LQD Options History — June 2009

In June 2009, LQD traded between $97.43 and $100.42. ATM implied volatility averaged 7.2%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 2.4% (HV 20d: 9.6%). Max pain ranged from $96.00 to $98.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2009-06-30: Highest Volume — 1,985 contracts
  • 2009-06-30: Largest IV spike — 27.2% change
  • 2009-06-23: Highest IV Rank — 3.5%
  • 2009-06-23: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.84$97.43$100.42$97.43$100.28
Max Pain$97.23$96.00$98.00$96.00$98.00
ATM IV7.2%6.1%8.3%7.9%7.8%
Expected Move2.1%1.8%2.4%2.3%2.2%
HV 20d9.6%8.6%10.6%9.2%8.6%
HV 60d9.1%8.3%11.4%11.3%8.3%
IV Rank1.9%0.4%3.5%3.0%2.8%
IV Percentile9.9%1.2%23.4%17.9%19.8%
Term Structure0.4%-1.6%1.7%0.5%-0.4%
VWIV7.5%6.2%9.5%7.7%9.5%
Skew 25d0.8%-1.0%2.8%1.4%-1.0%
Skew 10d-0.0%-3.3%4.9%1.2%-1.9%
Call IV 25d6.8%5.1%8.3%7.2%7.2%
Put IV 25d7.6%6.2%8.5%8.5%6.2%
Bid-Ask Spread %85.3752.05130.83100.6661.06
Gamma HHI0.250.190.320.210.32
Net GEX2.5M1.5M3.9M1.6M3.7M
Net DEX-13.5M-20.5M-6.8M-10.6M-14.7M
Net VEX-54.7K-66.1K-39.6K-64.6K-39.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.001.901.100.00
Total Volume339.136441,9856841,985
Total OI6,106.5453,7637,6386,4394,510

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$97.43$96.007.9%2.3%9.2%3.0%7.7%1.4%0.5%1.6M-10.6M-64.6K1.10100.663253593,8262,613
2009-06-02$98.15$96.007.7%2.2%9.5%2.7%8.0%1.1%0.2%1.5M-10.9M-66.1K0.5354.65103553,8522,902
2009-06-03$98.65$97.007.0%2.0%9.6%1.6%7.8%2.8%0.2%1.7M-13.4M-63.7K0.0579.93508253,7072,916
2009-06-04$98.22$97.007.3%2.1%9.7%2.0%8.3%1.4%0.5%1.5M-11.7M-60.2K0.7780.4335273,5242,932
2009-06-05$97.70$97.006.7%2.3%9.2%1.2%8.0%-0.5%0.9%1.6M-7.2M-57.2K0.0678.89251153,5252,948
2009-06-08$97.50$97.007.0%2.3%9.0%1.6%7.0%0.5%0.6%1.8M-9.3M-56.0K0.0966.26196173,6482,950
2009-06-09$98.24$97.007.1%2.2%9.3%1.9%7.6%0.8%0.9%2.3M-12.7M-54.4K0.1652.05292483,7892,957
2009-06-10$97.95$97.006.3%2.2%9.4%0.6%7.3%0.6%0.8%2.2M-13.7M-56.6K0.4779.87157743,9683,002
2009-06-11$98.29$97.007.6%2.2%9.4%2.5%7.8%0.2%-0.4%2.1M-12.7M-54.3K0.1676.71328513,9853,074
2009-06-12$99.02$97.006.5%1.9%9.7%0.8%7.5%1.2%1.3%2.2M-19.0M-53.8K0.3382.4733114,1533,083
2009-06-15$99.05$97.008.1%2.3%9.7%3.2%7.8%-0.1%-0.1%2.0M-19.2M-53.9K0.2790.58132354,1863,082
2009-06-16$98.99$97.007.0%2.0%9.7%1.7%9.2%-0.4%1.5%2.5M-19.7M-54.2K1.0294.4158594,2873,088
2009-06-17$99.11$97.006.5%1.9%9.6%0.9%6.8%-0.3%1.7%2.5M-20.5M-51.2K0.11119.28300334,2493,050
2009-06-18$97.85$97.006.8%2.0%10.6%1.4%7.4%1.4%0.1%3.0M-12.4M-51.0K0.0184.4740344,3823,055
2009-06-19$98.59$97.007.8%2.2%10.2%2.8%7.7%2.3%0.9%2.8M-17.9M-52.8K1.55110.191322044,5793,059
2009-06-22$98.95$98.007.2%2.1%10.2%1.9%7.2%1.3%-1.5%2.1M-6.8M-51.6K0.0492.5620382,788975
2009-06-23$99.75$98.008.3%2.4%10.5%3.5%6.2%1.1%-1.6%2.3M-10.1M-52.2K0.01130.8356352,885983
2009-06-24$99.59$98.006.3%1.8%10.1%0.6%6.2%1.0%0.1%3.7M-12.0M-55.5K0.9263.5765603,359983
2009-06-25$100.37$98.007.5%2.2%10.3%2.5%6.7%1.3%-0.3%3.5M-14.2M-48.8K0.0695.158553,4151,043
2009-06-26$100.42$98.007.0%2.0%9.1%1.6%7.7%1.2%1.5%3.9M-14.9M-51.8K0.6190.8356343,4851,048
2009-06-29$100.31$98.006.1%1.8%8.8%0.4%6.6%0.5%0.8%3.9M-14.3M-53.5K1.9093.2242803,4541,045
2009-06-30$100.28$98.007.8%2.2%8.6%2.8%9.5%-1.0%-0.4%3.7M-14.7M-39.6K0.0061.061,98503,4051,105