LQD Options History — August 2009

In August 2009, LQD traded between $102.15 and $105.33. ATM implied volatility averaged 7.9%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 2.3% (HV 20d: 10.2%). Max pain ranged from $100.00 to $103.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 17.02.

Notable Days

  • 2009-08-12: Highest Volume — 11,513 contracts
  • 2009-08-12: Largest IV spike — 39.8% change
  • 2009-08-19: Highest IV Rank — 6.8%
  • 2009-08-19: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.36$102.15$105.33$103.00$105.33
Max Pain$101.52$100.00$103.00$102.00$102.00
ATM IV7.9%5.5%9.8%5.5%8.5%
Expected Move2.3%1.6%2.8%1.6%2.4%
HV 20d10.2%7.5%11.0%11.0%7.5%
HV 60d9.3%8.9%9.8%9.4%8.9%
IV Rank4.1%0.5%6.8%0.5%4.9%
IV Percentile25.9%1.2%46.8%1.2%31.0%
Term Structure0.4%-1.8%2.0%2.0%0.1%
VWIV8.6%6.0%15.6%6.0%15.6%
Skew 25d1.9%-0.4%5.2%1.3%1.5%
Skew 10d3.2%-0.1%8.9%-0.0%4.5%
Call IV 25d7.1%4.6%8.8%5.5%8.0%
Put IV 25d9.0%5.0%13.0%6.8%9.5%
Bid-Ask Spread %80.7960.07110.42103.0286.83
Gamma HHI0.380.270.540.290.54
Net GEX2.9M-669.9K5.8M2.9M5.8M
Net DEX-9.8M-21.4M9.1M-11.7M-21.4M
Net VEX-52.2K-246.8K-36.9K-40.8K-46.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.020.00337.620.260.01
Total Volume992.5244611,5139192,000
Total OI11,571.813,37216,9433,55616,943

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$103.00$102.005.5%1.6%11.0%0.5%6.0%1.3%2.0%2.9M-11.7M-40.8K0.26103.027271922,4201,136
2009-08-04$102.48$102.006.0%1.7%11.0%1.2%6.5%-0.4%1.1%2.0M-8.1M-36.9K1.4878.372774092,1221,250
2009-08-05$102.50$103.006.4%1.8%10.7%1.8%6.6%-0.4%0.7%2.0M-7.1M-37.0K0.33110.42212702,3601,470
2009-08-06$102.22$103.007.4%2.1%10.8%3.3%7.0%0.8%-0.5%2.3M-7.0M-37.9K0.0560.076532,5101,469
2009-08-07$102.20$100.006.7%2.1%10.7%2.2%6.7%1.7%1.6%2.2M-5.2M-37.9K0.1772.2793162,5751,470
2009-08-10$102.52$100.008.1%2.2%10.7%4.2%7.9%-0.1%0.9%2.5M-8.1M-41.2K0.0083.525702,6561,486
2009-08-11$103.05$100.006.7%2.2%10.8%2.3%8.0%-0.2%1.4%3.3M-10.8M-37.4K0.0189.0244162,6761,486
2009-08-12$102.15$100.009.4%2.5%10.7%6.1%9.5%1.8%0.3%2.4M-5.7M-43.5K337.6273.133411,4792,9601,492
2009-08-13$103.14$100.007.6%2.2%10.9%3.6%7.1%3.7%0.5%3.0M-9.9M-42.2K0.12102.296882,96212,935
2009-08-14$103.12$100.008.8%2.5%10.8%5.3%9.2%1.3%0.1%2.9M-11.1M-48.4K10.6784.84434593,00312,930
2009-08-17$103.29$102.009.4%2.7%10.8%6.1%8.8%1.7%0.4%3.1M-10.4M-39.4K0.2879.3536103,00513,358
2009-08-18$103.03$102.009.3%2.7%9.8%6.1%11.4%2.6%0.1%2.7M-8.6M-46.7K2.9168.2132932,98913,368
2009-08-19$103.36$102.009.8%2.8%9.7%6.8%11.0%3.9%-1.1%3.0M-11.5M-41.4K1.9365.02541042,95613,397
2009-08-20$103.85$102.009.2%2.6%9.8%5.8%8.3%5.2%-0.5%2.7M-12.7M-39.0K0.3361.135251722,87513,465
2009-08-21$103.38$102.008.8%2.5%10.0%5.4%7.8%2.8%-1.8%-669.9K9.1M-246.8K0.6582.012781802,75013,467
2009-08-24$103.91$102.007.8%2.2%10.0%3.8%8.3%2.4%-0.0%1.9M-7.7M-38.9K0.1483.418901242,35412,868
2009-08-25$104.09$102.007.9%2.3%10.0%4.0%8.1%1.8%0.8%2.9M-9.9M-45.0K0.1374.21734972,91312,957
2009-08-26$104.78$102.008.2%2.3%10.0%4.4%8.0%3.3%0.9%4.6M-15.9M-49.6K0.2082.45334683,43513,012
2009-08-27$104.30$102.007.7%2.2%10.0%3.7%8.1%2.4%0.7%4.6M-15.0M-50.6K0.1183.21157173,63313,080
2009-08-28$104.82$102.007.7%2.2%9.1%3.7%11.2%3.7%-0.3%5.3M-16.5M-50.2K0.0973.75256233,72513,090
2009-08-31$105.33$102.008.5%2.4%7.5%4.9%15.6%1.5%0.1%5.8M-21.4M-46.1K0.0186.831,971293,83313,110