LQD Options History — September 2010

In September 2010, LQD traded between $110.75 and $113.09. ATM implied volatility averaged 6.1%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded below realized volatility by 1.9% (HV 20d: 8.0%). Max pain ranged from $111.00 to $112.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 37.08.

Notable Days

  • 2010-09-07: Highest Volume — 22,082 contracts
  • 2010-09-21: Largest IV drop — 15.8% change
  • 2010-09-13: Highest IV Rank — 69.4%
  • 2010-09-08: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.75$110.75$113.09$111.73$113.09
Max Pain$111.43$111.00$112.00$112.00$111.00
ATM IV6.1%4.3%7.3%5.9%5.0%
Expected Move1.8%1.2%2.2%1.7%1.4%
HV 20d8.0%6.2%8.8%7.8%6.2%
HV 60d6.2%5.9%6.3%5.9%6.2%
IV Rank52.1%28.2%69.4%49.2%36.9%
IV Percentile56.1%19.4%84.5%50.8%32.5%
Term Structure0.4%-0.4%1.2%1.2%0.6%
VWIV6.3%4.2%11.1%6.0%4.7%
Skew 25d3.0%1.1%5.4%4.8%2.2%
Skew 10d6.6%1.5%12.5%5.9%4.1%
Call IV 25d5.1%3.0%6.7%3.0%4.0%
Put IV 25d8.1%5.7%11.3%7.8%6.2%
Bid-Ask Spread %31.4212.2653.9312.7231.10
Gamma HHI0.270.180.510.200.18
Net GEX-4.6M-10.5M572.0K-2.8M572.0K
Net DEX16.5M-4.4M72.1M9.3M-4.4M
Net VEX-185.9K-611.4K-46.2K-56.8K-46.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio37.080.10512.530.760.28
Total Volume2,290.8574322,082441189
Total OI28,612.4296,40939,6496,40939,649

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$111.73$112.005.9%1.7%7.8%49.2%6.0%4.8%1.2%-2.8M9.3M-56.8K0.7612.722501915665,843
2010-09-02$111.59$112.005.9%1.7%7.9%49.1%6.8%3.1%1.2%-2.6M10.5M-55.8K6.0512.261297807856,019
2010-09-03$110.75$112.006.7%2.1%8.2%61.2%7.9%3.5%0.2%-3.8M17.3M-87.2K3.0440.71952898576,775
2010-09-07$111.57$112.006.2%2.0%8.5%53.1%11.1%3.5%0.4%-3.2M11.5M-64.5K512.5330.744322,0398396,954
2010-09-08$111.35$112.006.5%2.2%8.5%58.3%6.9%3.4%-0.2%-9.5M70.3M-611.4K0.2923.72702086228,968
2010-09-09$110.77$112.007.3%2.1%8.8%68.6%8.1%3.9%0.4%-10.5M72.1M-592.1K4.3952.853113692128,975
2010-09-10$110.85$112.007.3%2.1%8.7%68.7%6.9%3.3%-0.2%-8.2M22.8M-226.4K0.7236.84362692628,981
2010-09-13$111.00$112.007.3%2.1%8.6%69.4%7.2%3.5%-0.4%-8.2M23.1M-240.6K2.0325.7315431392728,977
2010-09-14$111.52$112.006.5%1.8%7.8%57.1%7.0%4.8%-0.0%-6.0M12.9M-167.4K115.4452.108710,0431,04029,134
2010-09-15$111.34$111.006.9%2.0%7.8%62.7%5.1%3.8%-0.1%-6.6M22.5M-280.4K1.8753.9315281,08829,156
2010-09-16$110.99$111.007.0%2.0%7.8%64.9%7.1%5.4%-0.1%-8.2M22.5M-205.8K3.4544.411053621,10029,167
2010-09-17$111.35$111.006.9%2.0%7.9%62.7%7.1%2.3%0.2%-4.8M10.1M-126.2K0.9237.401481361,16329,360
2010-09-20$111.49$111.006.7%1.9%7.9%60.8%7.0%2.4%0.3%-3.8M9.9M-142.2K0.5220.70934884227,063
2010-09-21$112.34$111.005.7%1.6%8.3%46.2%5.4%1.4%0.5%-2.5M3.7M-101.2K123.2029.569111,21187027,104
2010-09-22$112.27$111.005.5%1.6%8.3%44.2%5.4%2.1%0.6%-5.6M18.2M-290.2K0.7525.38685195438,151
2010-09-23$112.35$111.005.4%1.5%8.3%42.7%4.9%1.1%0.7%-3.6M8.5M-211.2K0.4824.3677371,01638,183
2010-09-24$112.10$111.005.3%1.5%8.3%41.0%4.4%2.4%0.6%-2.2M3.8M-100.5K0.8221.4587711,05838,206
2010-09-27$112.68$111.004.5%1.3%7.8%30.9%4.6%2.2%0.8%-1.8M2.0M-103.4K0.4633.50112511,10338,229
2010-09-28$112.88$111.005.1%1.5%7.5%38.3%5.1%2.2%0.6%-1.2M-942.6K-93.5K0.6328.251741101,18738,276
2010-09-29$112.77$111.004.3%1.2%7.4%28.2%4.2%1.6%0.6%-1.3M1.1M-101.8K0.1022.11102101,23838,349
2010-09-30$113.09$111.005.0%1.4%6.2%36.9%4.7%2.2%0.6%572.0K-4.4M-46.2K0.2831.10148411,29638,353