LQD Options History — July 2009

In July 2009, LQD traded between $99.55 and $104.46. ATM implied volatility averaged 6.9%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded below realized volatility by 1.6% (HV 20d: 8.5%). Max pain ranged from $99.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2009-07-31: Highest Volume — 2,014 contracts
  • 2009-07-09: Largest IV drop — 31.5% change
  • 2009-07-14: Highest IV Rank — 5.4%
  • 2009-07-31: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.05$99.55$104.46$99.70$104.46
Max Pain$99.05$99.00$100.00$99.00$100.00
ATM IV6.9%5.1%8.9%7.6%8.8%
Expected Move1.8%1.5%2.5%2.2%2.5%
HV 20d8.5%7.7%9.3%8.8%9.3%
HV 60d8.4%8.0%9.1%8.4%9.1%
IV Rank2.3%0.0%5.4%2.5%5.3%
IV Percentile11.6%0.0%36.9%16.3%36.1%
Term Structure0.5%-1.5%1.9%-1.1%-1.4%
VWIV6.8%3.6%11.1%7.3%10.0%
Skew 25d1.5%-0.3%3.5%2.2%-0.1%
Skew 10d2.9%-2.2%6.5%2.4%-2.2%
Call IV 25d6.0%3.8%9.2%6.6%9.2%
Put IV 25d7.5%5.5%9.1%8.8%9.1%
Bid-Ask Spread %83.4561.43110.33103.49107.35
Gamma HHI0.390.260.570.380.26
Net GEX4.6M2.9M6.2M3.0M2.9M
Net DEX-14.9M-27.0M-6.8M-6.8M-27.0M
Net VEX-48.8K-58.9K-35.5K-45.7K-35.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.004.470.300.04
Total Volume331.318302,0144082,014
Total OI4,802.7733,8785,4883,9114,722

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$99.70$99.007.6%2.2%8.8%2.5%7.3%2.2%-1.1%3.0M-6.8M-45.7K0.30103.49314942,8061,105
2009-07-02$99.71$99.007.1%2.0%8.6%1.7%7.3%0.8%-0.2%3.4M-9.3M-50.7K1.2476.14981223,1081,169
2009-07-06$99.95$99.006.6%1.9%8.3%1.0%6.7%1.4%0.6%4.2M-9.0M-47.8K0.6072.1288533,1621,276
2009-07-07$99.55$99.007.4%1.9%8.4%2.2%0.0%2.2%0.8%3.6M-8.2M-48.7K2.0061.4310203,2441,316
2009-07-08$100.46$99.007.6%2.0%8.6%2.6%6.1%3.5%-1.5%4.2M-14.0M-39.6K0.2487.75356853,2541,326
2009-07-09$100.50$99.005.2%1.7%8.4%0.0%5.4%3.0%1.2%5.3M-14.8M-50.6K0.0065.9517603,4591,406
2009-07-10$100.90$99.006.7%1.9%8.5%2.1%6.0%3.4%0.5%4.8M-17.9M-44.1K0.6567.37136893,5891,406
2009-07-13$100.84$99.008.5%1.7%8.2%4.7%6.1%1.8%1.2%5.1M-17.8M-48.0K2.7967.84381063,6931,490
2009-07-14$100.62$99.008.9%1.5%8.2%5.4%7.0%2.3%1.0%4.2M-16.5M-50.4K0.0272.0018243,7301,537
2009-07-15$99.69$99.008.6%1.5%9.0%4.8%7.9%3.1%1.9%5.1M-10.8M-51.7K4.4792.3519853,9121,541
2009-07-16$100.38$99.006.1%1.8%9.3%1.3%6.0%2.4%1.6%5.5M-15.4M-48.5K0.1373.64102133,9161,572
2009-07-17$100.07$99.006.5%1.9%8.0%1.8%6.5%3.0%1.3%6.2M-12.7M-54.4K0.4473.944191843,7731,497
2009-07-20$100.48$99.007.3%2.1%7.7%3.0%7.0%1.0%0.5%3.1M-8.9M-47.1K0.1990.72236463,010868
2009-07-21$101.90$99.006.4%1.8%8.9%1.7%7.1%1.0%-0.7%3.9M-15.1M-47.3K0.1887.427371323,226909
2009-07-22$101.63$99.005.1%1.5%8.7%0.0%5.7%0.3%1.0%4.9M-16.7M-58.9K0.2093.92162323,8341,031
2009-07-23$101.46$99.006.0%1.7%8.7%1.3%3.6%-0.3%1.6%5.4M-16.0M-53.4K1.11110.3345503,9831,063
2009-07-24$101.74$99.006.4%1.8%8.4%1.9%5.9%-0.2%0.9%5.9M-16.6M-52.3K0.0899.027864,0251,056
2009-07-27$101.51$99.005.4%1.5%8.4%0.3%11.1%0.6%0.7%5.7M-15.6M-49.8K0.8674.7022194,0761,061
2009-07-28$101.90$99.006.5%1.9%8.5%1.9%6.0%1.1%1.2%5.4M-18.6M-57.1K0.5393.831971044,056977
2009-07-29$102.54$99.005.9%1.7%8.7%1.1%6.6%-0.3%-0.6%5.5M-20.8M-47.4K0.0071.7313503,9591,029
2009-07-30$103.10$99.007.2%2.1%8.4%3.0%7.1%0.1%-0.2%4.3M-19.7M-45.3K0.1392.91424573,4601,029
2009-07-31$104.46$100.008.8%2.5%9.3%5.3%10.0%-0.1%-1.4%2.9M-27.0M-35.5K0.04107.351,930843,6501,072