LQD Options History — November 2011

In November 2011, LQD traded between $110.19 and $115.58. ATM implied volatility averaged 7.2%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 2.5% (HV 20d: 4.8%). Max pain ranged from $113.00 to $114.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 13.82.

Notable Days

  • 2011-11-15: Highest Volume — 9,957 contracts
  • 2011-11-07: Largest IV spike — 25.9% change
  • 2011-11-25: Highest IV Rank — 65.9%
  • 2011-11-25: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.89$110.19$115.58$114.87$110.69
Max Pain$113.62$113.00$114.00$114.00$113.00
ATM IV7.2%4.2%9.5%5.3%7.6%
Expected Move2.1%1.5%2.7%1.5%2.2%
HV 20d4.8%2.8%5.9%3.7%5.2%
HV 60d6.3%5.4%8.3%8.3%5.4%
IV Rank41.4%9.1%65.9%20.5%45.2%
IV Percentile62.9%3.2%94.4%17.5%75.0%
Term Structure0.1%-1.0%1.2%0.5%-0.4%
VWIV8.1%5.3%11.6%5.7%8.3%
Skew 25d3.0%1.1%4.0%1.6%1.8%
Skew 10d6.0%0.8%9.1%1.1%2.4%
Call IV 25d6.4%2.8%8.1%5.2%7.4%
Put IV 25d9.4%5.8%11.3%6.8%9.2%
Bid-Ask Spread %63.0849.7474.4649.7464.75
Gamma HHI0.300.180.370.190.31
Net GEX-17.1M-33.1M-2.8M-5.5M-33.1M
Net DEX77.9M-531.6K154.4M7.7M127.3M
Net VEX-427.9K-570.4K-121.9K-149.9K-495.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.820.17114.005.111.88
Total Volume1,158.381839,957214150
Total OI44,603.23838,10252,00639,23052,006

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$114.87$114.005.3%1.5%3.7%20.5%5.7%1.6%0.5%-5.5M7.7M-149.9K5.1149.74351792,47736,753
2011-11-02$115.29$114.005.4%1.6%3.6%21.9%5.4%3.4%0.7%-3.9M3.6M-138.3K0.5552.8988482,48236,817
2011-11-03$115.35$114.005.3%1.5%3.0%20.5%5.3%1.1%1.1%-8.2M28.8M-352.7K1.5164.31721092,54136,863
2011-11-04$115.58$114.004.2%1.6%2.8%9.1%6.2%2.5%1.2%-2.8M-531.6K-121.9K0.2073.29167342,58236,970
2011-11-07$115.12$114.005.3%1.9%3.5%21.0%5.7%2.7%0.4%-8.0M31.3M-375.2K0.4674.4657262,63536,997
2011-11-08$114.41$114.005.6%1.9%4.5%24.1%7.3%2.4%0.9%-10.2M41.1M-403.3K11.1364.621872,0812,66237,017
2011-11-09$114.11$114.006.8%2.0%4.7%36.4%10.7%3.0%0.6%-10.6M47.6M-414.2K79.5665.5597162,80335,299
2011-11-10$113.54$114.006.9%2.0%5.2%37.4%8.4%3.2%0.6%-13.6M62.5M-446.6K2.4862.98962382,80535,810
2011-11-11$113.34$114.007.7%2.2%5.2%46.4%7.0%3.4%0.1%-14.2M66.1M-449.4K0.1964.89283542,80935,910
2011-11-14$113.33$114.007.7%2.2%5.2%46.6%9.1%3.0%0.1%-14.4M61.7M-422.7K114.0066.5422282,71635,948
2011-11-15$113.22$114.008.3%2.4%5.1%53.7%8.5%3.2%-0.0%-14.8M68.3M-457.0K45.9761.682129,7452,71636,097
2011-11-16$112.86$114.007.8%2.3%5.2%48.3%8.1%3.1%-0.1%-16.7M77.7M-469.3K6.7064.511338912,84745,626
2011-11-17$111.97$114.008.1%2.3%5.9%51.5%9.6%3.7%-0.1%-20.1M95.0M-483.0K10.6063.253533,7412,86946,055
2011-11-18$112.15$113.007.7%2.2%5.8%47.1%9.0%3.7%-0.1%-22.9M107.1M-533.2K0.8768.71112972,95448,741
2011-11-21$111.69$113.008.1%2.3%5.6%50.7%10.7%4.0%-0.7%-23.2M111.2M-525.6K3.2559.33842732,75947,678
2011-11-22$111.40$113.008.0%2.3%5.2%49.4%7.1%3.7%0.1%-25.1M117.1M-523.8K0.1755.57362612,77047,724
2011-11-23$110.83$113.007.9%2.3%5.3%48.7%8.2%3.5%0.1%-26.1M130.2M-524.2K1.2764.422983793,07847,741
2011-11-25$110.39$113.009.5%2.7%5.4%65.9%11.6%3.5%-0.8%-28.4M149.4M-570.4K1.8562.173566603,00747,856
2011-11-28$110.44$113.009.1%2.6%5.1%61.7%9.5%3.5%-1.0%-28.6M148.0M-566.4K1.8861.433616803,28448,278
2011-11-29$110.19$113.009.2%2.6%4.8%62.5%9.6%2.9%-1.0%-28.3M154.4M-563.1K0.4959.624482213,46848,218
2011-11-30$110.69$113.007.6%2.2%5.2%45.2%8.3%1.8%-0.4%-33.1M127.3M-495.2K1.8864.7552983,82148,185