LQD Options History — September 2011

In September 2011, LQD traded between $111.75 and $113.59. ATM implied volatility averaged 8.0%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 0.4% (HV 20d: 8.4%). Max pain ranged from $110.00 to $113.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.85.

Notable Days

  • 2011-09-22: Highest Volume — 7,570 contracts
  • 2011-09-06: Largest IV spike — 18.2% change
  • 2011-09-15: Highest IV Rank — 63.8%
  • 2011-09-15: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.81$111.75$113.59$112.00$112.31
Max Pain$112.14$110.00$113.00$112.00$113.00
ATM IV8.0%7.1%9.3%7.3%7.1%
Expected Move2.4%2.0%2.7%2.1%2.0%
HV 20d8.4%5.3%13.4%13.4%5.9%
HV 60d9.3%9.1%9.3%9.1%9.3%
IV Rank49.8%40.5%63.8%42.7%40.5%
IV Percentile88.1%68.3%94.0%83.7%68.3%
Term Structure0.5%-0.1%1.1%1.0%0.6%
VWIV8.4%6.8%10.8%7.4%7.2%
Skew 25d2.1%0.8%3.0%0.8%1.0%
Skew 10d4.5%0.5%6.9%0.8%0.5%
Call IV 25d7.6%6.1%8.7%6.1%7.2%
Put IV 25d9.6%7.0%10.9%7.0%8.2%
Bid-Ask Spread %62.5248.5571.6856.6261.67
Gamma HHI0.190.130.370.300.14
Net GEX-390.0K-5.4M2.7M-5.4M-2.8M
Net DEX1.6M-13.5M30.8M4.3M18.2M
Net VEX-132.9K-247.2K-99.6K-124.1K-166.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.850.0736.480.150.08
Total Volume643.952447,570225125
Total OI48,036.14311,30577,66575,91419,965

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$112.00$112.007.3%2.1%13.4%42.7%7.4%0.8%1.0%-5.4M4.3M-124.1K0.1556.62196293,68972,225
2011-09-02$112.69$112.007.5%2.1%12.9%44.4%7.3%1.9%0.6%-3.9M-1.8M-122.4K0.3848.55122463,73272,239
2011-09-06$113.35$110.008.8%2.6%12.5%59.1%9.0%2.2%-0.1%-37.6K-10.5M-107.8K0.8271.681631343,82672,224
2011-09-07$113.57$110.007.9%2.4%12.1%49.2%8.2%2.0%0.5%1.7M-13.5M-101.3K0.5871.0753313,96572,252
2011-09-08$113.47$110.008.5%2.5%11.7%55.5%9.3%2.0%0.5%545.8K-11.4M-103.6K1.1564.1182943,99772,255
2011-09-09$113.59$111.007.3%2.4%8.8%42.7%9.9%2.3%0.1%273.0K-12.5M-103.1K1.8468.4349904,02972,319
2011-09-12$112.90$111.007.8%2.7%8.3%47.3%8.0%2.2%0.1%850.1K-8.6M-99.6K8.1467.971331,0834,04872,359
2011-09-13$112.88$111.008.4%2.6%8.2%53.8%10.8%2.3%0.1%917.7K-4.2M-112.7K2.3664.6039924,02573,400
2011-09-14$112.83$112.008.4%2.5%8.1%54.0%10.0%1.8%0.3%886.9K-4.4M-114.9K8.0068.61241924,02973,475
2011-09-15$112.44$113.009.3%2.7%8.1%63.8%8.2%2.6%0.2%2.7M-171.6K-110.2K0.5766.2928164,02973,636
2011-09-16$112.44$113.008.4%2.4%8.1%54.7%8.2%1.9%1.0%2.4M-390.1K-110.3K0.5469.08118644,01573,634
2011-09-19$113.06$113.008.0%2.3%8.4%49.7%7.8%2.0%0.4%487.2K-1.6M-106.2K0.0761.88658492,7008,605
2011-09-20$113.11$113.007.7%2.2%8.3%46.4%7.6%1.9%1.1%1.5M-4.1M-110.6K0.6257.781771103,2838,635
2011-09-21$113.37$113.008.0%2.3%7.1%49.5%7.8%1.8%0.7%1.4M-5.3M-116.8K4.4968.111024583,3778,724
2011-09-22$113.59$113.007.4%2.1%5.3%43.8%8.5%2.3%0.4%1.4M-5.9M-120.5K36.4862.922027,3683,4049,136
2011-09-23$112.89$113.007.6%2.2%5.7%45.6%9.1%2.6%0.7%-1.3M9.9M-179.7K7.4760.83624633,56915,495
2011-09-26$112.68$113.008.1%2.3%5.8%50.7%9.3%2.3%0.2%-1.8M14.5M-178.3K0.2752.80157433,55415,770
2011-09-27$112.32$113.008.4%2.4%5.9%54.4%6.8%3.0%0.3%-1.9M17.0M-177.7K5.7456.76543103,65315,807
2011-09-28$111.87$113.008.0%2.3%5.8%49.6%8.1%2.5%0.9%-2.4M23.4M-177.0K0.8057.18116933,69816,073
2011-09-29$111.75$113.007.9%2.3%5.7%49.1%8.7%2.3%0.7%-3.6M30.8M-247.2K0.2755.9977213,78116,128
2011-09-30$112.31$113.007.1%2.0%5.9%40.5%7.2%1.0%0.6%-2.8M18.2M-166.2K0.0861.6711693,81616,149