LQD Options History — September 2009

In September 2009, LQD traded between $104.31 and $107.19. ATM implied volatility averaged 7.3%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.3% (HV 20d: 7.6%). Max pain ranged from $102.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2009-09-25: Highest Volume — 1,442 contracts
  • 2009-09-08: Largest IV spike — 19.5% change
  • 2009-09-02: Highest IV Rank — 5.1%
  • 2009-09-04: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.78$104.31$107.19$104.31$106.68
Max Pain$104.38$102.00$105.00$103.00$105.00
ATM IV7.3%5.7%8.7%8.6%5.7%
Expected Move2.1%1.6%2.5%2.5%1.6%
HV 20d7.6%6.0%8.2%8.1%6.0%
HV 60d8.8%8.5%9.1%9.1%8.5%
IV Rank3.1%0.8%5.1%5.0%0.8%
IV Percentile16.7%1.6%32.5%31.7%1.6%
Term Structure0.5%-0.5%2.5%0.5%1.8%
VWIV8.0%6.3%10.9%8.5%8.0%
Skew 25d1.5%-0.5%3.1%1.5%1.4%
Skew 10d1.9%-1.9%7.6%2.7%6.3%
Call IV 25d7.0%4.2%8.4%7.5%5.5%
Put IV 25d8.6%6.0%10.5%9.0%7.0%
Bid-Ask Spread %58.1034.8483.9970.1774.71
Gamma HHI0.570.390.760.470.45
Net GEX3.8M713.6K7.6M5.0M1.5M
Net DEX-15.3M-31.2M-2.0M-14.5M-2.0M
Net VEX-50.2K-89.1K-32.8K-52.6K-89.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.065.142.390.06
Total Volume445.476641,4428571,094
Total OI17,093.95214,59218,81016,50117,145

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$104.31$103.008.6%2.5%8.1%5.0%8.5%1.5%0.5%5.0M-14.5M-52.6K2.3970.172536043,37113,130
2009-09-02$104.62$104.008.7%2.5%8.2%5.1%10.9%1.8%0.7%4.0M-13.7M-64.6K1.3053.7653693,54413,586
2009-09-03$104.80$104.008.5%2.4%8.0%4.9%8.7%1.8%0.0%4.7M-16.1M-54.7K0.5158.88178903,56113,630
2009-09-04$104.87$102.007.0%2.5%8.0%2.7%8.7%1.9%0.0%6.0M-16.5M-53.4K0.5534.842021123,60913,700
2009-09-08$104.60$105.008.3%2.5%8.1%4.6%10.4%2.4%-0.5%5.9M-14.8M-51.9K1.3239.372683533,75013,810
2009-09-09$104.57$105.007.9%2.3%8.0%4.0%8.4%2.2%0.5%5.7M-11.3M-50.5K0.3641.682771013,69114,136
2009-09-10$105.26$105.008.0%2.3%7.4%4.2%8.5%1.4%0.8%6.3M-20.0M-54.4K0.5547.312481363,87214,237
2009-09-11$106.21$104.007.8%2.2%7.3%3.9%8.4%2.0%0.2%6.0M-30.1M-41.1K2.8058.56541514,03414,348
2009-09-14$105.67$104.007.8%2.2%7.6%3.8%8.0%1.8%0.6%7.6M-25.5M-47.1K4.2349.461024314,02314,378
2009-09-15$105.61$104.006.6%1.9%7.6%2.2%7.4%2.3%1.2%6.2M-25.0M-48.3K0.1953.2780154,06214,748
2009-09-16$105.94$104.006.9%2.0%7.6%2.5%8.6%1.8%0.3%6.4M-27.4M-41.8K0.0844.51264224,01614,752
2009-09-17$106.46$104.007.5%2.1%7.6%3.4%7.6%0.5%0.1%2.3M-31.2M-32.8K0.0653.29359213,90314,749
2009-09-18$105.79$104.006.8%1.9%8.0%2.3%7.8%1.9%1.0%3.6M-22.9M-43.6K3.0169.971484453,51314,762
2009-09-21$106.04$105.007.4%2.1%7.8%3.2%7.0%1.7%-0.1%713.6K-4.2M-41.2K0.5572.93169931,53513,057
2009-09-22$106.29$105.006.7%1.9%7.6%2.3%6.7%1.3%0.9%1.1M-5.4M-40.8K0.3681.062881051,68013,067
2009-09-23$106.34$105.006.6%1.9%7.6%2.1%7.4%-0.5%1.2%1.5M-6.1M-43.9K5.1483.99804111,91313,147
2009-09-24$106.51$105.006.8%1.9%7.4%2.4%7.2%1.2%0.1%1.1M-5.9M-51.6K1.4660.6626381,94813,445
2009-09-25$106.92$105.006.3%1.8%7.1%1.7%6.3%0.6%-0.4%1.2M-7.9M-48.7K2.9666.373641,0781,95913,482
2009-09-28$107.19$105.007.3%2.1%7.0%3.1%7.3%0.4%-0.4%1.7M-11.0M-47.9K0.1645.54278452,24114,504
2009-09-29$106.77$105.006.3%1.8%7.1%1.6%7.2%3.1%2.5%2.0M-9.2M-53.1K3.4659.70561942,39814,537
2009-09-30$106.68$105.005.7%1.6%6.0%0.8%8.0%1.4%1.8%1.5M-2.0M-89.1K0.0674.711,032622,42314,722