LQD Options History — May 2011

In May 2011, LQD traded between $110.25 and $111.45. ATM implied volatility averaged 4.7%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.2% (HV 20d: 3.5%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.90.

Notable Days

  • 2011-05-31: Highest Volume — 2,046 contracts
  • 2011-05-12: Largest IV spike — 35.9% change
  • 2011-05-12: Highest IV Rank — 51.8%
  • 2011-05-12: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.85$110.25$111.45$110.30$111.44
Max Pain$110.00$110.00$110.00$110.00$110.00
ATM IV4.7%3.4%6.1%4.2%3.4%
Expected Move1.4%1.0%1.7%1.2%1.0%
HV 20d3.5%3.2%3.8%3.6%3.4%
HV 60d4.3%3.9%4.7%4.7%3.9%
IV Rank35.4%19.5%51.8%26.3%19.5%
IV Percentile19.6%1.6%55.2%7.9%1.6%
Term Structure1.2%0.3%4.1%1.3%4.1%
VWIV5.1%3.8%9.0%4.1%3.8%
Skew 25d1.3%-0.8%2.6%-0.8%1.4%
Skew 10d1.5%0.1%3.6%0.6%1.8%
Call IV 25d3.8%2.4%5.1%4.2%2.6%
Put IV 25d5.2%3.3%6.2%3.3%4.0%
Bid-Ask Spread %17.4810.5925.9212.6516.61
Gamma HHI0.450.260.540.470.40
Net GEX-4.9M-8.2M329.1K-7.2M-3.6M
Net DEX7.4M-397.1K15.5M13.2M4.6M
Net VEX-76.4K-97.6K-44.5K-95.0K-69.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.0021.860.770.04
Total Volume272.90542,0461242,046
Total OI49,207.04848,19949,95748,19949,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$110.30$110.004.2%1.2%3.6%26.3%4.1%-0.8%1.3%-7.2M13.2M-95.0K0.7712.6570541,10847,091
2011-05-03$110.25$110.004.4%1.3%3.6%28.6%4.3%-0.7%1.0%-7.5M13.7M-94.5K0.2616.71125331,08647,142
2011-05-04$110.41$110.004.3%1.2%3.6%27.2%0.0%-0.4%1.0%-6.6M10.7M-87.7K1.0014.71221,18947,175
2011-05-05$110.79$110.004.0%1.1%3.4%23.1%4.0%1.2%0.6%-5.7M8.0M-77.5K0.0316.896821,18747,175
2011-05-06$110.79$110.004.1%1.4%3.3%24.2%4.8%1.2%1.3%-5.8M8.2M-78.8K7.2922.11594301,22147,177
2011-05-09$110.90$110.004.5%1.6%3.2%30.1%6.2%1.2%1.1%-5.8M9.8M-86.8K21.8621.1471531,25747,590
2011-05-10$110.45$110.004.9%1.7%3.7%35.4%6.3%0.9%1.2%-7.3M13.3M-95.8K6.5019.9110651,25647,718
2011-05-11$110.63$110.004.5%1.6%3.6%29.7%6.0%1.2%1.1%-6.7M11.1M-84.0K10.5222.76212211,25447,733
2011-05-12$110.37$110.006.1%1.7%3.8%51.8%6.1%2.1%0.8%-8.2M15.5M-97.6K0.0221.364411,23447,952
2011-05-13$110.70$110.005.3%1.5%3.7%40.7%4.8%1.2%1.6%-6.8M11.6M-86.8K1.4422.0027391,26347,952
2011-05-16$111.02$110.005.4%1.5%3.4%42.7%4.1%1.5%1.4%-5.5M7.7M-74.9K0.0825.92409321,28347,963
2011-05-17$111.17$110.005.4%1.5%3.4%42.3%4.8%1.0%1.5%-3.8M3.2M-70.5K0.0016.5069021,69147,993
2011-05-18$110.89$110.005.0%1.4%3.6%37.4%4.8%1.1%1.6%-3.4M3.5M-69.9K0.0517.12209111,76247,993
2011-05-19$111.08$110.004.8%1.4%3.6%34.3%5.0%2.4%1.7%-2.8M1.9M-62.9K1.1013.3531341,93248,003
2011-05-20$111.00$110.004.9%1.4%3.6%42.5%5.1%2.6%1.4%-3.0M2.4M-65.1K0.3712.53211791,93248,025
2011-05-23$110.93$110.004.8%1.4%3.6%44.1%4.9%2.3%0.6%-3.7M4.4M-67.6K3.5912.64511831,84947,643
2011-05-24$111.07$110.004.9%1.4%3.3%45.6%9.0%2.4%0.3%-3.2M4.0M-66.9K1.6115.2038611,88147,760
2011-05-25$110.85$110.004.7%1.3%3.4%41.5%0.0%1.7%0.4%-3.5M4.9M-65.8K2.7315.2911301,88447,813
2011-05-26$111.33$110.004.5%1.3%3.5%37.7%4.3%2.3%0.7%-2.6M3.6M-61.1K1.5310.5955841,88447,783
2011-05-27$111.45$110.004.6%1.3%3.5%39.7%0.0%2.3%0.7%329.1K-397.1K-44.5K0.0321.203011,89247,864
2011-05-31$111.44$110.003.4%1.0%3.4%19.5%3.8%1.4%4.1%-3.6M4.6M-69.9K0.0416.611,970761,89447,864