LQD Options History — June 2013

In June 2013, LQD traded between $111.48 and $117.18. ATM implied volatility averaged 7.7%, placing in the 92.9% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 0.0% (HV 20d: 7.7%). Max pain ranged from $113.00 to $122.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 190.69.

Notable Days

  • 2013-06-21: Highest Volume — 10,522 contracts
  • 2013-06-24: Largest IV spike — 20.0% change
  • 2013-06-03: Highest IV Rank — 100.0%
  • 2013-06-24: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.10$111.48$117.18$117.18$113.65
Max Pain$116.65$113.00$122.00$122.00$113.00
ATM IV7.7%6.7%10.2%6.9%7.8%
Expected Move2.2%1.9%2.9%2.0%2.2%
HV 20d7.7%6.0%10.5%6.0%10.4%
HV 60d6.0%5.1%7.5%5.1%7.4%
IV Rank92.9%66.7%100.0%100.0%66.7%
IV Percentile99.2%96.8%100.0%100.0%97.6%
Term Structure-0.2%-0.6%0.2%-0.0%-0.6%
VWIV7.6%6.1%9.9%6.8%7.9%
Skew 25d1.3%0.3%2.1%0.4%0.7%
Skew 10d2.8%0.9%5.4%1.6%1.7%
Call IV 25d7.2%6.4%9.3%6.4%7.9%
Put IV 25d8.5%6.9%11.1%6.9%8.6%
Bid-Ask Spread %20.969.6435.7122.2516.31
Gamma HHI0.260.150.600.160.17
Net GEX-7.4M-35.8M496.4K-3.0M-4.1M
Net DEX74.0M31.7M170.1M51.7M31.7M
Net VEX-233.6K-359.2K-145.2K-200.4K-325.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio190.690.193715.001.174.10
Total Volume2,057.89710,522228832
Total OI26,039.117,91630,85617,95030,014

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$117.18$122.006.9%2.0%6.0%100.0%6.8%0.4%-0.0%-3.0M51.7M-200.4K1.1722.251051235,74412,206
2013-06-04$116.72$122.006.7%1.9%6.1%94.9%6.6%0.4%0.2%-2.8M54.9M-190.1K4.8621.58351705,83812,078
2013-06-05$116.55$122.007.0%2.0%6.1%100.0%6.9%0.4%-0.1%-2.8M57.3M-181.2K3715.0021.1113,7155,85012,145
2013-06-06$117.05$122.007.1%2.0%6.4%100.0%6.1%0.3%-0.3%-3.8M53.4M-196.8K0.2819.051,7985015,85115,692
2013-06-07$116.59$117.007.2%2.0%6.4%100.0%6.8%0.9%-0.0%496.4K44.2M-145.2K0.2835.71243687,47015,532
2013-06-10$116.23$117.007.2%2.0%6.3%100.0%6.7%1.4%-0.3%-685.2K57.7M-190.0K2.1633.71551197,70915,274
2013-06-11$116.01$116.007.3%2.1%6.3%100.0%6.5%1.8%-0.3%-1.9M59.7M-194.8K11.6419.154415,1327,72915,312
2013-06-12$115.61$117.007.5%2.0%6.3%100.0%6.8%1.5%-0.1%-19.6M90.8M-271.3K0.6724.20123837,83220,370
2013-06-13$116.85$116.007.1%2.0%7.5%91.0%7.5%1.8%-0.3%-6.3M48.5M-158.2K5.2027.81301567,92820,437
2013-06-14$116.77$116.007.0%2.0%7.2%89.0%7.2%1.5%-0.0%-6.6M55.8M-222.8K6.5219.38845487,94820,464
2013-06-17$116.60$117.007.0%2.0%7.1%89.0%7.2%1.5%-0.1%-8.4M61.1M-213.3K2.8823.46832398,00220,774
2013-06-18$116.37$117.007.4%2.1%7.1%97.9%0.0%1.7%-0.2%-10.5M65.3M-205.8K0.9824.4249488,01220,833
2013-06-19$114.72$117.007.4%2.1%8.2%99.0%8.9%1.9%0.0%-35.8M119.5M-234.7K18.2023.271172,1298,03120,857
2013-06-20$113.14$116.008.5%2.4%8.9%100.0%8.9%1.5%0.1%-10.9M161.7M-222.1K3.2119.712788938,06222,202
2013-06-21$112.21$114.008.5%2.4%9.0%100.0%8.7%1.0%-0.0%-9.8M170.1M-218.9K24.2317.8541710,1058,31522,541
2013-06-24$111.48$113.0010.2%2.9%9.0%100.0%9.9%1.8%-0.6%-11.2M107.2M-272.3K0.199.646,1781,1937,79716,063
2013-06-25$111.85$113.009.1%2.6%9.0%84.5%8.6%2.1%-0.5%-4.9M85.2M-348.5K2.1111.8840986513,35416,523
2013-06-26$112.70$113.008.5%2.4%9.7%75.9%8.2%1.6%-0.2%-4.4M64.7M-359.2K9.5813.653293,15313,51316,505
2013-06-27$113.72$113.008.1%2.3%10.5%70.5%8.6%1.5%-0.2%-1.9M38.8M-320.9K0.5915.0719411513,44016,535
2013-06-28$113.65$113.007.8%2.2%10.4%66.7%7.9%0.7%-0.6%-4.1M31.7M-325.7K4.1016.3116366913,46216,552