LQD Options History — March 2010

In March 2010, LQD traded between $105.22 and $106.79. ATM implied volatility averaged 4.2%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded below realized volatility by 0.3% (HV 20d: 4.5%). Max pain ranged from $104.00 to $105.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 8.84.

Notable Days

  • 2010-03-31: Highest Volume — 1,469 contracts
  • 2010-03-30: Largest IV drop — 28.7% change
  • 2010-03-16: Highest IV Rank — 5.4%
  • 2010-03-08: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.91$105.22$106.79$105.22$105.77
Max Pain$104.83$104.00$105.00$104.00$105.00
ATM IV4.2%3.4%5.0%4.5%3.6%
Expected Move1.3%1.0%1.5%1.3%1.0%
HV 20d4.5%3.8%6.2%6.2%4.2%
HV 60d5.3%4.9%5.7%5.7%4.9%
IV Rank2.4%0.0%5.4%0.0%0.9%
IV Percentile2.6%0.0%7.5%0.0%1.2%
Term Structure0.9%-0.0%2.8%1.4%0.8%
VWIV4.4%1.5%5.8%4.4%3.1%
Skew 25d1.7%-0.0%3.6%1.0%-0.0%
Skew 10d2.7%-0.0%11.5%1.4%0.4%
Call IV 25d3.6%2.5%4.4%4.3%3.6%
Put IV 25d5.3%3.6%7.0%5.3%3.6%
Bid-Ask Spread %13.147.0823.998.857.65
Gamma HHI0.380.210.460.390.31
Net GEX6.8M-82.2K13.1M3.9M603.0K
Net DEX-16.5M-43.1M2.4M-5.3M2.4M
Net VEX-54.1K-63.5K-42.0K-49.1K-50.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.840.00158.000.410.00
Total Volume428.522331,4691,0431,469
Total OI16,455.0434,24123,94920,1205,924

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$105.22$104.004.5%1.3%6.2%0.0%4.4%1.0%1.4%3.9M-5.3M-49.1K0.418.857383052,77217,348
2010-03-02$105.44$104.004.7%1.4%5.3%0.8%5.1%1.7%1.0%6.2M-11.2M-54.3K3.887.15582253,40717,526
2010-03-03$105.66$104.003.5%1.0%5.2%0.0%3.7%1.2%1.1%7.2M-13.0M-51.3K0.1311.38704923,46317,559
2010-03-04$105.71$104.004.0%1.1%5.2%1.8%3.8%1.1%0.9%8.0M-16.2M-61.7K1.327.08791044,09817,608
2010-03-05$105.58$105.003.8%1.4%5.2%0.9%5.3%2.9%0.6%9.2M-14.6M-61.1K1.0923.9987954,16717,654
2010-03-08$105.75$105.003.8%1.5%5.1%0.8%5.4%3.3%1.1%9.4M-17.5M-55.5K0.9017.1170634,20017,739
2010-03-09$105.65$105.004.2%1.3%5.1%2.3%5.6%2.5%0.9%8.6M-16.3M-57.6K0.1514.546531014,20517,763
2010-03-10$105.75$105.004.0%1.3%5.0%1.6%5.2%2.9%1.2%10.2M-19.9M-62.9K1.8316.2224444,74417,811
2010-03-11$105.71$105.004.8%1.4%3.9%4.9%4.7%1.7%0.9%10.5M-20.3M-61.7K0.2415.6872174,75417,843
2010-03-12$105.93$105.004.6%1.3%3.9%4.0%5.8%2.2%1.2%10.3M-25.4M-56.1K0.2515.377901994,80517,850
2010-03-15$105.91$105.004.6%1.3%3.9%3.9%4.4%1.8%1.1%13.1M-30.2M-63.5K0.3823.49135515,58217,921
2010-03-16$106.40$105.005.0%1.4%4.0%5.4%5.7%1.5%0.7%10.3M-35.3M-62.0K1.7112.781973365,65817,924
2010-03-17$106.79$105.004.0%1.1%3.8%1.7%4.5%1.1%0.6%9.3M-43.1M-46.9K0.568.95153865,68718,185
2010-03-18$106.58$105.004.0%1.1%3.9%1.8%4.3%0.4%0.6%8.7M-39.2M-49.5K0.299.64269795,63218,271
2010-03-19$106.50$105.004.8%1.4%3.8%4.6%3.9%1.7%-0.0%6.9M-36.3M-54.5K0.1013.53159165,60018,349
2010-03-22$106.67$105.003.5%1.0%3.8%0.1%3.2%0.7%0.2%6.6M-17.2M-50.2K0.4310.0123103,3081,675
2010-03-23$106.60$105.004.3%1.2%3.9%2.9%4.5%0.4%0.2%6.9M-18.6M-44.4K0.5010.9660303,3251,683
2010-03-24$105.81$105.004.1%1.2%4.7%2.0%3.9%0.9%0.2%5.0M-4.6M-42.0K6.699.57845622,5281,713
2010-03-25$105.43$105.004.9%1.4%4.9%5.0%4.8%1.8%0.2%3.8M-441.4K-44.3K23.6616.75531,2542,5072,136
2010-03-26$105.75$105.004.6%1.3%4.4%4.2%5.6%3.2%1.4%563.1K-199.4K-55.5K158.0014.5411582,5223,219
2010-03-29$105.66$105.004.7%1.4%4.3%4.6%1.5%3.6%2.8%174.1K1.3M-59.5K0.3611.9970252,5233,356
2010-03-30$105.72$105.003.4%1.0%4.2%0.0%3.2%1.6%1.0%-82.2K2.2M-49.5K0.4415.0239172,5663,356
2010-03-31$105.77$105.003.6%1.0%4.2%0.9%3.1%-0.0%0.8%603.0K2.4M-50.5K0.007.651,46812,5513,373