LQD Options History — May 2013

In May 2013, LQD traded between $117.85 and $122.31. ATM implied volatility averaged 4.8%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 0.2% (HV 20d: 5.0%). Max pain ranged from $122.00 to $125.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 23.03.

Notable Days

  • 2013-05-30: Highest Volume — 2,737 contracts
  • 2013-05-10: Largest IV spike — 17.5% change
  • 2013-05-30: Highest IV Rank — 90.1%
  • 2013-05-30: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.11$117.85$122.31$122.31$117.85
Max Pain$123.18$122.00$125.00$125.00$122.00
ATM IV4.8%3.9%6.2%4.1%6.0%
Expected Move1.4%1.1%1.8%1.2%1.7%
HV 20d5.0%2.8%6.5%3.2%6.5%
HV 60d4.2%3.4%5.0%3.4%5.0%
IV Rank48.4%24.5%90.1%29.2%85.7%
IV Percentile45.6%3.2%98.8%6.3%96.8%
Term Structure0.3%-0.2%1.1%0.7%-0.1%
VWIV5.1%3.5%6.6%4.1%5.8%
Skew 25d1.1%0.4%2.2%0.9%1.2%
Skew 10d2.1%-0.2%3.6%3.4%0.6%
Call IV 25d4.5%3.7%5.9%3.8%5.9%
Put IV 25d5.6%4.6%7.1%4.7%7.1%
Bid-Ask Spread %22.5617.7034.5625.0018.97
Gamma HHI0.230.180.250.240.18
Net GEX-4.7M-7.4M-2.4M-5.4M-7.0M
Net DEX34.2M10.1M52.1M12.4M49.4M
Net VEX-165.8K-207.1K-111.5K-202.8K-154.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.030.14272.700.710.14
Total Volume353.682332,7371931,814
Total OI16,706.36416,16917,33117,09316,303

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$122.31$125.004.1%1.2%3.2%29.2%4.1%0.9%0.7%-5.4M12.4M-202.8K0.7125.00113803,84413,249
2013-05-02$122.31$125.004.4%1.3%2.8%36.2%4.8%1.2%0.5%-4.5M10.1M-195.2K10.7323.23111183,89212,806
2013-05-03$121.16$125.003.9%1.1%4.5%24.5%3.5%0.7%1.1%-2.4M25.2M-180.4K4.0020.7711443,86912,898
2013-05-06$121.14$123.004.2%1.3%4.5%32.0%5.7%1.1%0.5%-2.5M26.6M-174.4K1.0334.5633343,87612,939
2013-05-07$121.05$123.004.5%1.3%4.5%38.3%4.4%1.0%0.6%-2.7M27.8M-171.9K1.6823.3431523,87912,957
2013-05-08$121.16$123.004.6%1.3%4.4%42.2%0.0%1.3%0.5%-2.5M28.1M-166.8K49.0019.731493,85712,955
2013-05-09$120.90$123.004.0%1.3%4.4%26.6%4.5%1.1%0.6%-2.8M29.2M-174.7K17.2919.9471213,85813,003
2013-05-10$120.27$123.004.7%1.3%4.4%44.8%5.0%1.3%0.5%-3.8M36.0M-159.3K5.8018.9610583,85813,052
2013-05-13$119.96$123.004.9%1.4%4.5%49.5%6.2%1.5%0.3%-4.6M40.8M-163.8K14.3820.22263743,86513,056
2013-05-14$119.64$123.004.5%1.4%4.5%38.8%4.9%0.9%0.4%-5.5M43.9M-166.3K19.7126.3271383,88913,352
2013-05-15$120.06$123.004.2%1.5%4.7%30.5%5.9%0.8%0.3%-5.1M39.2M-158.9K48.0021.1741923,89613,362
2013-05-16$120.61$123.004.9%1.4%5.0%48.5%5.6%2.2%-0.2%-4.1M34.8M-151.8K0.4829.4150243,89213,436
2013-05-17$120.09$123.005.0%1.4%5.1%52.7%5.5%0.9%0.2%-5.2M39.5M-161.1K5.2026.22201043,90913,422
2013-05-20$119.95$123.004.9%1.4%5.1%49.9%4.7%0.7%0.3%-4.5M28.7M-156.0K1.0021.9166663,90412,265
2013-05-21$120.40$123.005.0%1.4%5.3%52.0%4.8%1.5%-0.0%-3.7M23.8M-147.6K0.3919.57102403,93912,305
2013-05-22$119.45$123.005.2%1.5%5.9%56.9%5.3%0.8%0.1%-6.6M39.8M-202.5K11.3119.31161813,93612,321
2013-05-23$119.57$123.004.5%1.3%6.0%43.0%3.6%2.2%0.3%-6.6M40.6M-207.1K1.7324.6451883,94512,303
2013-05-24$119.49$123.004.9%1.4%5.7%54.0%5.0%1.4%0.4%-5.8M35.4M-142.5K38.0017.701383,89612,356
2013-05-28$118.34$123.005.3%1.5%6.4%66.2%5.6%0.6%0.5%-7.4M52.1M-186.8K3.1323.728253,89712,365
2013-05-29$118.29$123.005.6%1.6%6.4%72.6%6.6%0.7%0.4%-5.8M46.6M-111.5K0.1518.837251113,90512,373
2013-05-30$118.44$122.006.2%1.8%6.4%90.1%6.2%0.4%-0.2%-4.5M41.5M-111.6K272.7022.82102,7274,20112,455
2013-05-31$117.85$122.006.0%1.7%6.5%85.7%5.8%1.2%-0.1%-7.0M49.4M-154.3K0.1418.971,5872274,20712,096