LQD Options History — April 2013

In April 2013, LQD traded between $119.35 and $122.34. ATM implied volatility averaged 4.7%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.9% (HV 20d: 3.8%). Max pain ranged from $119.00 to $121.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 38.44.

Notable Days

  • 2013-04-29: Highest Volume — 3,619 contracts
  • 2013-04-30: Largest IV drop — 16.9% change
  • 2013-04-12: Highest IV Rank — 59.0%
  • 2013-04-12: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.21$119.35$122.34$119.36$122.13
Max Pain$119.68$119.00$121.00$119.00$121.00
ATM IV4.7%3.8%5.3%4.8%3.8%
Expected Move1.4%1.1%1.5%1.4%1.1%
HV 20d3.8%3.3%4.1%3.5%3.4%
HV 60d3.7%3.4%3.9%3.6%3.5%
IV Rank43.6%21.9%59.0%45.8%21.9%
IV Percentile35.7%2.4%73.4%39.3%2.4%
Term Structure0.2%-0.2%1.0%0.4%0.3%
VWIV4.8%3.2%6.0%4.6%3.2%
Skew 25d1.6%0.9%2.6%0.9%2.0%
Skew 10d2.3%1.4%4.3%1.8%2.3%
Call IV 25d3.7%2.8%4.5%4.0%3.1%
Put IV 25d5.3%4.7%5.9%4.9%5.1%
Bid-Ask Spread %20.8916.1032.7916.8418.44
Gamma HHI0.330.260.560.520.32
Net GEX-2.2M-5.6M2.5M-5.6M-103.9K
Net DEX10.7M-4.4M20.1M20.1M245.2K
Net VEX-116.5K-195.8K-85.6K-94.1K-195.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio38.440.03602.170.0937.47
Total Volume552.682203,6191671,154
Total OI11,599.5459,77816,7659,77816,765

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$119.36$119.004.8%1.4%3.5%45.8%4.6%0.9%0.4%-5.6M20.1M-94.1K0.0916.84153141,6988,080
2013-04-02$119.35$119.004.8%1.4%3.5%46.9%4.2%1.1%0.3%-5.5M19.3M-86.6K0.6016.44102611,8008,088
2013-04-03$119.83$119.004.6%1.3%3.8%43.0%4.7%2.1%-0.2%-3.7M18.4M-87.9K0.1716.1060101,7998,139
2013-04-04$120.47$119.005.1%1.5%4.1%54.2%4.6%1.4%0.2%-2.7M12.6M-85.6K36.0022.26381,3681,7848,144
2013-04-05$120.84$119.004.5%1.4%3.9%40.6%5.6%1.5%0.1%-3.3M15.4M-126.2K3.7416.782077751,8069,412
2013-04-08$120.95$119.004.5%1.4%3.6%39.8%0.0%1.1%-0.0%-3.0M13.5M-115.6K1.6325.5719311,84310,177
2013-04-09$121.07$119.004.4%1.4%3.6%37.5%4.8%1.0%0.4%-1.5M12.3M-113.4K0.2017.0384171,83610,176
2013-04-10$120.75$119.004.8%1.4%3.8%45.8%5.1%1.4%0.2%-2.7M14.8M-114.4K13.0019.4281041,88010,184
2013-04-11$120.83$120.005.0%1.4%3.7%52.8%5.0%0.9%0.2%-1.5M13.9M-113.1K0.0024.690391,87410,254
2013-04-12$121.43$120.005.3%1.5%4.0%59.0%5.1%1.8%-0.0%-2.3M9.1M-110.2K3.0022.025151,87410,256
2013-04-15$121.47$120.005.1%1.5%4.0%56.0%4.4%1.8%0.1%-2.5M9.2M-112.8K3.9524.0119751,87510,271
2013-04-16$121.25$120.005.0%1.4%4.1%51.1%5.9%1.0%0.2%-2.3M10.4M-112.1K0.0018.060281,86010,285
2013-04-17$121.42$120.005.0%1.4%4.1%51.0%6.0%1.6%-0.1%-2.3M9.5M-109.0K0.3824.55174661,86010,303
2013-04-18$121.53$120.004.7%1.4%3.9%45.1%4.4%1.9%0.5%-2.3M8.1M-106.3K17.0018.124681,90410,256
2013-04-19$121.71$120.004.7%1.3%3.9%44.5%4.6%1.5%0.3%-2.6M7.1M-104.7K15.1316.3681211,90510,293
2013-04-22$121.75$120.004.1%1.2%3.8%29.8%4.5%1.8%1.0%-2.4M12.8M-101.6K2.5320.8617431,3478,476
2013-04-23$121.91$120.004.5%1.3%3.8%39.3%0.0%1.9%0.4%-2.3M11.5M-98.8K8.0032.7912961,3578,518
2013-04-24$121.96$120.004.4%1.3%3.8%37.7%4.5%1.9%0.0%-2.4M11.8M-100.9K21.8325.2361311,3638,602
2013-04-25$121.89$120.004.5%1.3%3.8%38.6%0.0%1.7%0.4%-2.5M12.2M-102.6K0.0316.653,2111021,3668,707
2013-04-26$122.33$120.004.4%1.3%3.8%36.2%5.1%2.6%0.4%2.1M-2.9M-187.0K1.7923.6134614,5778,794
2013-04-29$122.34$120.004.6%1.3%3.3%42.2%4.7%1.9%0.2%2.5M-4.4M-183.7K602.1723.6763,6134,5848,818
2013-04-30$122.13$121.003.8%1.1%3.4%21.9%3.2%2.0%0.3%-103.9K245.2K-195.8K37.4718.44301,1244,58612,179