LQD Options History — January 2013

In January 2013, LQD traded between $119.33 and $121.27. ATM implied volatility averaged 4.7%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.7% (HV 20d: 3.9%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 29.00.

Notable Days

  • 2013-01-25: Highest Volume — 1,846 contracts
  • 2013-01-25: Largest IV spike — 25.7% change
  • 2013-01-30: Highest IV Rank — 60.5%
  • 2013-01-30: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.53$119.33$121.27$121.27$119.42
Max Pain$120.86$120.00$121.00$121.00$121.00
ATM IV4.7%4.1%5.3%4.7%5.1%
Expected Move1.4%1.2%1.5%1.3%1.5%
HV 20d3.9%3.2%4.4%4.0%3.2%
HV 60d3.7%3.4%3.9%3.7%3.4%
IV Rank43.1%27.4%60.5%43.6%53.6%
IV Percentile33.6%4.4%71.8%31.3%57.9%
Term Structure0.3%-0.4%1.0%0.6%0.3%
VWIV4.8%3.7%5.7%4.7%4.6%
Skew 25d1.6%0.9%2.5%1.1%1.5%
Skew 10d2.7%1.2%5.0%3.2%3.9%
Call IV 25d4.1%3.2%4.7%4.2%4.7%
Put IV 25d5.8%5.3%6.5%5.3%6.2%
Bid-Ask Spread %21.2114.2628.6720.4220.42
Gamma HHI0.410.250.510.460.51
Net GEX-7.6M-23.3M-3.7M-5.0M-23.3M
Net DEX28.3M19.1M54.6M19.1M54.6M
Net VEX-101.0K-137.1K-84.1K-93.9K-137.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio29.000.00339.005.790.07
Total Volume385.19201,846258570
Total OI12,473.14311,45815,72611,45815,726

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$121.27$121.004.7%1.3%4.0%43.6%4.7%1.1%0.6%-5.0M19.1M-93.9K5.7920.42382201,19810,260
2013-01-03$120.61$121.004.5%1.3%4.4%38.5%4.9%1.5%0.4%-6.6M24.7M-94.7K1.3616.3267911,23210,415
2013-01-04$120.55$120.004.1%1.4%4.3%28.5%5.1%1.5%0.1%-7.2M25.0M-101.5K0.2526.51162401,28310,460
2013-01-07$120.75$120.004.2%1.4%4.4%30.0%5.5%1.9%0.2%-6.7M22.3M-95.1K0.0020.573801,39910,479
2013-01-08$120.86$120.004.1%1.4%4.4%27.4%4.4%2.0%0.1%-6.3M21.6M-94.7K4.7520.954191,40210,479
2013-01-09$120.82$121.004.6%1.4%4.3%40.8%5.7%1.4%0.1%-6.3M21.7M-93.7K13.0023.362261,40410,487
2013-01-10$120.88$121.005.0%1.4%4.2%51.6%4.8%1.0%0.4%-6.4M21.8M-90.1K48.0024.5831441,40410,502
2013-01-11$121.10$121.005.0%1.4%4.1%50.2%5.5%1.7%0.4%-5.7M20.4M-89.5K3.0021.005151,40710,622
2013-01-14$120.86$121.004.9%1.4%4.1%48.1%4.2%1.1%0.3%-5.8M20.3M-84.1K339.0027.8213391,41210,633
2013-01-15$120.76$121.004.7%1.4%4.1%44.3%4.7%0.9%0.1%-8.0M22.9M-86.5K25.6028.6751281,41310,953
2013-01-16$120.76$121.004.8%1.4%4.0%46.4%4.7%1.1%0.1%-7.0M22.5M-88.6K2.0428.51761551,41811,025
2013-01-17$120.55$121.004.6%1.3%3.9%40.9%5.3%2.1%0.8%-8.6M25.8M-89.2K0.0024.7803711,41210,963
2013-01-18$120.67$121.004.6%1.3%3.7%40.4%3.9%2.5%1.0%-9.0M26.1M-95.6K0.4620.402321071,41211,155
2013-01-22$120.67$121.004.3%1.2%3.6%34.5%4.5%2.0%0.4%-4.0M23.7M-99.3K4.8415.79582811,42910,036
2013-01-23$120.82$121.004.4%1.3%3.6%36.7%4.0%2.3%0.3%-3.9M23.4M-100.6K0.8221.6962511,48510,276
2013-01-24$120.65$121.004.2%1.2%3.6%30.0%3.7%2.2%0.9%-3.7M24.5M-100.8K13.0217.17465991,54610,323
2013-01-25$120.10$121.005.2%1.5%3.9%57.5%5.4%1.1%-0.4%-5.3M32.0M-104.1K75.9217.68241,8221,59210,610
2013-01-28$120.00$121.005.1%1.5%3.7%53.1%5.0%1.7%0.5%-9.6M42.4M-125.7K11.4015.27455131,61512,306
2013-01-29$119.73$121.004.9%1.4%3.6%49.0%4.0%1.8%-0.0%-11.0M46.9M-129.7K1.7214.261232111,63212,708
2013-01-30$119.33$121.005.3%1.5%3.3%60.5%5.3%2.0%0.2%-10.6M51.8M-126.9K0.0019.3201,3961,67712,746
2013-01-31$119.42$121.005.1%1.5%3.2%53.6%4.6%1.5%0.3%-23.3M54.6M-137.1K0.0720.42535351,67714,049