LQD Options History — October 2009

In October 2009, LQD traded between $103.94 and $105.68. ATM implied volatility averaged 7.4%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 1.4% (HV 20d: 8.8%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2009-10-21: Highest Volume — 2,478 contracts
  • 2009-10-30: Largest IV spike — 23.3% change
  • 2009-10-30: Highest IV Rank — 10.3%
  • 2009-10-09: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.73$103.94$105.68$105.12$105.68
Max Pain$105.36$105.00$106.00$106.00$105.00
ATM IV7.4%6.2%8.8%7.3%8.8%
Expected Move2.2%1.8%2.6%2.1%2.5%
HV 20d8.8%8.2%10.0%8.2%8.8%
HV 60d8.8%8.1%9.2%8.9%8.3%
IV Rank4.6%2.6%10.3%3.1%10.3%
IV Percentile22.4%4.8%49.6%19.0%49.6%
Term Structure0.8%-0.2%2.3%0.7%0.9%
VWIV7.7%5.7%11.7%7.6%8.5%
Skew 25d1.9%1.0%2.6%1.8%1.5%
Skew 10d4.5%-0.5%7.1%2.5%4.3%
Call IV 25d6.9%5.2%8.3%6.3%7.1%
Put IV 25d8.9%7.5%10.5%8.1%8.6%
Bid-Ask Spread %50.4230.5574.4847.4154.76
Gamma HHI0.210.120.320.220.28
Net GEX275.3K-4.6M5.2M-254.5K5.2M
Net DEX10.0M-10.6M36.0M7.5M-10.6M
Net VEX-118.9K-302.4K-50.9K-80.1K-101.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.194.190.830.54
Total Volume600.091902,4783002,289
Total OI19,362.31816,65422,35116,65422,351

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$105.12$106.007.3%2.1%8.2%3.1%7.6%1.8%0.7%-254.5K7.5M-80.1K0.8347.411641361,91714,737
2009-10-02$104.44$106.008.1%2.3%8.5%4.3%6.2%1.0%1.6%-1.6M13.3M-90.0K0.3274.489743151,90514,845
2009-10-05$105.00$106.007.7%2.4%8.7%3.7%7.5%1.3%-0.1%93.4K9.1M-79.8K0.5939.362891712,79314,936
2009-10-06$104.78$106.006.9%2.4%8.7%2.6%8.3%1.7%0.3%62.6K10.0M-87.9K1.2139.872302783,06614,996
2009-10-07$105.45$106.007.3%2.4%9.0%3.2%8.5%2.4%-0.1%1.4M6.3M-96.3K2.7243.19822233,27815,195
2009-10-08$104.86$106.007.5%2.4%8.9%3.4%8.2%1.5%0.5%92.8K10.1M-99.2K0.7835.9854423,30815,344
2009-10-09$103.94$106.007.5%2.6%8.7%3.4%10.1%2.1%0.3%-2.6M18.2M-91.0K4.1951.71753143,31315,376
2009-10-12$104.30$106.007.7%2.5%8.7%3.7%9.0%2.1%-0.2%-1.7M12.4M-50.9K0.8471.3649413,33115,441
2009-10-13$104.50$105.008.1%2.5%8.7%4.3%7.3%2.5%0.4%-1.8M14.2M-80.4K1.3956.1466923,37115,404
2009-10-14$104.00$105.008.8%2.6%8.8%5.3%11.7%2.3%0.3%-4.4M32.5M-249.1K0.4561.8678353,39615,453
2009-10-15$103.98$105.008.6%2.5%8.5%5.1%7.9%2.6%0.5%-4.6M34.9M-250.1K0.2730.55142393,41815,466
2009-10-16$104.06$105.007.8%2.2%8.3%7.5%8.1%1.9%1.0%-2.3M16.9M-72.7K0.4637.303071413,54515,454
2009-10-19$104.59$105.007.6%2.2%8.5%6.7%6.9%2.2%1.8%-3.0M36.0M-302.4K0.3645.366692412,75314,744
2009-10-20$105.26$105.006.6%1.9%8.8%4.0%5.7%2.3%1.1%519.5K5.1M-86.3K0.3857.116392443,30114,943
2009-10-21$104.82$105.006.3%1.8%8.9%3.1%6.9%2.4%1.8%903.4K6.4M-89.2K0.1940.272,0774013,81815,073
2009-10-22$105.44$105.006.6%1.9%9.2%3.9%6.6%1.5%0.9%4.6M-7.3M-94.8K0.8639.631251085,69815,411
2009-10-23$104.86$105.006.4%1.8%9.2%3.4%7.0%2.5%0.6%3.4M-891.6K-123.5K3.2649.50892905,77415,511
2009-10-26$104.42$105.006.2%1.8%9.1%3.0%6.2%1.9%2.3%2.1M6.0M-119.0K0.2873.33181515,83915,724
2009-10-27$105.32$105.006.8%2.0%9.7%4.7%7.3%2.0%0.6%4.2M-3.7M-124.4K0.7954.902722155,96315,724
2009-10-28$104.61$105.007.2%2.1%10.0%5.8%6.8%1.4%1.6%2.7M2.1M-122.0K0.2366.144421026,01315,939
2009-10-29$104.74$105.007.2%2.1%8.6%5.6%6.9%1.1%1.1%3.1M2.3M-125.3K1.3139.061862446,10515,999
2009-10-30$105.68$105.008.8%2.5%8.8%10.3%8.5%1.5%0.9%5.2M-10.6M-101.3K0.5454.761,4868036,22916,122