LQD Options History — June 2010

In June 2010, LQD traded between $104.93 and $108.46. ATM implied volatility averaged 5.4%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded below realized volatility by 0.4% (HV 20d: 5.8%). Max pain ranged from $104.00 to $106.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 11.80.

Notable Days

  • 2010-06-09: Highest Volume — 10,240 contracts
  • 2010-06-24: Largest IV spike — 32.7% change
  • 2010-06-01: Highest IV Rank — 59.7%
  • 2010-06-01: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.46$104.93$108.46$104.93$108.46
Max Pain$105.68$104.00$106.00$106.00$106.00
ATM IV5.4%3.7%7.0%7.0%4.6%
Expected Move1.6%1.0%2.0%2.0%1.3%
HV 20d5.8%5.1%7.8%7.7%5.3%
HV 60d6.1%5.9%6.3%5.9%6.0%
IV Rank37.8%13.4%59.7%59.7%26.0%
IV Percentile29.0%4.0%59.9%59.9%16.3%
Term Structure0.3%-0.5%3.5%0.0%3.5%
VWIV5.3%2.9%7.5%6.7%5.2%
Skew 25d2.3%-0.6%5.2%1.4%5.2%
Skew 10d3.5%0.4%4.8%2.7%4.7%
Call IV 25d4.3%2.2%6.5%6.5%2.2%
Put IV 25d6.5%4.0%8.2%7.9%7.4%
Bid-Ask Spread %49.3910.0380.1410.0374.64
Gamma HHI0.630.290.880.480.60
Net GEX-18.5M-32.8M1.2M-14.5M-4.2M
Net DEX25.5M-9.8M52.7M50.6M3.0M
Net VEX-83.2K-138.0K-19.5K-90.6K-51.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.800.02221.610.730.11
Total Volume829.8181710,24083738
Total OI11,808.7737,98715,95610,7818,489

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$104.93$106.007.0%2.0%7.7%59.7%6.7%1.4%0.0%-14.5M50.6M-90.6K0.7310.0348351,7399,042
2010-06-02$105.30$106.005.8%1.7%7.8%43.3%5.7%1.0%0.5%-20.0M50.0M-81.3K0.2679.961,0182681,7339,056
2010-06-03$104.96$106.005.2%1.5%7.8%34.9%5.1%-0.6%1.2%-18.6M52.7M-85.1K1.8380.146112,1639,283
2010-06-04$105.60$105.006.4%1.8%5.4%52.3%7.5%3.5%-0.1%-16.7M36.3M-95.1K2.6943.513008062,1689,294
2010-06-07$106.05$104.006.3%1.8%5.5%50.6%6.1%1.8%-0.5%-19.4M25.2M-88.5K8.9826.431141,0242,2789,583
2010-06-08$106.04$104.005.7%1.9%5.1%42.5%6.4%2.5%-0.2%-27.3M26.7M-90.0K0.0433.29757332,28510,601
2010-06-09$106.08$104.005.9%1.9%5.1%44.2%6.5%4.5%-0.3%-25.1M22.9M-92.2K221.6146.054610,1943,03010,589
2010-06-10$105.64$106.006.1%1.7%5.3%47.3%5.3%2.9%0.1%-26.4M52.1M-138.0K0.5434.2741223,07612,763
2010-06-11$106.03$106.006.2%1.8%5.3%48.3%0.0%2.3%-0.1%-29.4M37.2M-128.1K1.0039.2325253,10112,783
2010-06-14$105.83$106.005.9%1.7%5.4%44.5%5.7%3.6%-0.3%-32.8M46.8M-113.0K2.6042.4320523,11012,808
2010-06-15$105.70$106.006.2%1.8%5.3%49.0%6.0%3.6%0.0%-27.7M51.6M-115.4K1.7058.9510173,12212,834
2010-06-16$105.81$106.005.9%1.7%5.2%45.5%6.0%3.3%-0.2%-30.9M43.3M-103.8K8.3158.51131083,13212,330
2010-06-17$106.51$106.005.0%1.4%5.8%32.5%4.8%1.7%0.3%-24.7M19.0M-95.4K0.0267.58825143,12312,355
2010-06-18$106.50$106.005.9%1.7%5.7%44.1%5.5%1.7%-0.1%-24.8M16.0M-92.1K0.8552.511301102,77012,364
2010-06-21$106.77$106.004.6%1.3%5.7%26.6%4.3%1.9%0.3%-19.8M11.8M-65.4K0.7141.872311631,1156,872
2010-06-22$107.29$106.004.9%1.4%5.9%30.3%4.7%3.0%0.0%-9.4M9.7M-65.7K1.6956.54701181,2616,852
2010-06-23$107.74$106.003.7%1.1%5.7%13.5%4.3%1.6%0.7%-13.1M-4.2M-30.3K0.9545.752081971,2966,966
2010-06-24$107.31$106.004.9%1.4%6.0%30.4%4.4%1.8%0.5%-6.6M12.7M-77.7K0.7647.9351391,4167,088
2010-06-25$107.49$106.004.7%1.4%5.6%28.2%4.8%0.7%0.3%-6.4M10.2M-72.2K1.1155.7056621,4547,115
2010-06-28$108.08$106.003.7%1.0%5.8%13.4%2.9%2.0%0.7%1.2M-9.8M-19.5K0.0248.0013431,4717,158
2010-06-29$108.03$106.004.5%1.3%5.3%25.2%4.4%0.8%0.2%-10.5M-3.9M-40.4K3.0743.2728861,5647,161
2010-06-30$108.46$106.004.6%1.3%5.3%26.0%5.2%5.2%3.5%-4.2M3.0M-51.0K0.1174.64662761,2517,238