 2008-12-31: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.41$91.09$101.65$91.09$101.65
Max Pain$94.14$89.00$100.00$89.00$100.00
ATM IV16.6%8.4%29.5%19.6%29.5%
Expected Move4.7%2.4%8.5%5.6%8.5%
HV 20d12.2%9.8%14.8%11.5%13.8%
HV 60d34.1%22.7%39.9%39.8%22.7%
IV Rank17.7%6.1%36.3%22.1%36.3%
IV Percentile79.4%57.1%95.6%86.9%95.6%
Term Structure0.0%-18.4%14.1%11.1%-16.5%
VWIV15.4%7.7%31.3%14.9%7.7%
Skew 25d-4.2%-23.0%10.9%0.6%-11.9%
Skew 10d-3.8%-26.1%18.6%2.1%-26.1%
Call IV 25d22.8%9.0%45.3%39.6%38.6%
Put IV 25d18.7%8.9%40.2%40.2%26.7%
Bid-Ask Spread %131.4444.54188.76148.56147.38
Gamma HHI0.160.090.220.160.15
Net GEX306.2K73.3K862.7K304.5K141.0K
Net DEX-6.4M-11.6M-3.1M-3.1M-6.9M
Net VEX-13.4K-17.5K-8.1K-16.5K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.002.730.670.00
Total Volume138.364176538733
Total OI1,839.4551,4372,7511,4372,064

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$91.09$89.0019.6%5.6%11.5%22.1%14.9%0.6%11.1%304.5K-3.1M-16.5K0.67148.5652351,002435
2008-12-02$91.78$89.0017.2%4.9%11.7%18.6%31.3%2.0%14.1%317.8K-3.4M-17.1K2.73147.9311301,032466
2008-12-03$92.42$90.008.4%2.4%11.7%6.1%8.2%-0.0%2.4%862.7K-4.6M-14.1K0.3074.7050151,040496
2008-12-04$92.51$90.0016.3%4.7%9.8%17.4%26.0%-23.0%13.7%282.9K-3.6M-17.5K0.00143.515501,053498
2008-12-05$91.88$91.0013.8%5.7%10.0%13.7%0.0%2.4%-6.6%593.4K-4.4M-13.2K0.70188.7679551,079498
2008-12-08$92.83$91.008.7%2.8%10.1%6.5%11.0%2.1%5.4%603.0K-5.4M-15.0K1.4344.547101,117544
2008-12-09$93.46$91.0024.1%6.6%10.3%28.5%23.7%7.7%-13.6%219.5K-4.7M-15.1K0.46165.59194901,118551
2008-12-10$93.68$91.0025.1%4.0%10.3%30.0%16.1%-5.0%1.9%530.9K-6.4M-14.6K1.63177.4627441,294631
2008-12-11$94.00$91.009.0%2.6%10.3%6.9%10.8%1.4%3.1%525.7K-7.8M-15.2K0.3467.3635121,316675
2008-12-12$94.51$91.009.3%2.7%9.8%7.4%10.0%1.1%-0.8%435.1K-8.4M-14.1K2.4471.8625611,315684
2008-12-15$94.48$92.009.2%2.6%9.8%7.2%0.0%0.8%8.7%404.6K-7.3M-15.9K0.1278.3686101,322745
2008-12-16$96.42$92.0022.1%6.3%11.6%25.6%0.0%10.9%-3.3%262.7K-8.9M-14.8K0.96157.6876731,364755
2008-12-17$97.85$92.0013.6%3.9%12.3%13.5%13.6%-7.9%-3.2%249.7K-9.4M-13.1K0.99143.5092911,365807
2008-12-18$100.22$92.0015.8%4.5%14.1%16.7%17.3%-0.5%-4.0%152.7K-11.6M-8.1K0.70140.873852681,404898
2008-12-19$98.73$99.0017.9%5.1%14.8%19.7%20.8%-11.2%-9.5%148.8K-9.8M-11.8K0.42140.98221931,6011,150
2008-12-22$99.92$100.0018.2%5.2%14.8%20.1%18.2%-14.1%-2.1%131.8K-5.5M-10.0K0.82137.816553891621
2008-12-23$100.25$100.0014.8%4.2%14.4%15.2%13.1%-16.6%3.6%88.8K-5.5M-10.3K0.16140.03193902672
2008-12-24$100.50$100.0017.9%5.1%14.5%19.7%18.2%-7.5%-0.6%108.5K-5.5M-9.1K1.64151.123964920674
2008-12-26$100.69$100.0025.3%7.2%14.0%30.2%9.1%-13.0%-18.4%73.3K-5.6M-11.3K0.79145.889172959738
2008-12-29$100.58$100.0016.4%4.7%13.9%17.5%10.8%-12.8%10.3%108.0K-6.1M-11.9K0.48134.28118571,014798
2008-12-30$101.46$100.0011.7%3.4%13.8%10.8%12.2%3.0%4.7%190.1K-7.3M-12.7K0.95143.4976721,116844
2008-12-31$101.65$100.0029.5%8.5%13.8%36.3%7.7%-11.9%-16.5%141.0K-6.9M-12.6K0.00147.383301,167897