LQD Options History — March 2009

In March 2009, LQD traded between $90.54 and $94.70. ATM implied volatility averaged 12.6%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.7% (HV 20d: 13.3%). Max pain ranged from $92.00 to $96.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.81.

Notable Days

  • 2009-03-09: Highest Volume — 2,186 contracts
  • 2009-03-18: Largest IV spike — 155.5% change
  • 2009-03-02: Highest IV Rank — 41.2%
  • 2009-03-02: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.04$90.54$94.70$93.69$94.12
Max Pain$93.27$92.00$96.00$96.00$93.00
ATM IV12.6%8.7%33.0%33.0%8.7%
Expected Move3.6%2.5%9.5%9.5%2.5%
HV 20d13.3%8.4%16.3%8.8%15.8%
HV 60d13.6%13.0%14.7%13.4%13.1%
IV Rank12.0%6.4%41.2%41.2%6.4%
IV Percentile56.6%33.7%95.2%95.2%33.7%
Term Structure-0.9%-28.7%2.9%-28.7%2.1%
VWIV11.5%7.3%22.6%21.3%8.7%
Skew 25d3.0%-0.9%19.2%15.9%3.9%
Skew 10d2.1%-1.0%11.2%11.2%4.6%
Call IV 25d10.9%7.0%29.8%29.8%7.7%
Put IV 25d14.0%9.6%45.7%45.7%11.6%
Bid-Ask Spread %111.5891.46140.98140.98119.62
Gamma HHI0.290.110.590.480.25
Net GEX-217.2K-1.6M789.3K-981.3K785.3K
Net DEX10.8M-2.4M33.1M12.8M-2.4M
Net VEX-25.2K-52.6K-17.5K-52.6K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.810.0142.721.150.01
Total Volume213.591182,18688107
Total OI4,238.9552,3116,2555,2783,139

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$93.69$96.0033.0%9.5%8.8%41.2%21.3%15.9%-28.7%-981.3K12.8M-52.6K1.15140.9841471,7833,495
2009-03-03$93.18$96.0011.3%3.2%8.5%10.2%10.7%2.1%-0.1%-1.6M20.3M-30.6K1.26111.8339491,8103,412
2009-03-04$93.15$96.0011.7%3.4%8.6%10.7%16.3%-0.7%-0.7%-1.6M19.4M-31.7K4.10127.7910411,8193,376
2009-03-05$92.90$96.0011.6%3.3%8.5%10.6%11.6%4.8%-1.4%-1.5M19.1M-31.2K3.50112.984141,8213,394
2009-03-06$93.10$94.0011.8%2.9%8.4%10.9%0.0%0.4%1.1%-1.4M20.9M-26.4K0.15107.443351,8213,404
2009-03-09$90.54$94.0013.4%4.4%11.8%13.1%12.5%5.5%-0.7%-180.6K24.6M-17.7K42.72109.70502,1361,8533,404
2009-03-10$91.85$95.0012.3%3.2%13.4%11.5%9.9%1.0%0.4%-408.1K33.1M-19.0K1.80119.8915271,8444,411
2009-03-11$91.88$94.0011.9%3.1%13.1%11.1%7.3%0.9%0.9%-57.0K15.6M-17.5K1.08114.2624261,8582,469
2009-03-12$91.80$94.0010.7%3.1%12.9%9.3%10.6%2.0%0.7%-44.0K15.3M-17.6K0.22120.5685191,8652,446
2009-03-13$92.65$92.0010.8%3.1%13.6%9.4%8.1%2.9%0.7%-33.3K14.1M-19.0K0.46102.65186851,9462,434
2009-03-16$92.78$92.009.7%2.8%13.6%7.9%9.7%2.2%1.7%61.9K14.1M-20.6K0.06102.2511372,0612,501
2009-03-17$92.53$92.0010.8%3.1%13.2%9.4%10.8%-0.1%0.8%151.1K13.9M-21.7K0.2997.10121352,1412,506
2009-03-18$94.50$92.0027.5%7.9%15.8%33.4%22.6%19.2%-5.9%-517.4K4.6M-37.5K0.60138.71147882,2122,558
2009-03-19$94.70$92.0010.4%3.0%15.7%8.8%10.7%-0.1%0.7%-1.0M7.7M-24.6K0.9695.3150482,2882,528
2009-03-20$93.74$92.0010.7%3.1%16.0%9.3%12.1%-0.9%1.0%262.4K11.2M-21.8K0.94100.4533312,2902,542
2009-03-23$94.03$92.0010.3%3.0%16.1%8.8%9.0%2.0%0.7%383.9K-1.4M-21.2K0.1491.46160221,389922
2009-03-24$93.10$92.0010.3%3.0%16.3%8.8%9.6%2.8%1.0%434.8K-1.0M-21.3K0.44105.2927121,544944
2009-03-25$92.65$92.0010.2%2.9%15.8%8.5%10.2%0.8%0.8%423.7K-220.2K-19.9K0.28110.45241671,570946
2009-03-26$93.13$92.0010.4%3.0%15.8%8.8%10.4%1.2%1.1%512.7K-458.4K-25.2K0.30113.6860181,756986
2009-03-27$93.42$92.009.0%2.6%15.7%6.9%9.9%-0.1%2.9%685.5K-1.7M-24.8K0.0999.98143131,812997
2009-03-30$93.35$92.0010.4%3.0%15.6%8.9%9.3%0.4%1.2%789.3K-1.7M-24.9K1.20112.391001201,9501,010
2009-03-31$94.12$93.008.7%2.5%15.8%6.4%8.7%3.9%2.1%785.3K-2.4M-27.5K0.01119.6210612,0181,121