LQD Options History — December 2011

In December 2011, LQD traded between $110.56 and $113.76. ATM implied volatility averaged 6.2%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded below realized volatility by 0.6% (HV 20d: 6.8%). Max pain ranged from $109.00 to $113.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 5.62.

Notable Days

  • 2011-12-16: Highest Volume — 15,044 contracts
  • 2011-12-30: Largest IV drop — 20.4% change
  • 2011-12-02: Highest IV Rank — 47.6%
  • 2011-12-02: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.53$110.56$113.76$110.56$113.76
Max Pain$111.14$109.00$113.00$113.00$112.00
ATM IV6.2%4.3%7.8%7.1%4.3%
Expected Move1.7%1.2%2.2%2.0%1.2%
HV 20d6.8%4.8%7.3%4.8%6.5%
HV 60d6.0%5.4%6.1%5.4%5.7%
IV Rank30.1%10.0%47.6%39.8%10.0%
IV Percentile37.5%4.0%80.6%59.1%4.0%
Term Structure0.6%-0.3%1.4%0.5%1.4%
VWIV6.7%4.9%10.0%7.8%4.9%
Skew 25d2.6%1.3%3.9%2.4%1.6%
Skew 10d5.1%0.2%8.1%6.2%0.2%
Call IV 25d5.1%4.3%6.6%6.6%4.3%
Put IV 25d7.7%5.7%9.1%9.0%5.9%
Bid-Ask Spread %59.4514.0778.2758.8014.07
Gamma HHI0.280.150.420.280.15
Net GEX-12.4M-28.7M122.5K-28.7M-171.9K
Net DEX47.3M1.0M133.7M133.7M5.7M
Net VEX-300.6K-557.9K-83.5K-557.9K-110.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.620.0439.551.280.25
Total Volume1,119.4298315,044139175
Total OI39,253.85720,73453,57751,98820,734

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$110.56$113.007.1%2.0%4.8%39.8%7.8%2.4%0.5%-28.7M133.7M-557.9K1.2858.8061783,80748,181
2011-12-02$111.50$113.007.8%2.2%6.1%47.6%7.3%3.9%-0.3%-24.7M90.6M-467.5K10.6951.392292,4493,85848,209
2011-12-05$112.33$109.007.1%1.9%6.8%39.8%6.8%2.9%0.2%-25.4M70.9M-435.5K0.7961.243042393,97849,328
2011-12-06$111.73$109.007.4%1.9%6.8%43.7%7.3%2.9%-0.0%-19.3M72.3M-434.4K2.5471.20912314,00047,994
2011-12-07$112.43$110.007.4%1.9%7.1%43.9%6.0%3.1%0.3%-18.9M62.1M-416.7K1.1471.122943364,03448,156
2011-12-08$112.05$110.007.1%1.9%7.2%40.0%9.8%2.9%0.1%-19.3M69.0M-423.2K22.5071.23409004,27748,247
2011-12-09$111.62$110.006.5%1.8%7.1%33.9%7.5%2.4%0.7%-21.7M81.1M-442.1K4.6766.5821984,27149,055
2011-12-12$111.63$110.006.8%1.9%7.1%36.9%7.3%2.6%0.6%-21.3M85.5M-439.3K2.7376.4733904,27349,121
2011-12-13$112.01$111.006.8%1.9%7.2%36.7%7.5%3.3%0.6%-18.4M72.5M-429.8K0.5478.272521354,29549,210
2011-12-14$112.20$111.006.3%1.8%7.3%31.8%5.8%3.1%0.8%-18.0M68.3M-409.0K0.0477.6213764,30149,276
2011-12-15$112.38$111.006.4%1.8%7.2%32.7%10.0%3.5%0.8%-19.2M61.7M-402.0K4.5277.66231044,27449,278
2011-12-16$113.01$111.005.9%1.7%6.9%26.7%6.0%2.6%1.1%-20.8M47.3M-377.6K39.5575.9737114,6734,22849,331
2011-12-19$113.41$111.005.8%1.7%7.0%25.6%6.2%2.3%0.5%-465.1K6.5M-131.6K4.7455.84472232,43518,402
2011-12-20$113.33$111.005.5%1.6%6.8%22.7%7.3%2.4%0.7%-781.8K8.0M-133.1K3.0257.22431302,45718,563
2011-12-21$112.85$112.005.1%1.4%6.9%17.9%5.5%2.6%0.7%-857.5K12.5M-134.1K0.4354.092401032,46518,663
2011-12-22$113.44$112.005.4%1.5%6.7%21.6%6.2%2.4%0.5%122.5K1.0M-83.5K0.3951.4969272,57918,728
2011-12-23$113.09$112.004.8%1.4%6.7%15.4%5.3%2.1%1.1%-463.0K12.6M-134.0K0.2854.21136382,53718,730
2011-12-27$113.13$112.005.0%1.4%6.7%17.4%5.1%1.3%0.9%-877.8K9.3M-100.2K0.5162.8155282,14918,761
2011-12-28$113.34$112.005.7%1.6%6.5%25.2%5.4%2.2%0.9%-1.0M10.2M-123.5K14.7047.03568232,19418,782
2011-12-29$113.28$112.005.4%1.6%6.5%22.1%5.3%1.7%0.9%-1.0M11.6M-128.4K2.7514.1932882,24918,921
2011-12-30$113.76$112.004.3%1.2%6.5%10.0%4.9%1.6%1.4%-171.9K5.7M-110.2K0.2514.07140352,27518,459