LQD Options History — August 2013

In August 2013, LQD traded between $110.94 and $113.97. ATM implied volatility averaged 7.1%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.0% (HV 20d: 7.1%). Max pain ranged from $113.00 to $119.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 16.98.

Notable Days

  • 2013-08-15: Highest Volume — 7,153 contracts
  • 2013-08-15: Largest IV spike — 37.2% change
  • 2013-08-19: Highest IV Rank — 76.8%
  • 2013-08-19: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.77$110.94$113.97$113.28$113.05
Max Pain$116.64$113.00$119.00$113.00$114.00
ATM IV7.1%5.2%8.5%7.3%7.7%
Expected Move2.1%1.9%2.4%2.1%2.2%
HV 20d7.1%5.9%9.2%9.2%6.8%
HV 60d8.8%8.7%8.9%8.7%8.8%
IV Rank56.4%30.9%76.8%59.8%64.9%
IV Percentile86.6%66.7%97.6%90.5%90.5%
Term Structure0.2%-0.3%0.8%0.1%0.2%
VWIV7.6%6.2%9.5%7.3%7.6%
Skew 25d1.7%0.2%2.7%0.2%1.4%
Skew 10d4.7%1.9%7.3%2.0%6.4%
Call IV 25d6.8%6.1%7.8%7.4%7.4%
Put IV 25d8.4%7.1%9.9%7.6%8.7%
Bid-Ask Spread %16.127.8525.9418.7711.96
Gamma HHI0.310.230.440.230.28
Net GEX-16.2M-27.7M-8.1M-11.3M-19.8M
Net DEX83.1M50.8M143.1M66.2M63.6M
Net VEX-233.7K-322.0K-141.4K-203.7K-260.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.980.0167.500.561.55
Total Volume1,292.182207,15386867
Total OI28,25523,16036,02523,32836,025

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$113.28$113.007.3%2.1%9.2%59.8%7.3%0.2%0.1%-11.3M66.2M-203.7K0.5618.7755315,29318,035
2013-08-02$113.84$113.006.6%1.9%8.0%50.1%6.6%1.4%-0.0%-11.6M55.1M-181.1K19.3318.2661165,29318,054
2013-08-05$113.41$119.006.7%2.0%7.7%51.9%6.6%1.0%0.1%-10.6M62.2M-188.0K0.0123.7736025,29417,866
2013-08-06$113.48$119.006.8%2.0%7.7%53.3%6.9%1.4%0.0%-9.7M61.6M-188.9K0.3122.0293295,55317,868
2013-08-07$113.73$119.006.3%2.0%7.6%46.0%6.9%1.7%-0.3%-8.9M57.7M-187.1K0.2525.941645,64117,897
2013-08-08$113.97$119.005.9%1.9%6.4%40.6%0.0%1.0%0.0%-8.3M50.8M-174.4K67.5025.4121355,64317,895
2013-08-09$113.97$119.005.5%2.0%6.3%35.4%6.2%1.6%0.4%-8.1M52.6M-172.4K1.8718.3423435,64517,960
2013-08-12$113.91$119.006.0%1.9%5.9%42.4%6.5%0.9%0.5%-8.2M51.7M-166.9K0.8917.8970625,65417,996
2013-08-13$113.10$119.005.2%1.9%6.3%30.9%7.9%1.2%0.5%-10.2M68.7M-173.2K0.0016.5303555,72218,056
2013-08-14$112.91$119.005.7%1.9%6.1%37.9%6.4%1.1%0.5%-8.9M63.8M-141.4K6.4313.8414905,72217,744
2013-08-15$112.11$119.007.9%2.3%6.5%67.4%8.8%2.2%-0.2%-12.8M86.2M-183.9K59.6218.241187,0355,72817,727
2013-08-16$111.55$119.008.0%2.3%6.2%69.0%8.0%2.1%0.5%-24.1M118.2M-269.8K35.9625.18802,8775,79523,742
2013-08-19$110.94$119.008.5%2.4%6.1%76.8%8.3%1.8%-0.2%-25.4M136.0M-287.2K2.7814.574521,2584,61624,172
2013-08-20$111.62$119.008.3%2.4%6.8%72.7%7.6%2.0%-0.2%-25.2M125.7M-292.1K0.567.852,5971,4564,93624,751
2013-08-21$110.95$114.008.5%2.4%6.9%76.0%9.1%2.3%-0.1%-26.2M143.1M-313.8K20.278.751002,0277,49325,787
2013-08-22$111.46$114.008.0%2.3%7.2%69.8%7.9%2.7%0.2%-27.7M135.6M-322.0K33.1018.00481,5897,59127,131
2013-08-23$112.21$114.007.0%2.0%7.7%55.4%7.2%2.1%0.8%-23.9M111.6M-311.6K38.9411.68542,1037,63727,271
2013-08-26$112.44$114.007.1%2.0%7.8%56.8%7.4%2.1%0.6%-20.6M87.6M-281.1K1.809.781372477,66725,243
2013-08-27$112.92$114.007.1%2.0%8.0%56.7%7.7%2.0%0.7%-16.6M68.9M-243.1K49.198.26422,0667,77325,142
2013-08-28$112.94$114.007.3%2.1%8.0%60.2%9.5%2.4%0.6%-18.9M79.7M-295.4K14.779.90921,3597,79426,853
2013-08-29$113.05$114.007.8%2.2%7.0%66.6%8.2%1.9%0.1%-19.3M80.7M-304.8K0.929.721661527,86228,043
2013-08-30$113.05$114.007.7%2.2%6.8%64.9%7.6%1.4%0.2%-19.8M63.6M-260.3K1.5511.963405277,91928,106