LQD Options History — August 2012

In August 2012, LQD traded between $118.30 and $120.84. ATM implied volatility averaged 4.7%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 0.2% (HV 20d: 4.9%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.40.

Notable Days

  • 2012-08-09: Highest Volume — 508 contracts
  • 2012-08-16: Largest IV spike — 31.7% change
  • 2012-08-16: Highest IV Rank — 29.3%
  • 2012-08-08: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.78$118.30$120.84$120.76$120.83
Max Pain$120.52$120.00$121.00$121.00$120.00
ATM IV4.7%3.1%5.7%4.9%3.1%
Expected Move1.4%0.9%1.8%1.4%0.9%
HV 20d4.9%4.4%5.5%4.4%5.2%
HV 60d4.5%4.1%4.7%4.5%4.3%
IV Rank15.5%0.0%29.3%14.5%0.0%
IV Percentile18.1%0.0%57.5%19.4%0.0%
Term Structure0.8%0.1%1.4%0.7%0.8%
VWIV5.4%2.9%6.6%5.1%2.9%
Skew 25d2.2%0.1%3.1%2.3%1.6%
Skew 10d4.1%0.5%6.6%2.0%3.1%
Call IV 25d4.3%2.9%5.6%3.9%3.0%
Put IV 25d6.4%4.5%7.9%6.2%4.6%
Bid-Ask Spread %38.088.9273.0927.1313.35
Gamma HHI0.230.210.250.220.24
Net GEX-4.9M-7.2M-3.8M-4.4M-3.8M
Net DEX19.1M1.9M31.6M14.1M1.9M
Net VEX-103.3K-114.8K-54.2K-96.9K-54.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.2014.001.400.20
Total Volume24315508266450
Total OI6,703.875,8767,1315,8767,108

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$120.76$121.004.9%1.4%4.4%14.5%5.1%2.3%0.7%-4.4M14.1M-96.9K1.4027.131111555795,297
2012-08-02$120.84$121.005.0%1.4%4.4%15.7%4.9%1.2%0.6%-4.0M14.3M-101.0K0.6317.60114726325,359
2012-08-03$120.55$121.004.7%1.4%4.5%12.9%5.3%0.1%0.3%-4.3M15.5M-100.5K1.3032.38861126915,400
2012-08-06$120.71$121.005.1%1.5%4.5%16.7%5.4%2.4%1.2%-4.1M14.8M-101.2K0.9461.8534327385,455
2012-08-07$120.08$121.005.4%1.6%5.0%20.2%6.1%2.3%1.2%-5.3M19.5M-106.6K11.3258.46384307695,483
2012-08-08$119.74$121.005.0%1.8%5.1%18.9%6.4%2.0%0.7%-5.6M21.9M-108.5K0.4261.23179767825,673
2012-08-09$119.66$121.004.6%1.7%4.9%12.9%6.3%2.4%0.7%-5.7M22.8M-108.3K4.6462.49904187985,695
2012-08-10$120.00$121.004.5%1.6%5.0%12.5%6.2%2.0%1.0%-6.5M22.0M-113.0K4.5565.02713238565,994
2012-08-13$119.75$121.004.3%1.5%4.9%10.5%5.3%2.1%1.3%-7.2M23.9M-114.8K0.7865.1027218866,245
2012-08-14$119.21$121.004.4%1.6%5.2%11.1%5.7%1.8%0.9%-6.4M28.3M-112.2K7.5362.95533999056,194
2012-08-15$118.65$121.004.3%1.4%4.9%10.7%5.5%2.0%1.4%-6.2M30.1M-110.9K6.7562.33563789456,106
2012-08-16$118.30$121.005.7%1.6%4.9%29.3%5.9%2.8%0.9%-5.8M31.6M-104.9K1.9573.091152249635,966
2012-08-17$118.46$120.005.6%1.6%4.9%27.5%5.0%2.7%0.8%-5.4M30.2M-106.8K2.8564.68411171,0645,957
2012-08-20$118.79$120.005.2%1.5%5.0%21.6%5.9%2.5%0.3%-4.9M24.5M-104.9K0.8115.342371918845,567
2012-08-21$118.99$120.004.9%1.4%5.0%17.9%5.0%2.2%0.9%-4.5M22.6M-106.4K0.5129.4041211,1095,636
2012-08-22$119.67$120.004.4%1.3%5.5%10.9%4.9%3.0%1.1%-4.1M17.3M-108.1K0.9918.251431411,1115,638
2012-08-23$119.76$120.004.7%1.3%5.4%15.0%5.3%3.1%0.4%-4.0M15.5M-107.5K7.888.928631,1695,680
2012-08-24$119.89$120.004.8%1.4%5.2%20.7%5.2%3.0%0.6%-3.8M13.8M-102.7K14.0010.521141,1695,709
2012-08-27$120.04$120.004.5%1.3%5.1%15.5%6.6%2.1%0.5%-3.9M13.3M-102.2K4.4415.05391731,1705,716
2012-08-28$120.21$120.004.5%1.3%4.8%16.3%6.0%1.6%0.1%-3.9M12.4M-98.8K0.9713.7876741,1845,789
2012-08-29$119.96$120.004.3%1.2%4.6%12.1%4.9%3.0%1.0%-4.1M14.7M-101.8K1.9116.3735671,1965,837
2012-08-30$120.00$120.004.3%1.2%4.6%12.1%4.5%1.4%0.7%-3.9M15.4M-104.7K1.3920.6418251,2215,864
2012-08-31$120.83$120.003.1%0.9%5.2%0.0%2.9%1.6%0.8%-3.8M1.9M-54.2K0.2013.35374761,2375,871