LQD Options History — June 2012

In June 2012, LQD traded between $115.81 and $117.62. ATM implied volatility averaged 5.4%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.1% (HV 20d: 5.3%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.00.

Notable Days

  • 2012-06-29: Highest Volume — 10,118 contracts
  • 2012-06-14: Largest IV spike — 58.0% change
  • 2012-06-04: Highest IV Rank — 33.0%
  • 2012-06-11: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.75$115.81$117.62$117.29$117.59
Max Pain$115.05$115.00$116.00$116.00$115.00
ATM IV5.4%3.9%6.6%6.2%4.5%
Expected Move1.6%1.3%1.8%1.8%1.3%
HV 20d5.3%4.4%5.9%4.8%4.4%
HV 60d5.0%4.3%5.6%5.3%4.3%
IV Rank20.7%3.3%33.0%29.2%10.9%
IV Percentile30.6%0.4%57.9%51.2%5.6%
Term Structure0.4%-0.1%0.8%0.1%0.3%
VWIV6.2%4.5%10.4%6.1%10.4%
Skew 25d2.0%1.5%3.8%1.6%1.5%
Skew 10d4.8%3.3%6.7%5.1%3.4%
Call IV 25d5.0%4.0%5.9%5.1%4.0%
Put IV 25d7.0%5.5%8.0%6.6%5.5%
Bid-Ask Spread %47.5526.7072.5826.7032.87
Gamma HHI0.310.130.840.270.28
Net GEX261.1K-9.2M17.3M3.2M-296.2K
Net DEX-22.0M-48.1M12.0M-30.6M-48.1M
Net VEX-173.2K-266.6K-89.2K-217.5K-89.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.018.010.580.01
Total Volume650.813310,1185710,118
Total OI18,226.76212,64324,36022,33014,320

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$117.29$116.006.2%1.8%4.8%29.2%6.1%1.6%0.1%3.2M-30.6M-217.5K0.5826.7036218,31214,018
2012-06-04$116.40$115.006.6%1.8%5.6%33.0%6.3%2.4%0.4%1.3M-18.5M-266.6K1.4859.72294310,32814,032
2012-06-05$116.15$115.006.2%1.8%5.6%28.8%6.6%2.1%0.4%-4.7M-2.6M-238.9K0.4058.6182338,35014,064
2012-06-06$115.81$115.005.9%1.7%5.6%25.6%6.5%1.8%0.2%-9.2M12.0M-236.1K0.4057.99193778,35314,087
2012-06-07$116.05$115.005.3%1.7%5.6%19.2%6.0%2.5%0.4%-7.1M2.4M-221.5K0.3754.3827108,35914,138
2012-06-08$116.48$115.005.3%1.7%5.8%19.8%7.5%1.8%0.5%-560.3K-10.6M-207.7K0.1968.42139268,37514,138
2012-06-11$116.46$115.006.2%1.8%5.7%29.0%6.4%1.5%0.1%2.0M-16.9M-196.5K0.3768.4465248,44614,150
2012-06-12$116.12$115.006.1%1.8%5.7%28.1%5.4%2.1%-0.1%-5.3M-2.7M-197.7K0.5454.482021108,49914,148
2012-06-13$116.54$115.003.9%1.6%5.9%3.3%6.2%3.8%0.3%6.9M-15.7M-180.1K0.3472.5867238,51514,203
2012-06-14$116.40$115.006.1%1.7%5.9%28.0%6.0%2.2%0.4%2.1M-12.9M-185.6K3.7168.707268,55114,206
2012-06-15$116.88$115.005.5%1.6%5.4%21.9%6.8%1.9%0.6%17.3M-30.1M-167.3K6.7969.76332248,55014,218
2012-06-18$116.83$115.005.5%1.6%5.2%21.3%5.2%1.8%0.7%-271.9K-24.5M-152.8K0.0736.80153115,7796,864
2012-06-19$116.72$115.005.2%1.5%5.2%18.0%5.3%1.6%0.8%170.8K-25.2M-152.3K0.8836.1740355,9326,871
2012-06-20$116.77$115.005.2%1.5%5.1%18.3%5.4%2.2%0.1%157.6K-26.7M-154.6K6.6938.6513875,9606,893
2012-06-21$116.95$115.005.1%1.5%5.0%16.9%6.2%2.0%0.6%205.8K-29.5M-148.8K2.0637.5731645,9686,946
2012-06-22$116.86$115.005.0%1.4%5.1%15.9%5.4%1.9%0.4%289.8K-28.9M-146.8K3.6035.2810365,9926,938
2012-06-25$117.16$115.005.2%1.5%5.1%17.7%6.6%2.2%0.2%375.7K-34.0M-125.5K0.1331.514666,0026,974
2012-06-26$117.28$115.005.1%1.5%5.1%17.0%6.6%1.9%0.4%472.0K-37.2M-118.5K8.0127.681271,0176,0136,974
2012-06-27$117.44$115.005.3%1.5%5.1%19.2%4.5%1.6%0.3%-1.0M-39.5M-117.4K0.4928.202171076,0457,983
2012-06-28$117.62$115.004.8%1.4%4.5%13.8%4.6%1.9%0.5%-573.7K-42.6M-115.0K4.7834.149436,2038,065
2012-06-29$117.59$115.004.5%1.3%4.4%10.9%10.4%1.5%0.3%-296.2K-48.1M-89.2K0.0132.8710,024946,2128,108