LQD Options History — October 2013

In October 2013, LQD traded between $113.04 and $115.59. ATM implied volatility averaged 6.4%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.4% (HV 20d: 6.0%). Max pain ranged from $113.00 to $115.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 3.50.

Notable Days

  • 2013-10-29: Highest Volume — 3,048 contracts
  • 2013-10-30: Largest IV spike — 24.9% change
  • 2013-10-09: Highest IV Rank — 63.3%
  • 2013-10-09: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.31$113.04$115.59$113.04$115.20
Max Pain$113.70$113.00$115.00$113.00$115.00
ATM IV6.4%4.6%7.6%7.0%5.1%
Expected Move1.8%1.3%2.1%2.0%1.5%
HV 20d6.0%4.7%7.9%7.9%4.8%
HV 60d7.0%6.7%7.5%7.5%6.7%
IV Rank45.7%19.6%63.3%55.1%26.5%
IV Percentile67.3%24.6%84.9%75.8%47.6%
Term Structure0.3%-0.1%1.0%0.2%0.5%
VWIV7.0%5.1%9.1%7.0%5.1%
Skew 25d1.9%1.4%2.4%1.9%1.4%
Skew 10d4.9%3.3%6.7%6.7%4.6%
Call IV 25d5.7%4.2%6.7%6.3%4.6%
Put IV 25d7.6%6.0%8.6%8.2%6.0%
Bid-Ask Spread %29.4815.5843.3415.5826.77
Gamma HHI0.280.200.410.270.31
Net GEX-4.6M-9.5M990.7K-9.5M-9.2M
Net DEX16.7M1.2M31.2M31.2M10.8M
Net VEX-118.9K-154.5K-99.4K-149.5K-126.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.500.0015.450.9515.45
Total Volume407.43503,04841839
Total OI15,343.6098,55019,10617,76612,886

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$113.04$113.007.0%2.0%7.9%55.1%7.0%1.9%0.2%-9.5M31.2M-149.5K0.9515.5821202,37315,393
2013-10-02$113.38$113.006.8%1.9%7.8%52.0%6.4%1.4%0.6%-6.5M22.0M-129.0K0.0821.19353292,37515,408
2013-10-03$113.44$113.006.9%2.0%7.1%53.7%0.0%1.7%0.5%-7.0M23.9M-144.7K0.0021.63002,63615,425
2013-10-04$113.33$113.006.4%2.0%7.1%47.5%6.4%2.0%0.5%-6.3M19.6M-117.9K0.0524.013822,63615,425
2013-10-07$113.53$113.007.2%2.0%7.1%58.8%9.1%1.9%0.1%-4.9M19.1M-123.7K2.2634.22541222,64615,425
2013-10-08$113.51$113.007.3%2.1%6.8%59.7%0.0%1.9%0.1%-4.8M18.3M-120.5K0.0034.65602,70015,519
2013-10-09$113.27$113.007.6%2.1%6.8%63.3%8.5%2.1%0.3%-4.6M20.0M-119.4K8.2237.629742,69415,519
2013-10-10$113.43$113.007.4%2.1%6.8%59.2%7.3%2.2%0.3%-5.4M20.3M-119.7K6.6037.0510662,69415,560
2013-10-11$113.58$113.006.8%1.9%6.8%50.2%7.4%2.0%0.4%-3.0M18.0M-115.4K1.8835.0140752,69315,617
2013-10-14$113.23$113.007.3%2.1%6.9%57.5%7.3%1.6%-0.0%-1.1M19.6M-99.4K2.7036.032356342,72415,672
2013-10-15$113.25$113.006.9%2.0%6.9%52.3%7.3%1.9%0.1%-1.5M21.8M-112.2K3.4032.3110342,86716,199
2013-10-16$114.09$113.007.0%2.0%5.2%53.8%6.1%1.9%0.5%990.7K12.1M-108.0K0.1636.74128212,86716,218
2013-10-17$114.93$113.006.5%1.9%5.2%46.6%7.7%2.1%0.0%-1.7M2.5M-105.3K1.1528.612733142,95116,118
2013-10-18$115.08$113.006.3%1.8%5.2%43.9%6.9%2.0%0.3%-1.8M1.2M-105.0K2.1736.48922003,02516,081
2013-10-21$114.78$114.006.1%1.7%5.0%40.4%7.9%1.6%0.1%-2.7M13.2M-101.3K12.8526.78546942,0056,545
2013-10-22$115.48$114.005.6%1.6%5.3%33.4%5.7%1.9%0.6%-3.2M11.4M-105.4K12.3922.34871,0782,0167,189
2013-10-23$115.45$115.005.9%1.7%5.3%37.7%5.6%2.4%-0.1%-5.4M14.8M-116.8K0.8219.881391142,0998,046
2013-10-24$115.33$115.005.7%1.6%5.2%35.6%7.1%1.6%-0.1%-5.7M17.4M-120.1K0.5721.9223132,2358,060
2013-10-25$115.32$115.005.5%1.6%5.1%32.5%8.2%2.0%0.0%-5.6M16.5M-117.2K4.0224.47632532,2488,063
2013-10-28$115.43$115.005.7%1.6%5.0%34.9%0.0%2.0%0.1%-5.6M15.5M-111.9K0.0028.303202,3108,260
2013-10-29$115.59$115.004.6%1.3%4.7%19.6%5.8%2.2%1.0%-5.6M14.7M-111.1K1.2033.061,3851,6632,3428,260
2013-10-30$115.36$115.005.8%1.7%4.7%36.1%7.4%1.9%-0.0%-5.7M19.8M-154.5K0.1243.346683,4759,404
2013-10-31$115.20$115.005.1%1.5%4.8%26.5%5.1%1.4%0.5%-9.2M10.8M-126.9K15.4526.77517883,4809,406