LQD Options History — June 2011

In June 2011, LQD traded between $109.97 and $111.57. ATM implied volatility averaged 6.6%, placing in the 73.1% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.8% (HV 20d: 4.8%). Max pain ranged from $111.00 to $113.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 39.88.

Notable Days

  • 2011-06-30: Highest Volume — 12,366 contracts
  • 2011-06-29: Largest IV drop — 12.9% change
  • 2011-06-28: Highest IV Rank — 100.0%
  • 2011-06-28: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.80$109.97$111.57$111.57$110.13
Max Pain$112.05$111.00$113.00$112.00$111.00
ATM IV6.6%5.6%8.4%5.7%6.9%
Expected Move1.9%1.6%2.4%1.6%2.0%
HV 20d4.8%3.4%5.4%3.4%4.4%
HV 60d4.2%3.9%4.3%3.9%4.3%
IV Rank73.1%57.3%100.0%59.7%75.6%
IV Percentile70.6%45.2%100.0%49.2%79.0%
Term Structure0.5%-0.4%1.1%0.3%0.8%
VWIV7.2%5.8%8.9%6.8%7.1%
Skew 25d1.8%0.4%3.0%1.8%1.5%
Skew 10d2.6%0.2%5.9%4.9%3.0%
Call IV 25d5.9%4.3%7.1%4.7%6.2%
Put IV 25d7.7%6.5%9.6%6.5%7.7%
Bid-Ask Spread %28.8116.7647.1918.7221.03
Gamma HHI0.320.260.490.490.29
Net GEX-12.9M-22.3M-4.3M-4.3M-22.3M
Net DEX47.7M4.9M71.3M4.9M71.3M
Net VEX-235.3K-279.1K-56.2K-56.2K-263.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio39.880.42362.71103.82362.71
Total Volume1,900.9093512,3669,43412,366
Total OI63,187.59149,28168,62549,28162,986

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$111.57$112.005.7%1.6%3.4%59.7%6.8%1.8%0.3%-4.3M4.9M-56.2K103.8218.72909,3441,36547,916
2011-06-02$110.56$112.006.2%1.8%4.8%67.5%6.6%0.4%-0.4%-8.8M17.7M-97.3K108.3617.55778,3441,42756,645
2011-06-03$110.80$113.005.9%1.8%4.7%62.8%6.9%1.0%0.8%-14.7M46.5M-249.9K20.4245.12193881,48764,444
2011-06-06$110.61$113.005.7%1.8%4.8%59.7%7.0%1.4%0.1%-16.3M51.7M-261.9K3.5937.99411471,49164,831
2011-06-07$110.99$113.005.6%1.8%4.9%57.9%7.1%1.7%0.8%-12.5M43.8M-233.2K46.9133.81221,0321,49264,935
2011-06-08$111.06$113.005.6%1.8%4.7%57.3%0.0%1.7%1.0%-12.4M43.0M-241.3K0.5443.1182441,50165,274
2011-06-09$110.76$113.006.1%1.7%4.8%65.7%6.0%1.1%0.7%-13.7M46.8M-240.7K5.4333.147381,57565,315
2011-06-10$110.63$113.005.9%1.7%4.7%62.5%6.7%1.2%0.7%-14.5M48.6M-241.6K4.0031.307281,58265,343
2011-06-13$110.75$113.006.3%1.8%4.6%69.1%6.9%1.7%0.5%-14.0M46.6M-231.9K5.2025.73201041,58365,354
2011-06-14$110.42$113.006.5%1.9%4.6%73.2%0.0%3.0%0.4%-16.2M47.0M-206.6K0.4833.1442201,59365,383
2011-06-15$111.03$113.007.0%2.0%5.0%81.0%8.0%1.9%0.5%-11.4M45.1M-243.3K47.5225.79562,6611,63365,386
2011-06-16$110.82$112.007.0%2.0%5.0%81.3%7.0%1.9%0.8%-13.6M53.5M-265.4K15.3533.68517831,64066,355
2011-06-17$110.86$112.007.0%2.0%4.9%81.5%0.0%2.1%1.1%-12.4M53.4M-268.4K1.1947.1927321,64966,976
2011-06-20$110.88$112.006.7%1.9%4.9%75.6%6.2%2.4%1.0%-10.6M50.0M-249.5K2.1324.911573351,22557,256
2011-06-21$110.85$111.006.5%1.9%4.9%73.4%5.8%1.8%0.8%-10.9M49.1M-261.8K0.4216.7699421,35957,591
2011-06-22$111.00$111.006.4%1.8%4.9%71.0%7.6%2.2%0.4%-10.7M48.8M-258.9K5.3518.431457761,45857,613
2011-06-23$111.29$111.006.6%1.9%4.9%74.4%8.9%2.1%0.3%-9.7M44.1M-250.3K12.7919.37486141,58358,312
2011-06-24$111.35$111.007.3%2.1%4.7%87.4%8.5%2.9%0.4%-10.0M43.7M-251.4K37.2025.58441,6371,62158,699
2011-06-27$110.99$111.007.5%2.1%4.8%90.0%7.6%2.6%0.7%-13.4M54.9M-267.1K53.0025.0173711,65060,177
2011-06-28$110.22$111.008.4%2.4%5.4%100.0%8.7%2.5%-0.3%-14.9M67.7M-279.1K38.7228.97291,1231,65460,511
2011-06-29$109.97$111.007.3%2.1%5.4%82.2%7.4%1.8%0.5%-15.6M70.3M-258.4K2.1627.431653561,66660,591
2011-06-30$110.13$111.006.9%2.0%4.4%75.6%7.1%1.5%0.8%-22.3M71.3M-263.2K362.7121.033412,3321,56761,419