LQD Options History — March 2012

In March 2012, LQD traded between $114.34 and $117.06. ATM implied volatility averaged 5.3%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.1% (HV 20d: 5.2%). Max pain ranged from $116.00 to $118.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 8.65.

Notable Days

  • 2012-03-14: Highest Volume — 2,453 contracts
  • 2012-03-12: Largest IV spike — 31.0% change
  • 2012-03-15: Highest IV Rank — 37.8%
  • 2012-03-15: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.66$114.34$117.06$117.02$115.63
Max Pain$116.41$116.00$118.00$118.00$116.00
ATM IV5.3%3.9%6.9%5.0%3.9%
Expected Move1.5%1.1%2.0%1.4%1.1%
HV 20d5.2%4.1%6.1%4.4%5.9%
HV 60d4.7%4.3%5.0%4.9%5.0%
IV Rank20.8%5.4%37.8%16.8%5.4%
IV Percentile30.6%1.2%61.5%21.8%1.2%
Term Structure0.5%-0.2%1.0%0.5%-0.0%
VWIV5.8%3.7%8.6%5.0%5.8%
Skew 25d2.1%0.2%4.4%2.1%2.3%
Skew 10d4.2%-0.1%8.1%0.7%2.9%
Call IV 25d4.7%3.5%5.6%3.5%4.4%
Put IV 25d6.8%5.0%8.8%5.5%6.7%
Bid-Ask Spread %46.4716.7173.3616.7128.02
Gamma HHI0.210.140.290.150.22
Net GEX-3.3M-7.8M-1.1M-1.6M-4.2M
Net DEX16.0M7.2M33.0M7.8M15.9M
Net VEX-52.7K-78.2K-31.3K-34.1K-59.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.650.0080.770.830.89
Total Volume261.409402,453159138
Total OI13,711.6825,17522,57219,5526,187

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$117.02$118.005.0%1.4%4.4%16.8%5.0%2.1%0.5%-1.6M7.8M-34.1K0.8316.71877263818,914
2012-03-02$117.06$117.004.9%1.4%4.4%15.8%3.7%0.2%0.5%-1.2M7.2M-35.5K2.6417.99112969618,930
2012-03-05$116.85$116.004.6%1.5%4.4%12.9%5.7%1.4%0.3%-1.3M8.3M-33.1K4.4150.214620370218,954
2012-03-06$116.67$116.004.8%1.5%4.3%15.6%5.4%1.1%0.4%-1.6M9.4M-34.2K0.1162.0766774619,129
2012-03-07$116.62$116.005.0%1.5%4.3%17.8%5.5%1.6%0.8%-1.3M9.3M-35.2K1.2858.60253280019,129
2012-03-08$116.64$116.004.7%1.5%4.3%13.7%5.7%1.6%0.4%-1.2M9.2M-33.8K2.6965.26133580719,138
2012-03-09$116.58$116.004.8%1.5%4.1%14.9%5.5%1.6%0.7%-1.1M9.5M-32.1K11.3158.621314781519,173
2012-03-12$116.35$117.006.3%1.6%4.2%30.9%6.0%0.9%0.4%-1.5M11.4M-33.0K27.3366.07616482119,259
2012-03-13$116.03$117.005.6%1.5%4.1%24.3%5.5%1.7%0.8%-2.4M13.4M-31.3K17.8273.361730382319,255
2012-03-14$114.65$117.005.7%1.6%5.8%25.3%8.6%2.9%0.5%-4.7M20.9M-42.0K80.7752.90302,42383019,422
2012-03-15$114.40$117.006.9%2.0%5.8%37.8%7.3%3.2%-0.1%-7.5M33.0M-78.2K11.1457.622224585421,674
2012-03-16$114.57$117.005.7%1.6%5.9%24.9%7.1%4.4%0.1%-7.8M32.1M-73.8K11.0552.131921087421,698
2012-03-19$114.41$117.006.5%1.9%5.9%33.3%6.3%3.0%-0.2%-4.4M22.0M-71.3K0.4644.68152704894,686
2012-03-20$114.34$116.006.2%1.8%5.9%30.3%6.1%2.8%0.4%-4.5M22.2M-72.0K3.8647.48371435864,738
2012-03-21$114.86$116.005.7%1.6%5.6%24.9%6.5%2.1%0.3%-4.2M19.0M-70.3K4.8145.21361736064,855
2012-03-22$114.67$116.005.7%1.6%5.6%24.5%6.0%3.0%0.4%-4.5M20.2M-72.2K3.3648.8728946424,993
2012-03-23$114.76$116.005.4%1.6%5.6%21.9%5.1%2.1%1.0%-4.5M19.6M-74.1K1.0850.3175816595,072
2012-03-26$115.01$116.005.3%1.5%5.5%20.3%5.0%1.9%0.9%-4.2M18.3M-69.2K3.2644.19421376925,128
2012-03-27$115.90$116.005.2%1.5%6.1%19.8%5.8%2.7%0.3%-3.9M15.4M-67.7K1.0532.431021077105,255
2012-03-28$115.68$116.004.7%1.3%6.1%14.1%4.7%2.2%1.0%-3.1M15.1M-58.2K0.0524.743928005,331
2012-03-29$115.91$116.004.6%1.3%5.9%12.7%4.5%2.0%1.0%-2.1M12.8M-48.8K0.0024.917008165,331
2012-03-30$115.63$116.003.9%1.1%5.9%5.4%5.8%2.3%-0.0%-4.2M15.9M-59.5K0.8928.0273658565,331