LQD Options History — March 2011

In March 2011, LQD traded between $107.75 and $109.41. ATM implied volatility averaged 6.5%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.2% (HV 20d: 5.3%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 26.80.

Notable Days

  • 2011-03-01: Highest Volume — 26,383 contracts
  • 2011-03-31: Largest IV spike — 56.8% change
  • 2011-03-16: Highest IV Rank — 79.4%
  • 2011-03-16: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.63$107.75$109.41$108.79$108.20
Max Pain$108.26$108.00$109.00$109.00$109.00
ATM IV6.5%3.9%8.1%5.5%6.1%
Expected Move1.9%1.1%2.3%1.6%1.7%
HV 20d5.3%4.8%5.8%5.5%4.8%
HV 60d6.0%5.2%6.9%6.8%5.3%
IV Rank58.0%21.8%79.4%44.6%52.4%
IV Percentile68.6%7.9%98.8%46.8%55.6%
Term Structure0.6%-0.1%1.3%1.3%0.4%
VWIV6.9%3.7%9.6%6.6%5.7%
Skew 25d1.9%0.8%2.9%2.7%1.1%
Skew 10d3.4%-0.8%6.4%5.7%0.5%
Call IV 25d6.0%4.3%7.1%4.3%5.8%
Put IV 25d8.0%6.3%9.5%7.1%6.9%
Bid-Ask Spread %27.5914.9643.3726.2921.09
Gamma HHI0.350.240.440.370.24
Net GEX-6.1M-15.3M-590.9K-3.2M-10.6M
Net DEX32.9M13.2M83.5M13.5M45.7M
Net VEX-174.9K-658.1K-66.1K-69.6K-172.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.800.00162.78145.576.31
Total Volume2,127.2171726,38326,383234
Total OI65,198.65242,32386,75842,32348,277

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$108.79$109.005.5%1.6%5.5%44.6%6.6%2.7%1.3%-3.2M13.5M-69.6K145.5726.2918026,2032,83439,489
2011-03-02$108.21$109.006.8%1.9%5.5%61.5%6.3%2.3%0.7%-13.2M76.9M-658.1K0.7520.6753402,95065,249
2011-03-03$107.75$109.006.3%1.8%5.6%54.9%6.1%0.8%0.7%-15.3M83.5M-647.5K140.6916.968011,2553,00365,274
2011-03-04$108.16$108.006.0%2.0%5.7%50.4%7.0%2.1%0.6%-7.5M25.0M-90.4K0.0035.097303,01575,817
2011-03-07$107.89$108.006.2%2.0%5.7%53.9%8.8%2.2%0.5%-8.0M27.2M-80.9K1.4339.277103,03675,806
2011-03-08$107.75$108.006.0%2.1%5.7%51.0%7.0%2.0%0.2%-9.5M30.3M-73.3K10.1040.59101013,03975,800
2011-03-09$108.31$108.006.1%2.0%5.8%52.1%6.8%2.2%0.7%-6.9M22.2M-73.8K18.3136.18427693,04975,867
2011-03-10$108.75$108.006.4%1.8%5.5%57.1%6.6%2.0%0.8%-3.2M13.2M-66.1K4.3433.34934043,09176,502
2011-03-11$108.65$108.006.6%1.9%5.1%58.6%6.2%1.9%0.7%-2.9M16.7M-81.9K0.5535.3229163,17376,887
2011-03-14$108.77$108.006.4%1.8%4.8%56.6%6.7%1.6%1.0%-1.1M13.6M-69.7K0.5030.351893,18476,899
2011-03-15$108.76$108.006.6%1.9%4.8%59.8%7.1%1.4%0.6%-1.4M13.9M-66.5K162.7837.01325,2093,20276,901
2011-03-16$109.41$108.008.1%2.3%5.2%79.4%9.6%2.4%-0.1%-2.7M26.7M-170.0K12.6743.371181,4953,21382,013
2011-03-17$109.34$108.007.9%2.3%5.2%77.1%7.6%2.4%0.1%-3.2M30.2M-169.9K0.8843.3741363,30983,402
2011-03-18$109.41$108.007.7%2.2%5.1%74.9%7.8%2.4%0.1%-590.9K28.0M-165.1K0.4623.00115533,32983,429
2011-03-21$109.06$108.007.7%2.2%5.3%73.9%7.3%2.9%-0.1%-5.2M30.8M-169.2K0.7614.9658441,64544,823
2011-03-22$109.26$108.007.0%2.0%5.3%64.5%7.7%2.9%0.6%-5.0M29.0M-157.1K3.0716.61421291,68244,847
2011-03-23$109.19$108.007.2%2.1%5.2%67.5%7.2%1.8%0.4%-5.2M30.5M-167.7K4.9316.28281381,72144,913
2011-03-24$108.83$108.006.8%2.0%5.4%62.1%6.7%1.8%0.9%-5.8M33.4M-166.6K3.8322.392168281,73545,051
2011-03-25$108.67$108.006.1%1.7%5.2%52.2%7.2%1.5%0.9%-6.9M37.9M-181.0K90.3316.6032711,94745,839
2011-03-28$108.71$108.006.2%1.8%5.1%54.3%7.1%0.9%0.4%-6.9M39.3M-180.5K7.5822.61191441,94846,048
2011-03-29$108.18$109.006.2%1.8%5.2%53.6%6.2%1.5%0.8%-7.7M47.1M-176.2K0.4023.1745181,96646,180
2011-03-30$108.55$109.003.9%1.1%4.9%21.8%3.7%1.7%1.2%-9.0M42.5M-170.0K0.2520.08175431,99146,194
2011-03-31$108.20$109.006.1%1.7%4.8%52.4%5.7%1.1%0.4%-10.6M45.7M-172.3K6.3121.09322022,08146,196