LQD Options History — October 2010

In October 2010, LQD traded between $111.36 and $113.25. ATM implied volatility averaged 5.3%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded below realized volatility by 1.1% (HV 20d: 6.4%). Max pain ranged from $111.00 to $113.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.44.

Notable Days

  • 2010-10-06: Highest Volume — 1,026 contracts
  • 2010-10-14: Largest IV spike — 24.2% change
  • 2010-10-15: Highest IV Rank — 60.9%
  • 2010-10-15: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.42$111.36$113.25$112.11$112.36
Max Pain$111.52$111.00$113.00$113.00$112.00
ATM IV5.3%4.6%6.7%5.2%4.8%
Expected Move1.6%1.4%1.9%1.5%1.4%
HV 20d6.4%5.7%7.1%7.0%6.2%
HV 60d6.8%6.5%7.0%6.5%6.9%
IV Rank41.5%32.1%60.9%40.2%33.9%
IV Percentile40.9%26.2%78.6%35.3%29.4%
Term Structure0.7%-0.0%1.4%1.2%1.4%
VWIV5.7%4.4%7.3%5.1%4.7%
Skew 25d1.9%0.8%2.5%0.9%1.4%
Skew 10d4.1%2.6%6.3%3.1%3.7%
Call IV 25d5.0%4.0%5.7%5.1%4.4%
Put IV 25d6.8%5.7%7.8%6.0%5.8%
Bid-Ask Spread %29.4419.2142.7225.7842.72
Gamma HHI0.330.190.480.410.19
Net GEX-4.4M-7.4M-482.0K-5.8M-482.0K
Net DEX10.9M1.3M22.7M18.2M1.3M
Net VEX-174.5K-258.3K-58.4K-257.9K-58.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.440.0640.004.400.21
Total Volume239.143531,02672997
Total OI40,137.04839,24440,54939,24440,497

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$112.11$113.005.2%1.5%7.0%40.2%5.1%0.9%1.2%-5.8M18.2M-257.9K4.4025.7813559485238,392
2010-10-04$112.29$111.005.2%1.8%6.4%40.2%7.1%2.1%0.2%-5.3M14.6M-166.9K1.8024.31468395338,777
2010-10-05$112.52$111.004.8%1.6%5.9%34.3%5.8%2.2%0.4%-5.0M12.3M-162.0K1.5827.9912920498938,840
2010-10-06$113.25$111.005.4%1.7%6.2%42.3%7.3%1.8%0.2%-3.4M5.0M-130.0K0.2934.047962301,04238,844
2010-10-07$113.22$111.005.1%1.7%5.8%39.2%6.3%2.5%0.2%-3.2M5.0M-144.4K8.5726.27141201,35538,938
2010-10-08$113.11$111.004.6%1.7%5.8%32.1%5.5%2.1%0.4%-4.2M8.6M-194.1K1.1726.0258681,36939,043
2010-10-11$113.21$112.005.3%1.7%5.8%41.2%0.0%2.5%0.2%-2.7M1.6M-98.2K1.0727.5028301,37939,064
2010-10-12$113.04$112.005.2%1.7%5.7%39.4%5.8%1.8%-0.0%-4.3M7.5M-162.6K0.4531.1149221,40639,063
2010-10-13$112.98$112.005.1%1.7%5.7%39.0%5.4%2.1%0.3%-3.1M4.3M-109.8K0.1026.016061,40939,065
2010-10-14$112.07$112.006.4%1.8%6.3%56.1%5.9%2.3%0.5%-6.3M21.7M-249.5K0.5226.1142221,42639,069
2010-10-15$111.36$112.006.7%1.9%6.7%60.9%6.8%2.4%0.2%-7.4M22.7M-203.9K4.0426.39692791,46139,088
2010-10-18$112.13$112.005.5%1.6%7.1%43.5%5.6%0.8%0.8%-4.4M11.0M-160.7K0.7219.212241611,02838,291
2010-10-19$112.14$111.005.9%1.7%6.6%48.8%5.9%2.0%0.8%-3.9M9.3M-141.9K1.1826.721411671,21638,429
2010-10-20$112.34$111.005.6%1.6%6.6%45.9%5.1%2.1%0.9%-4.0M6.9M-147.0K0.1426.54207281,29538,561
2010-10-21$112.04$111.005.2%1.5%6.7%39.6%6.4%2.2%1.4%-5.1M16.0M-233.4K0.9625.401591531,45238,579
2010-10-22$112.18$111.005.3%1.5%6.6%42.1%5.4%1.6%0.8%-5.1M15.0M-232.4K1.8630.86721341,54238,694
2010-10-25$112.58$111.004.8%1.4%6.5%34.2%4.4%2.1%1.4%-4.3M13.0M-240.7K0.0636.225031,54238,817
2010-10-26$111.98$111.005.2%1.5%6.7%39.4%5.2%1.7%0.9%-4.2M8.7M-144.1K0.3434.15108371,50438,819
2010-10-27$111.69$112.005.5%1.6%6.8%43.5%0.0%1.4%0.8%-4.9M11.2M-167.6K40.0035.462801,51538,851
2010-10-28$112.14$112.004.9%1.4%6.9%35.2%4.4%1.2%1.3%-5.3M16.0M-258.3K2.8339.4330851,51738,905
2010-10-29$112.36$112.004.8%1.4%6.2%33.9%4.7%1.4%1.4%-482.0K1.3M-58.4K0.2142.7280171,53238,965