LQD Options History — December 2010

In December 2010, LQD traded between $106.77 and $109.66. ATM implied volatility averaged 6.6%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 1.6% (HV 20d: 8.2%). Max pain ranged from $108.00 to $111.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.78.

Notable Days

  • 2010-12-08: Highest Volume — 1,218 contracts
  • 2010-12-17: Largest IV drop — 19.1% change
  • 2010-12-15: Highest IV Rank — 72.8%
  • 2010-12-15: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.25$106.77$109.66$109.45$108.44
Max Pain$108.82$108.00$111.00$111.00$108.00
ATM IV6.6%5.6%7.6%5.9%6.8%
Expected Move1.9%1.6%2.2%1.7%2.0%
HV 20d8.2%7.1%9.2%8.2%9.1%
HV 60d7.4%6.9%7.9%6.9%7.8%
IV Rank59.0%44.9%72.8%49.6%62.2%
IV Percentile77.4%53.2%95.2%65.9%83.7%
Term Structure1.2%0.7%1.9%1.8%1.2%
VWIV6.8%5.6%7.9%5.6%7.1%
Skew 25d1.2%-0.8%1.8%0.1%1.3%
Skew 10d2.7%-1.6%6.7%0.5%2.4%
Call IV 25d6.4%5.4%7.1%6.1%6.4%
Put IV 25d7.5%5.3%8.8%6.3%7.8%
Bid-Ask Spread %34.4116.2956.5916.2921.15
Gamma HHI0.570.380.750.520.63
Net GEX-12.1M-19.1M-5.6M-12.8M-9.4M
Net DEX54.7M20.5M94.4M66.2M51.0M
Net VEX-354.2K-512.0K-140.9K-446.1K-389.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.276.850.680.77
Total Volume359.318681,21843469
Total OI41,288.04537,95044,05142,24439,133

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$109.45$111.005.9%1.7%8.2%49.6%5.6%0.1%1.8%-12.8M66.2M-446.1K0.6816.292591751,83240,412
2010-12-02$109.21$111.005.6%1.6%8.2%44.9%5.8%-0.8%1.5%-12.9M68.9M-490.1K0.3519.35153541,98640,484
2010-12-03$108.90$111.006.0%1.7%7.1%50.8%5.8%-0.3%1.4%-16.9M28.3M-140.9K0.8317.122401992,02540,510
2010-12-06$109.66$109.005.7%2.0%7.8%46.8%6.9%1.4%0.7%-8.4M27.8M-187.9K1.7749.89601062,17040,548
2010-12-07$108.64$109.006.4%2.0%8.2%56.9%7.5%1.3%0.8%-14.7M75.9M-473.3K6.8521.89845752,17240,588
2010-12-08$107.94$109.007.0%2.1%8.1%65.5%7.1%1.7%0.8%-16.3M86.1M-512.0K1.7350.534467722,21340,884
2010-12-09$108.20$109.007.3%2.1%8.3%69.2%7.7%1.6%0.8%-12.8M54.3M-306.2K0.9342.6390842,43841,194
2010-12-10$107.70$109.006.7%2.0%8.3%60.8%7.9%1.8%1.5%-15.8M79.5M-468.4K0.4036.37185742,48040,968
2010-12-13$108.10$109.007.4%2.0%8.2%70.3%7.2%1.8%1.2%-13.3M53.7M-334.4K0.2742.35230612,51440,983
2010-12-14$107.44$109.007.2%2.1%7.6%68.3%7.8%1.4%1.1%-15.1M82.4M-448.9K1.8434.701963612,69040,998
2010-12-15$106.77$109.007.6%2.2%7.5%72.8%7.8%1.8%1.2%-16.7M94.4M-486.5K0.5333.24152812,74041,015
2010-12-16$107.29$109.007.4%2.1%7.8%70.8%7.6%1.8%1.2%-15.3M76.7M-403.5K2.0551.751192442,80141,047
2010-12-17$108.27$108.006.0%1.7%8.6%51.2%6.1%1.2%1.8%-19.1M62.2M-336.7K0.8556.593482952,87441,177
2010-12-20$108.20$108.006.3%1.8%8.4%55.2%6.0%1.2%1.3%-10.3M49.8M-399.3K0.2742.293891061,72836,222
2010-12-21$108.43$108.006.0%1.7%8.2%51.1%6.5%1.5%1.3%-6.2M23.2M-224.3K4.0635.5718731,97636,236
2010-12-22$108.34$108.006.0%1.7%8.2%50.9%6.5%1.6%1.9%-7.7M30.1M-254.1K3.7239.78291081,98436,290
2010-12-23$108.39$108.005.7%1.6%7.7%46.4%5.7%0.7%1.2%-6.0M22.1M-195.4K0.4836.6254262,00536,390
2010-12-27$108.60$108.006.2%1.8%7.8%53.9%6.5%1.1%0.8%-5.6M20.5M-192.2K0.9825.8599972,04336,409
2010-12-28$107.31$108.007.3%2.1%8.7%69.2%7.0%1.4%1.4%-12.0M68.5M-462.6K1.1942.431381641,99936,420
2010-12-29$108.12$108.007.1%2.0%9.2%66.7%7.1%0.9%1.1%-8.1M31.1M-248.9K5.5920.851256992,10036,558
2010-12-30$108.17$108.007.0%2.0%9.0%65.2%7.4%1.1%0.9%-10.0M51.5M-391.1K3.0019.8517512,15436,947
2010-12-31$108.44$108.006.8%2.0%9.1%62.2%7.1%1.3%1.2%-9.4M51.0M-389.8K0.7721.1539302,15036,983