LQD Options History — December 2009

In December 2009, LQD traded between $104.15 and $106.28. ATM implied volatility averaged 6.6%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.2% (HV 20d: 6.4%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.07.

Notable Days

  • 2009-12-30: Highest Volume — 1,566 contracts
  • 2009-12-10: Largest IV spike — 28.6% change
  • 2009-12-11: Highest IV Rank — 7.2%
  • 2009-12-11: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.33$104.15$106.28$106.26$104.15
Max Pain$105.73$105.00$106.00$106.00$105.00
ATM IV6.6%5.2%7.7%6.1%7.3%
Expected Move2.0%1.5%2.2%1.7%2.1%
HV 20d6.4%5.4%7.1%5.8%6.0%
HV 60d7.6%7.0%7.8%7.8%7.0%
IV Rank4.0%0.1%7.2%2.7%5.9%
IV Percentile21.1%0.4%41.7%6.3%34.1%
Term Structure1.2%-0.2%3.0%0.4%-0.1%
VWIV7.0%5.7%8.3%5.7%5.8%
Skew 25d2.9%1.2%4.8%1.3%2.5%
Skew 10d5.2%1.0%8.8%4.4%4.0%
Call IV 25d5.6%4.6%6.4%4.6%5.4%
Put IV 25d8.5%5.9%9.7%5.9%7.9%
Bid-Ask Spread %54.1018.9797.0231.8623.06
Gamma HHI0.320.160.600.270.22
Net GEX2.9M-2.1M8.8M4.4M1.6M
Net DEX5.6M-6.6M21.1M-5.9M-943.3K
Net VEX-85.3K-215.0K-59.2K-87.3K-93.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.036.671.730.59
Total Volume320.182121,566172110
Total OI19,398.68216,24121,09119,51119,209

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$106.26$106.006.1%1.7%5.8%2.7%5.7%1.3%0.4%4.4M-5.9M-87.3K1.7331.86631093,36216,149
2009-12-02$106.28$106.005.6%1.6%5.5%1.3%5.7%1.7%0.9%5.1M-6.6M-59.2K0.0620.10697413,39916,247
2009-12-03$106.25$106.005.3%1.5%5.4%0.3%0.0%1.2%1.3%6.1M-4.7M-89.1K1.0018.9740403,71616,282
2009-12-04$105.81$106.005.5%1.8%5.7%0.9%7.0%2.3%3.0%4.4M590.7K-88.8K4.4228.92532343,74616,322
2009-12-07$105.76$106.005.4%1.9%5.6%0.7%7.1%2.3%2.5%4.0M3.3M-92.7K6.6724.68815403,79916,543
2009-12-08$106.21$106.005.4%2.0%5.8%0.7%7.7%3.1%1.3%7.0M-4.2M-93.7K5.6561.64231304,05416,704
2009-12-09$105.60$106.005.2%1.9%6.2%0.1%8.3%2.4%2.1%4.1M5.2M-87.3K3.3033.66371223,89516,764
2009-12-10$105.69$106.006.7%1.9%6.0%4.2%7.7%4.8%1.8%4.4M6.1M-85.7K0.7236.92128923,90716,860
2009-12-11$105.19$106.007.7%2.2%6.3%7.2%7.9%4.1%1.0%890.9K10.6M-76.0K0.9344.6515143,98316,878
2009-12-14$105.77$106.007.0%2.0%6.5%5.2%8.1%4.3%1.7%7.5M6.6M-77.6K3.1183.5528873,99216,891
2009-12-15$105.01$106.007.7%2.2%6.7%7.2%7.4%3.4%1.2%-2.1M14.8M-75.0K2.7383.7022604,00816,956
2009-12-16$105.41$106.006.7%1.9%6.9%4.3%6.3%4.0%1.2%2.5M8.8M-67.9K0.2797.02196524,03016,931
2009-12-17$105.86$106.006.6%1.9%7.0%4.0%8.2%4.5%2.6%7.5M21.1M-215.0K1.8053.1144794,09816,977
2009-12-18$105.69$106.006.3%1.8%7.0%3.3%7.3%4.2%1.7%8.8M6.1M-71.1K6.6487.1711734,11416,977
2009-12-21$105.18$106.007.0%2.0%7.0%5.0%5.9%2.9%1.5%-1.3M8.4M-63.9K0.1486.76281401,20615,035
2009-12-22$104.74$106.007.4%2.1%7.1%6.3%6.7%2.7%0.7%-1.3M10.4M-66.0K0.0384.641,002311,42315,044
2009-12-23$105.07$105.006.7%1.9%7.1%4.4%6.3%1.8%0.2%314.7K6.5M-75.5K0.1633.3264102,16715,058
2009-12-24$104.58$105.007.6%2.2%7.0%6.8%7.3%3.4%0.4%229.8K7.7M-73.1K5.0034.192102,23115,068
2009-12-28$104.30$105.007.6%2.2%7.0%6.8%7.2%3.6%1.4%-59.4K10.7M-65.5K0.1285.69241292,23315,078
2009-12-29$104.18$105.007.1%2.0%6.7%5.5%6.5%2.1%0.5%-169.2K9.8M-79.7K0.3185.924161312,45015,090
2009-12-30$104.30$105.007.4%2.1%6.0%6.3%7.5%1.9%-0.2%114.3K8.1M-94.2K0.1350.691,3901762,72815,167
2009-12-31$104.15$105.007.3%2.1%6.0%5.9%5.8%2.5%-0.1%1.6M-943.3K-93.1K0.5923.0669413,94115,268