LQD Options History — October 2011

In October 2011, LQD traded between $111.03 and $114.70. ATM implied volatility averaged 7.1%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.4% (HV 20d: 5.7%). Max pain ranged from $112.00 to $113.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 10.52.

Notable Days

  • 2011-10-31: Highest Volume — 8,672 contracts
  • 2011-10-04: Largest IV spike — 24.5% change
  • 2011-10-06: Highest IV Rank — 63.7%
  • 2011-10-10: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.45$111.03$114.70$112.10$114.70
Max Pain$112.19$112.00$113.00$113.00$112.00
ATM IV7.1%5.3%9.3%7.4%5.3%
Expected Move2.1%1.5%2.7%2.1%1.5%
HV 20d5.7%5.2%6.1%5.5%5.2%
HV 60d9.2%8.5%9.5%9.3%8.5%
IV Rank40.1%20.8%63.7%43.6%20.8%
IV Percentile58.4%17.9%93.7%78.2%17.9%
Term Structure0.6%0.1%1.1%0.7%0.1%
VWIV7.5%4.7%10.7%7.4%10.7%
Skew 25d2.3%1.1%3.9%1.4%1.8%
Skew 10d4.6%0.4%7.5%2.8%3.7%
Call IV 25d6.5%3.9%8.8%7.1%5.1%
Put IV 25d8.8%6.5%11.3%8.5%6.9%
Bid-Ask Spread %62.2641.2778.1644.1848.79
Gamma HHI0.180.110.320.150.21
Net GEX-5.3M-10.1M2.0M-2.5M2.0M
Net DEX32.5M-18.4M65.4M19.2M-18.4M
Net VEX-296.7K-561.4K-109.9K-172.5K-109.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.520.0175.1275.120.01
Total Volume1,803.429698,6721,9038,672
Total OI30,485.90519,97941,65719,97941,384

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$112.10$113.007.4%2.1%5.5%43.6%7.4%1.4%0.7%-2.5M19.2M-172.5K75.1244.18251,8783,82616,153
2011-10-04$111.12$113.009.2%2.7%5.8%63.3%10.3%1.7%0.4%-4.6M37.8M-263.3K21.6341.271282,7693,83617,328
2011-10-05$111.58$113.008.3%2.4%5.9%53.6%8.5%1.8%0.3%-5.1M35.3M-235.0K14.5762.46891,2973,85819,673
2011-10-06$111.13$113.009.3%2.7%6.1%63.7%8.9%2.2%0.6%-6.9M48.0M-320.2K1.4255.762032883,92420,698
2011-10-07$111.03$112.008.9%2.7%6.0%59.7%7.7%3.0%0.4%-7.3M49.1M-317.3K1.4749.7762914,04520,686
2011-10-10$111.24$112.008.9%2.7%5.8%60.1%8.7%2.9%0.5%-5.9M39.8M-237.0K0.5562.502041134,06820,718
2011-10-11$111.54$112.007.8%2.4%5.9%47.3%8.5%2.7%0.5%-5.2M36.0M-235.2K0.0363.1911744,21720,794
2011-10-12$111.71$112.006.7%2.2%6.0%35.9%8.2%2.2%0.3%-5.3M31.1M-219.2K3.5268.884331,5244,28820,798
2011-10-13$111.81$112.007.1%2.0%5.9%39.8%6.3%2.5%0.7%-5.6M33.2M-228.2K1.2869.35831064,59921,219
2011-10-14$111.74$112.006.6%1.9%5.9%35.2%6.7%2.1%0.9%-5.9M34.1M-219.3K0.9270.0736334,66621,304
2011-10-17$111.66$112.006.7%1.9%5.5%35.7%7.9%2.5%0.6%-6.9M38.9M-268.0K3.5871.90531904,68221,284
2011-10-18$112.05$112.006.6%1.9%5.6%34.3%4.7%2.4%1.0%-3.8M25.1M-202.6K1.6475.811582594,68421,427
2011-10-19$112.34$112.007.3%2.1%5.7%42.2%8.3%3.4%0.7%-3.0M26.1M-216.9K30.7778.162648,1224,81021,619
2011-10-20$112.59$112.006.4%1.8%5.7%32.4%7.0%3.9%0.8%-2.7M23.7M-225.8K53.8874.201327,1125,03229,520
2011-10-21$112.96$112.006.4%1.8%5.4%32.5%6.1%2.1%1.1%-6.9M65.4M-561.4K0.2476.09317775,06236,595
2011-10-24$113.54$112.006.2%1.8%5.6%29.9%6.1%2.4%0.5%-2.3M3.6M-172.5K0.3350.805131684,09835,459
2011-10-25$114.10$112.006.4%1.8%5.7%32.2%6.7%2.0%0.6%-9.2M42.2M-524.8K6.5754.761861,2224,50635,543
2011-10-26$114.02$112.006.2%1.8%5.4%30.6%6.7%1.1%0.3%-10.1M47.2M-536.2K0.3664.04241874,57136,522
2011-10-27$114.00$112.005.6%1.6%5.4%24.2%5.8%3.3%0.8%-8.5M37.9M-500.3K1.7263.161162004,76936,590
2011-10-28$114.44$112.005.8%1.7%5.3%26.1%5.6%1.5%0.5%-6.5M26.4M-465.4K1.2762.391321684,74336,606
2011-10-31$114.70$112.005.3%1.5%5.2%20.8%10.7%1.8%0.1%2.0M-18.4M-109.9K0.0148.798,5461264,73336,651