LQD Options History — November 2012

In November 2012, LQD traded between $121.54 and $122.48. ATM implied volatility averaged 4.6%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.5% (HV 20d: 4.1%). Max pain ranged from $122.00 to $123.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 6.51.

Notable Days

  • 2012-11-01: Highest Volume — 1,451 contracts
  • 2012-11-14: Largest IV drop — 13.6% change
  • 2012-11-13: Highest IV Rank — 30.0%
  • 2012-11-05: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.91$121.54$122.48$122.48$122.13
Max Pain$122.10$122.00$123.00$123.00$122.00
ATM IV4.6%4.1%4.9%4.5%4.5%
Expected Move1.4%1.2%1.6%1.3%1.3%
HV 20d4.1%3.1%4.4%4.0%3.1%
HV 60d4.3%3.8%4.6%4.6%3.8%
IV Rank25.0%17.1%30.0%23.4%24.6%
IV Percentile23.2%4.4%40.5%14.7%17.1%
Term Structure0.9%0.1%1.4%1.1%0.3%
VWIV5.1%4.1%7.4%4.1%4.7%
Skew 25d1.5%0.2%2.5%0.2%1.0%
Skew 10d2.7%0.5%5.3%0.9%0.9%
Call IV 25d4.2%2.9%5.1%3.6%4.1%
Put IV 25d5.7%3.8%6.9%3.8%5.1%
Bid-Ask Spread %15.048.5327.1114.1115.73
Gamma HHI0.290.170.390.390.37
Net GEX-6.4M-9.4M-4.4M-7.5M-9.4M
Net DEX18.8M14.4M22.8M19.9M14.4M
Net VEX-86.3K-107.7K-67.1K-105.5K-67.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.510.3626.3316.271.88
Total Volume281.571221,4511,45149
Total OI8,488.2387,1639,4278,5999,427

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$122.48$123.004.5%1.3%4.0%23.4%4.1%0.2%1.1%-7.5M19.9M-105.5K16.2714.11841,3673688,231
2012-11-02$122.24$123.004.3%1.2%4.1%19.7%4.2%0.3%1.1%-7.8M22.8M-107.7K3.2613.69912974208,417
2012-11-05$122.30$122.004.6%1.6%4.1%24.8%7.4%2.0%1.0%-4.7M16.7M-82.2K8.569.45363084866,677
2012-11-06$121.71$122.004.6%1.5%4.4%25.0%6.5%1.7%1.1%-5.1M19.7M-83.9K4.0324.00612465006,811
2012-11-07$121.96$122.004.5%1.5%4.4%23.1%6.9%1.5%1.2%-4.4M16.8M-80.3K5.7727.11261505546,834
2012-11-08$121.84$122.004.3%1.5%4.4%20.8%5.2%1.9%1.3%-4.8M18.7M-83.6K3.2220.58551775766,941
2012-11-09$121.54$122.004.1%1.5%4.4%17.1%5.1%1.7%1.3%-5.2M20.7M-85.3K20.4718.08173486087,042
2012-11-12$121.56$122.004.4%1.4%4.2%21.4%4.7%1.7%1.4%-5.2M20.3M-83.0K1.6623.54681136137,293
2012-11-13$121.61$122.004.9%1.5%4.2%30.0%4.9%1.1%1.3%-5.0M19.1M-79.3K0.4010.34119486527,331
2012-11-14$121.86$122.004.3%1.4%4.1%19.7%5.2%1.7%1.4%-4.5M16.5M-76.4K0.3612.21105387317,300
2012-11-15$121.62$122.004.8%1.4%4.1%27.9%5.0%1.7%1.3%-4.7M17.7M-81.9K8.4419.309768107,242
2012-11-16$121.66$122.004.9%1.4%4.1%29.4%5.4%1.3%1.1%-4.4M17.1M-79.6K11.2114.061181,3238197,252
2012-11-19$122.04$122.004.9%1.4%4.2%29.8%5.1%1.6%0.1%-7.5M19.7M-93.7K0.7812.0668537578,301
2012-11-20$121.66$122.004.6%1.3%4.3%25.4%4.4%1.3%0.7%-8.4M21.5M-95.9K4.3919.12281238188,354
2012-11-21$121.75$122.004.6%1.3%4.3%24.7%4.6%2.3%0.5%-8.1M21.4M-93.5K2.2410.4917388368,431
2012-11-23$121.80$122.004.8%1.4%4.2%27.1%5.2%2.5%0.6%-7.9M21.0M-94.7K26.3310.953798478,460
2012-11-26$122.00$122.004.9%1.4%4.2%29.0%4.8%1.3%0.2%-7.3M17.1M-78.2K3.6314.4116588488,478
2012-11-27$122.07$122.004.9%1.4%4.0%29.2%4.8%1.3%0.4%-7.8M18.2M-85.0K11.258.694458478,531
2012-11-28$122.05$122.004.8%1.4%3.6%28.0%5.0%1.4%0.2%-7.7M18.4M-89.9K2.149.407158518,550
2012-11-29$122.14$122.004.5%1.3%3.4%24.5%4.7%1.6%0.4%-7.8M18.0M-85.0K0.368.532288528,557
2012-11-30$122.13$122.004.5%1.3%3.1%24.6%4.7%1.0%0.3%-9.4M14.4M-67.1K1.8815.7317328748,553