LQD Options History — July 2013

In July 2013, LQD traded between $112.17 and $115.45. ATM implied volatility averaged 7.8%, placing in the 66.0% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 2.6% (HV 20d: 10.4%). Max pain ranged from $113.00 to $113.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.44.

Notable Days

  • 2013-07-12: Highest Volume — 4,097 contracts
  • 2013-07-05: Largest IV spike — 14.4% change
  • 2013-07-05: Highest IV Rank — 91.6%
  • 2013-07-05: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.20$112.17$115.45$113.58$114.54
Max Pain$113.00$113.00$113.00$113.00$113.00
ATM IV7.8%6.2%9.6%8.4%6.2%
Expected Move2.2%1.8%2.6%2.4%1.8%
HV 20d10.4%8.3%12.4%10.3%8.3%
HV 60d8.3%7.4%8.6%7.4%8.4%
IV Rank66.0%45.0%91.6%75.2%45.0%
IV Percentile92.8%83.7%99.6%98.0%83.7%
Term Structure-0.2%-0.6%0.3%-0.6%0.3%
VWIV8.3%7.2%9.6%8.8%9.6%
Skew 25d1.5%0.3%2.1%1.4%2.1%
Skew 10d3.6%2.0%5.7%2.6%5.4%
Call IV 25d7.2%5.6%8.2%7.8%5.6%
Put IV 25d8.7%7.4%10.2%9.2%7.7%
Bid-Ask Spread %18.4912.7737.8413.7419.35
Gamma HHI0.250.210.360.300.23
Net GEX-5.0M-7.2M-1.4M-4.3M-6.1M
Net DEX36.0M-749.5K79.1M37.7M37.3M
Net VEX-257.1K-353.0K-157.4K-321.6K-170.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.440.0123.120.398.79
Total Volume499.36494,097607509
Total OI28,643.72722,44534,48630,47723,916

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$113.58$113.008.4%2.4%10.3%75.2%8.8%1.4%-0.6%-4.3M37.7M-321.6K0.3913.7443717013,30417,173
2013-07-02$113.94$113.008.3%2.4%10.4%73.2%8.5%1.3%-0.2%-4.6M34.2M-353.0K3.7213.2411843913,53617,262
2013-07-03$113.61$113.008.4%2.4%10.4%74.9%8.4%0.9%-0.3%-4.3M37.3M-325.6K0.8015.685413,53517,579
2013-07-05$112.17$113.009.6%2.6%11.0%91.6%8.6%2.0%-0.4%-6.3M79.1M-339.8K1.0817.9816718013,53917,579
2013-07-08$113.09$113.009.3%2.5%11.5%87.8%9.5%2.1%-0.5%-6.4M58.5M-334.9K2.0416.319419213,61517,655
2013-07-09$113.19$113.008.9%2.5%11.6%81.4%8.7%1.7%-0.5%-6.5M51.0M-330.3K0.2316.801282913,61617,780
2013-07-10$112.86$113.008.7%2.5%11.6%78.6%8.9%2.1%-0.4%-7.0M58.8M-328.9K3.2412.915919113,66917,768
2013-07-11$114.19$113.008.2%2.3%12.4%71.6%8.6%1.7%-0.2%-6.0M26.8M-314.0K23.1214.33601,38713,68417,901
2013-07-12$113.87$113.007.8%2.2%11.7%66.9%8.4%1.8%-0.0%-7.2M33.0M-311.1K0.0114.824,0455213,72219,225
2013-07-15$114.60$113.007.5%2.2%12.0%62.8%0.0%1.6%0.2%-1.5M-749.5K-270.7K1.9615.65275315,26819,204
2013-07-16$114.43$113.008.0%2.3%12.0%69.9%8.4%1.3%-0.2%-1.4M411.1K-276.0K1.0915.69869415,28819,198
2013-07-17$114.86$113.007.7%2.2%12.1%64.8%8.3%1.3%-0.3%-6.2M22.5M-208.1K1.4012.77476611,34519,253
2013-07-18$114.56$113.007.5%2.2%11.0%62.6%7.7%1.4%-0.1%-5.0M25.0M-205.7K0.8918.0022820311,35719,257
2013-07-19$115.19$113.006.9%2.0%9.9%54.3%8.0%1.3%0.2%-3.5M18.8M-202.8K6.8418.632517111,37819,379
2013-07-22$115.45$113.006.8%2.0%9.3%52.9%7.9%1.4%0.2%-4.6M31.9M-189.4K1.9018.2251976,16516,280
2013-07-23$115.27$113.006.8%2.0%8.9%53.2%7.3%1.6%-0.0%-4.6M31.7M-186.0K8.6716.53121046,21616,335
2013-07-24$114.71$113.007.1%2.0%9.2%56.9%7.7%1.7%-0.3%-4.6M38.6M-196.4K3.2724.663131,0226,21316,407
2013-07-25$114.57$113.007.0%2.0%8.9%55.5%7.5%1.8%-0.3%-6.2M46.6M-215.3K2.3537.8417406,46717,414
2013-07-26$114.69$113.007.0%2.0%8.4%56.1%7.9%1.6%0.1%-5.8M43.1M-213.6K1.0026.3911116,48017,414
2013-07-29$114.50$113.007.5%2.2%8.4%63.1%7.4%1.0%-0.3%-5.8M44.3M-205.0K0.8819.99876,48917,402
2013-07-30$114.53$113.006.9%2.0%8.4%54.3%7.2%0.3%0.2%-2.4M35.6M-157.4K2.0027.189186,48717,408
2013-07-31$114.54$113.006.2%1.8%8.3%45.0%9.6%2.1%0.3%-6.1M37.3M-170.5K8.7919.35524576,49617,420