LQD Options History — May 2012

In May 2012, LQD traded between $115.29 and $116.97. ATM implied volatility averaged 5.6%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.6% (HV 20d: 4.0%). Max pain ranged from $116.00 to $117.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.22.

Notable Days

  • 2012-05-31: Highest Volume — 10,105 contracts
  • 2012-05-17: Largest IV spike — 20.9% change
  • 2012-05-18: Highest IV Rank — 37.0%
  • 2012-05-18: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.25$115.29$116.97$115.87$116.97
Max Pain$116.55$116.00$117.00$116.00$116.00
ATM IV5.6%4.5%6.8%5.2%5.0%
Expected Move1.6%1.3%2.0%1.5%1.4%
HV 20d4.0%3.2%5.2%5.2%4.8%
HV 60d5.2%5.1%5.3%5.2%5.3%
IV Rank23.4%12.0%37.0%19.4%15.9%
IV Percentile35.8%7.9%63.1%26.6%17.5%
Term Structure0.2%-0.5%0.9%0.2%0.2%
VWIV5.9%3.8%8.1%3.8%4.2%
Skew 25d1.9%0.8%3.1%0.8%2.7%
Skew 10d4.2%0.3%13.7%0.3%13.7%
Call IV 25d5.0%3.7%5.9%4.8%4.3%
Put IV 25d6.9%5.5%8.4%5.6%7.0%
Bid-Ask Spread %47.0319.7772.6022.3428.43
Gamma HHI0.230.200.300.210.30
Net GEX-4.4M-12.0M3.0M-2.4M3.0M
Net DEX16.1M4.4M35.2M11.4M4.4M
Net VEX-75.1K-119.7K-50.7K-59.7K-71.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.0013.983.590.99
Total Volume926.7731210,10521110,105
Total OI8,434.0915,32512,5775,32512,438

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$115.87$116.005.2%1.5%5.2%19.4%3.8%0.8%0.2%-2.4M11.4M-59.7K3.5922.34461651,1364,189
2012-05-02$116.25$117.004.5%1.3%3.9%12.0%4.7%1.6%0.9%-2.3M10.9M-56.9K2.1822.9022481,1694,343
2012-05-03$116.32$117.005.0%1.4%3.8%16.9%0.0%1.2%0.5%-2.1M11.2M-59.4K0.0022.562201,1794,385
2012-05-04$116.45$117.005.1%1.6%3.8%18.0%8.1%1.7%0.2%-2.1M9.9M-58.4K0.4671.2424111,2014,385
2012-05-07$116.65$117.004.7%1.5%3.2%14.0%5.1%1.8%-0.0%-1.8M8.7M-54.2K0.7668.2246351,2194,391
2012-05-08$116.94$117.004.8%1.5%3.2%15.0%0.0%1.7%-0.1%-1.5M6.4M-50.7K4.5272.60271221,2084,413
2012-05-09$116.74$117.005.4%1.6%3.3%21.2%6.2%2.1%-0.1%-1.9M8.5M-56.0K9.6264.58212021,2314,510
2012-05-10$116.50$117.006.2%1.8%3.4%29.7%5.9%1.9%-0.2%-2.6M10.8M-58.4K13.2567.56121591,2494,649
2012-05-11$116.85$117.005.3%1.5%3.2%19.8%5.9%1.9%0.6%-1.9M7.6M-56.8K1.4767.69731071,2554,607
2012-05-14$116.88$117.005.7%1.6%3.2%25.0%6.3%1.7%0.2%-1.7M7.1M-51.5K2.1467.41711521,2814,627
2012-05-15$116.73$117.005.6%1.6%3.2%23.6%6.2%2.3%0.4%-2.1M8.6M-53.8K2.1065.2041861,2864,697
2012-05-16$116.79$117.005.5%1.6%3.2%22.5%6.5%3.1%0.8%-1.9M7.4M-51.6K7.5671.11322421,3094,721
2012-05-17$115.92$117.006.7%1.9%4.2%35.1%6.9%2.2%-0.1%-2.3M14.8M-57.9K2.0861.052,2144,5981,3224,831
2012-05-18$115.47$116.006.8%2.0%4.4%37.0%7.0%2.6%-0.0%-8.2M35.2M-119.7K13.9866.20577973,4399,138
2012-05-21$115.60$116.006.2%1.8%4.5%30.6%6.4%2.3%-0.1%-8.7M30.4M-112.3K1.1929.451561863,2098,677
2012-05-22$115.29$116.006.0%1.7%4.5%28.1%6.2%2.4%0.3%-12.0M35.1M-109.2K3.0631.67511563,3278,794
2012-05-23$115.57$116.005.6%1.6%4.6%23.8%5.6%1.7%0.8%-10.3M29.1M-109.4K0.9026.6951463,3578,938
2012-05-24$115.59$116.005.8%1.6%4.5%25.2%6.3%2.0%0.4%-10.4M30.2M-109.0K0.0026.061203,3888,940
2012-05-25$115.88$116.005.7%1.6%4.6%24.3%0.0%1.9%0.4%-9.1M25.8M-104.6K0.0019.771603,4008,940
2012-05-29$116.05$116.005.8%1.7%4.6%26.0%5.3%1.8%0.1%-7.8M19.7M-95.7K0.9830.8062613,4068,940
2012-05-30$116.15$116.006.3%1.8%4.2%31.3%6.5%1.0%-0.5%-6.6M20.7M-97.0K0.0631.135233,4259,001
2012-05-31$116.97$116.005.0%1.4%4.8%15.9%4.2%2.7%0.2%3.0M4.4M-71.0K0.9928.435,0675,0383,4349,004