LQD Options History — November 2010

In November 2010, LQD traded between $109.24 and $113.10. ATM implied volatility averaged 5.9%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded below realized volatility by 1.7% (HV 20d: 7.6%). 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 21 of 21 days. Put/call ratio averaged 3.96.

Notable Days

  • 2010-11-15: Highest Volume — 949 contracts
  • 2010-11-09: Largest IV spike — 27.0% change
  • 2010-11-15: Highest IV Rank — 74.2%
  • 2010-11-15: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.04$109.24$113.10$111.89$110.12
Max Pain$112.14$111.00$113.00$112.00$111.00
ATM IV5.9%4.3%7.7%5.2%5.5%
Expected Move1.7%1.2%2.2%1.5%1.6%
HV 20d7.6%6.1%8.5%6.3%8.3%
HV 60d7.2%6.9%7.6%6.9%7.0%
IV Rank49.4%27.4%74.2%39.9%44.2%
IV Percentile58.9%18.3%96.4%38.5%52.0%
Term Structure1.0%0.2%1.8%1.3%1.6%
VWIV6.2%4.4%7.7%5.7%6.7%
Skew 25d1.6%0.2%3.0%2.4%0.8%
Skew 10d4.3%-0.0%22.5%4.5%22.5%
Call IV 25d5.4%3.4%6.8%4.4%5.3%
Put IV 25d7.1%4.3%9.3%6.9%6.1%
Bid-Ask Spread %38.4412.6479.5234.9116.70
Gamma HHI0.340.170.490.340.43
Net GEX-6.7M-12.6M-347.7K-5.5M-8.3M
Net DEX23.0M-1.9M54.2M17.3M28.5M
Net VEX-197.4K-373.4K-47.8K-236.4K-216.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.960.2836.211.9210.00
Total Volume333.95284949111528
Total OI41,507.47640,40842,67940,40842,001

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$111.89$112.005.2%1.5%6.3%39.9%5.7%2.4%1.3%-5.5M17.3M-236.4K1.9234.9138731,43038,978
2010-11-02$112.41$112.005.2%1.5%6.5%39.7%5.3%1.6%1.0%-2.3M5.9M-103.1K0.9227.6652481,44039,025
2010-11-03$112.04$112.005.2%1.5%6.1%39.4%5.0%0.7%1.2%-4.0M11.0M-170.6K1.0829.472492681,46039,043
2010-11-04$113.10$112.004.3%1.2%7.1%27.4%4.4%0.9%1.3%-347.7K-1.9M-64.4K1.8447.78871601,52439,259
2010-11-05$112.74$113.004.3%1.6%7.1%27.4%7.1%2.0%0.2%-1.2M1.8M-88.7K2.6043.4935911,60539,365
2010-11-08$112.80$113.004.6%1.7%7.1%31.1%6.1%1.1%0.3%-1.1M1.2M-82.9K9.2944.36242231,62439,383
2010-11-09$111.96$113.005.8%1.9%7.6%48.1%7.0%1.5%0.5%-5.8M17.5M-226.8K36.2144.46145071,63439,492
2010-11-10$111.72$113.005.6%1.7%7.6%45.6%6.6%3.0%0.6%-6.0M17.3M-158.5K1.1150.892212461,64239,884
2010-11-11$111.23$113.007.1%2.0%7.2%66.4%6.9%2.1%0.4%-8.1M26.8M-231.7K0.2972.2165191,61240,091
2010-11-12$110.45$113.007.5%2.2%7.3%72.0%7.5%1.8%0.5%-10.6M41.9M-339.5K5.5973.50804471,67740,096
2010-11-15$109.24$113.007.7%2.2%7.7%74.2%7.7%1.9%0.8%-12.6M54.2M-373.4K4.7938.791647851,71739,965
2010-11-16$109.82$112.007.1%2.0%8.0%66.5%6.8%2.6%0.5%-11.6M42.0M-267.2K0.7630.232561941,87040,339
2010-11-17$109.82$112.007.1%2.0%8.0%66.1%7.1%2.0%0.7%-11.2M41.3M-267.2K0.5327.9983442,04540,402
2010-11-18$109.90$112.006.8%2.0%8.0%62.1%6.9%1.5%1.1%-10.8M45.8M-328.2K0.2829.93173492,10440,429
2010-11-19$110.28$111.006.6%1.9%8.1%59.5%6.2%1.6%1.3%-8.6M28.9M-222.9K0.3748.09217812,23840,441
2010-11-22$110.89$111.006.0%1.7%8.3%51.7%5.6%3.0%0.8%-2.4M9.8M-47.8K0.3879.52194731,54339,633
2010-11-23$110.95$112.005.6%1.6%8.1%45.6%5.6%1.0%1.0%-5.8M14.4M-141.5K2.5218.812085241,64939,677
2010-11-24$110.04$112.005.5%1.6%8.5%44.0%5.2%0.9%1.8%-8.6M28.6M-220.5K1.8422.6345831,66839,991
2010-11-26$110.18$112.005.5%1.6%8.4%43.8%5.4%1.4%1.4%-8.5M26.3M-191.6K0.3312.64172571,70640,068
2010-11-29$110.29$111.005.4%1.6%8.3%43.2%5.4%0.2%1.7%-7.0M23.8M-166.0K0.4813.1192441,84640,061
2010-11-30$110.12$111.005.5%1.6%8.3%44.2%6.7%0.8%1.6%-8.3M28.5M-216.4K10.0016.70484801,90740,094