LQD Options History — October 2012

In October 2012, LQD traded between $121.54 and $123.13. ATM implied volatility averaged 4.7%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.4% (HV 20d: 3.3%). Max pain ranged from $120.00 to $122.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 26.85.

Notable Days

  • 2012-10-19: Highest Volume — 2,632 contracts
  • 2012-10-08: Largest IV spike — 34.1% change
  • 2012-10-18: Highest IV Rank — 38.5%
  • 2012-10-18: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.37$121.54$123.13$121.71$123.02
Max Pain$121.62$120.00$122.00$121.00$122.00
ATM IV4.7%3.0%5.5%4.2%4.4%
Expected Move1.4%1.1%1.6%1.2%1.3%
HV 20d3.3%2.3%4.7%4.7%3.6%
HV 60d4.6%4.4%4.8%4.8%4.5%
IV Rank26.1%0.0%38.5%16.6%21.9%
IV Percentile30.2%0.0%63.9%3.6%11.5%
Term Structure0.5%-0.1%1.1%1.1%0.7%
VWIV5.2%3.9%6.6%4.2%4.3%
Skew 25d1.2%0.1%2.2%0.5%1.5%
Skew 10d2.3%-1.2%5.6%1.0%5.6%
Call IV 25d4.6%3.0%5.6%4.3%3.7%
Put IV 25d5.7%4.4%6.5%4.8%5.2%
Bid-Ask Spread %28.478.3194.1994.1993.18
Gamma HHI0.260.150.480.200.48
Net GEX-2.3M-7.3M-550.2K-1.6M-7.3M
Net DEX3.7M-3.6M19.6M1.0M7.3M
Net VEX-55.6K-111.5K-31.6K-39.1K-65.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.850.38223.000.48166.31
Total Volume422.238302,6321762,175
Total OI6,434.9525,2028,9995,2028,999

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$121.71$121.004.2%1.2%4.7%16.6%4.2%0.5%1.1%-1.6M1.0M-39.1K0.4894.19119576364,566
2012-10-02$121.75$121.004.0%1.2%4.2%14.6%4.6%0.6%0.9%-1.8M1.3M-40.9K0.3817.2740157144,614
2012-10-03$121.83$121.004.1%1.2%4.2%16.4%3.9%0.1%0.9%-1.7M1.2M-42.3K27.2013.0451367544,627
2012-10-04$121.73$121.003.7%1.1%3.8%10.0%3.9%1.4%1.1%-1.6M984.8K-42.8K2.068.3117357594,673
2012-10-05$121.54$120.003.0%1.4%3.8%0.0%4.8%1.4%0.5%-1.4M1.4M-42.7K0.4420.66144637754,708
2012-10-08$121.86$120.004.0%1.4%3.9%15.7%5.6%1.3%0.3%-1.5M2.6M-59.0K1.9720.39631248644,732
2012-10-09$121.99$122.004.7%1.5%3.9%26.5%0.0%1.7%0.1%-1.5M2.6M-56.8K3.9524.8119758704,842
2012-10-10$122.21$122.004.7%1.5%3.8%25.7%5.7%1.6%0.4%-1.4M2.6M-55.6K3.6522.7723848704,915
2012-10-11$122.61$122.004.5%1.3%3.5%23.6%6.6%1.8%0.6%-583.4K-1.4M-36.5K18.6723.673568754,983
2012-10-12$122.75$122.004.8%1.4%2.4%27.8%5.1%1.1%0.2%-550.2K-2.1M-34.6K0.7624.7417138755,015
2012-10-15$123.13$122.005.3%1.5%2.3%35.9%5.7%1.5%0.1%-769.7K-3.6M-31.6K1.2322.3635438805,017
2012-10-16$123.05$122.005.3%1.5%2.3%34.8%4.8%1.1%0.7%-911.5K-3.3M-32.7K5.8324.126358945,016
2012-10-17$122.81$122.005.5%1.6%2.5%37.9%5.8%0.5%-0.1%-618.4K-2.8M-31.8K1.3917.882233098945,051
2012-10-18$122.58$122.005.5%1.6%2.7%38.5%5.9%0.5%0.1%-581.3K-592.4K-39.4K9.5829.82121159945,247
2012-10-19$122.80$122.005.3%1.5%2.7%36.4%5.5%0.4%-0.1%-1.0M-1.6M-39.0K45.1832.31572,5759875,281
2012-10-22$122.51$122.005.4%1.5%2.9%36.6%5.9%1.0%0.5%-4.4M10.8M-79.6K24.8621.36225477446,774
2012-10-23$122.72$122.004.9%1.4%2.9%30.1%5.3%1.3%0.7%-4.3M11.1M-86.0K3.2021.04501607626,882
2012-10-24$122.39$122.005.5%1.6%3.0%38.5%0.0%1.5%0.1%-4.6M13.2M-92.7K223.0022.9636697797,021
2012-10-25$122.04$122.005.0%1.4%3.2%31.1%5.5%1.2%0.5%-5.4M19.6M-107.9K21.3024.79204267817,654
2012-10-26$122.64$122.004.9%1.4%3.5%29.6%5.5%2.2%0.4%-5.5M18.1M-111.5K2.4218.14811967988,012
2012-10-31$123.02$122.004.4%1.3%3.6%21.9%4.3%1.5%0.7%-7.3M7.3M-65.6K166.3193.18132,1628138,186