LQD Options History — August 2010

In August 2010, LQD traded between $109.56 and $113.00. ATM implied volatility averaged 5.2%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded below realized volatility by 0.3% (HV 20d: 5.5%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.95.

Notable Days

  • 2010-08-31: Highest Volume — 1,581 contracts
  • 2010-08-11: Largest IV spike — 81.8% change
  • 2010-08-24: Highest IV Rank — 72.7%
  • 2010-08-24: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.34$109.56$113.00$109.63$113.00
Max Pain$109.36$109.00$110.00$109.00$110.00
ATM IV5.2%2.3%7.6%4.4%6.1%
Expected Move1.6%1.1%2.2%1.3%1.7%
HV 20d5.5%4.3%6.7%4.5%6.6%
HV 60d5.2%4.9%5.5%5.0%5.4%
IV Rank38.2%0.0%72.7%24.6%52.1%
IV Percentile36.9%0.0%84.9%16.7%55.2%
Term Structure0.6%-0.6%2.2%0.5%0.4%
VWIV6.6%3.0%15.9%5.4%15.9%
Skew 25d2.6%0.8%6.2%1.7%3.8%
Skew 10d3.8%1.0%7.1%3.5%7.0%
Call IV 25d4.4%3.1%5.9%3.6%4.7%
Put IV 25d7.0%4.2%9.6%5.3%8.6%
Bid-Ask Spread %40.968.7379.0134.4512.71
Gamma HHI0.250.120.360.240.18
Net GEX-18.4K-1.1M924.3K578.4K-867.9K
Net DEX-5.3M-9.4M731.3K-3.1M-2.6M
Net VEX-29.4K-54.5K-16.7K-23.8K-46.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.950.3041.280.810.30
Total Volume360.727641,5813151,581
Total OI4,988.7733,6076,7683,6076,768

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$109.63$109.004.4%1.3%4.5%24.6%5.4%1.7%0.5%578.4K-3.1M-23.8K0.8134.451741419532,654
2010-08-03$109.90$109.003.9%1.1%4.3%18.7%4.0%1.2%0.6%924.3K-4.3M-22.1K1.3327.3254721,0072,759
2010-08-04$109.56$109.004.3%1.2%4.6%23.1%4.4%1.2%0.5%249.8K-2.3M-28.5K1.1626.851201391,0122,828
2010-08-05$109.76$109.004.1%1.2%4.4%20.9%4.8%1.5%0.6%595.5K-3.2M-27.2K0.7231.9186621,0802,974
2010-08-06$110.39$109.004.0%1.5%4.7%19.8%5.2%1.1%0.4%614.7K-5.9M-23.2K1.5552.791101701,1093,012
2010-08-09$110.75$109.003.4%1.5%4.8%11.8%5.2%1.1%0.2%511.0K-7.3M-19.5K3.5056.4022771,1653,105
2010-08-10$110.61$109.002.3%1.5%4.8%0.0%5.4%1.0%-0.1%793.5K-6.8M-23.1K1.5862.4157901,1703,143
2010-08-11$110.60$109.004.2%1.7%4.7%25.1%6.2%0.8%0.0%574.5K-6.5M-26.3K3.9251.7813511,1743,149
2010-08-12$110.21$109.005.9%1.7%4.9%47.7%5.8%0.9%-0.1%570.1K-4.8M-29.9K1.1855.0083981,1803,179
2010-08-13$110.64$109.006.3%1.8%5.0%52.3%7.0%1.3%-0.2%455.9K-6.0M-26.6K4.3154.53853661,1683,224
2010-08-16$111.86$109.005.7%1.6%6.2%45.3%7.1%2.5%-0.6%183.2K-8.9M-19.3K6.0046.26311861,2123,572
2010-08-17$111.68$109.004.6%1.3%6.3%30.4%3.0%3.2%1.2%272.6K-9.4M-16.7K0.7379.0152381,2203,706
2010-08-18$111.78$109.004.9%1.4%6.1%33.8%7.2%2.8%-0.4%109.6K-7.5M-32.9K6.1775.87181111,2503,734
2010-08-19$111.90$109.005.7%1.6%6.1%45.4%7.0%3.2%2.2%-1.8K-9.3M-20.2K41.2871.66291,1971,2433,800
2010-08-20$112.10$110.005.1%1.4%6.1%38.0%7.7%5.1%1.2%-1.1M-8.2M-23.0K0.6869.191511021,2214,957
2010-08-23$112.34$110.006.2%1.8%6.1%54.1%9.3%6.2%1.9%-925.6K-3.1M-46.5K1.648.73841389404,439
2010-08-24$112.60$110.007.6%2.2%5.9%72.7%6.7%5.9%1.7%-733.1K-4.6M-29.2K1.7210.0950861,0144,533
2010-08-25$112.81$110.005.8%1.7%5.8%47.7%5.9%1.7%0.6%-608.8K-7.6M-23.2K4.2922.651958361,0324,577
2010-08-26$112.91$110.006.3%1.8%5.8%55.4%5.7%3.6%0.9%-724.9K-3.0M-43.1K0.8716.421201041,1505,208
2010-08-27$111.89$110.007.1%2.0%6.7%65.6%7.7%3.4%0.6%-1.0M731.3K-54.5K1.9522.692013911,1715,263
2010-08-30$112.62$110.006.3%1.8%6.5%55.5%8.2%3.0%0.5%-836.5K-2.3M-41.6K1.2912.4072931,2385,460
2010-08-31$113.00$110.006.1%1.7%6.6%52.1%15.9%3.8%0.4%-867.9K-2.6M-46.0K0.3012.711,2193621,2665,502