LQD Options History — December 2013

In December 2013, LQD traded between $113.42 and $114.88. ATM implied volatility averaged 6.2%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.9% (HV 20d: 5.3%). Max pain ranged from $114.00 to $124.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 39.58.

Notable Days

  • 2013-12-19: Highest Volume — 4,087 contracts
  • 2013-12-26: Largest IV spike — 19.2% change
  • 2013-12-05: Highest IV Rank — 64.7%
  • 2013-12-05: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.16$113.42$114.88$113.75$114.19
Max Pain$117.52$114.00$124.00$115.00$124.00
ATM IV6.2%4.5%7.8%7.2%5.2%
Expected Move1.7%1.3%2.2%2.1%1.5%
HV 20d5.3%4.1%6.3%6.3%4.1%
HV 60d5.6%5.2%6.2%6.2%5.2%
IV Rank42.1%18.1%64.7%56.1%28.3%
IV Percentile57.1%12.3%85.7%78.6%38.1%
Term Structure0.1%-0.8%0.8%-0.4%0.5%
VWIV6.6%5.1%8.1%7.5%5.3%
Skew 25d1.5%0.3%2.5%2.1%0.3%
Skew 10d3.7%1.1%7.4%7.4%4.1%
Call IV 25d5.6%4.0%7.1%6.8%5.7%
Put IV 25d7.1%5.9%9.1%8.9%5.9%
Bid-Ask Spread %26.2112.4851.6523.4218.24
Gamma HHI0.340.250.450.340.45
Net GEX-13.3M-22.1M-6.9M-6.9M-17.5M
Net DEX45.1M25.5M72.6M34.4M72.6M
Net VEX-118.0K-143.8K-94.0K-117.9K-132.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio39.580.41548.502.772.56
Total Volume1,040.238124,087196178
Total OI17,991.47613,45825,01113,45822,764

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$113.75$115.007.2%2.1%6.3%56.1%7.5%2.1%-0.4%-6.9M34.4M-117.9K2.7723.42521443,9039,555
2013-12-03$114.04$115.007.4%2.1%6.3%59.4%7.6%1.7%-0.8%-7.0M29.8M-116.9K0.9515.3921203,9429,666
2013-12-04$113.67$115.007.4%2.1%6.3%59.5%8.1%2.0%-0.5%-7.9M37.0M-110.5K6.9113.73231593,9619,673
2013-12-05$113.42$115.007.8%2.2%6.3%64.7%7.6%1.8%-0.8%-8.6M42.9M-102.4K3.7412.48341273,9749,775
2013-12-06$113.66$114.006.7%1.8%6.3%48.7%7.1%1.3%0.2%-8.5M39.5M-104.2K1.6842.5728474,0009,869
2013-12-09$113.83$114.007.1%1.9%5.2%55.8%7.6%1.3%0.0%-8.8M36.2M-94.0K88.0838.89131,1453,9859,867
2013-12-10$114.29$114.006.7%1.8%5.3%48.9%7.2%1.1%0.1%-8.9M25.5M-95.6K12.8351.65415263,99210,985
2013-12-11$113.97$114.007.6%1.8%5.4%62.5%6.5%1.3%0.4%-9.5M33.1M-105.8K35.4636.24853,0144,01111,499
2013-12-12$113.78$114.006.4%1.8%5.4%44.6%7.3%1.3%0.3%-17.2M53.8M-143.8K0.4130.9961253,97414,510
2013-12-13$114.09$114.006.3%1.8%5.2%43.4%6.4%1.0%0.2%-17.0M46.3M-136.2K0.5034.41843,95014,522
2013-12-16$114.18$114.006.4%1.8%5.2%45.8%7.1%1.4%0.0%-16.6M44.3M-125.2K98.9327.68141,3853,95814,523
2013-12-17$114.52$114.006.0%1.7%5.0%39.2%7.4%1.6%-0.2%-15.6M34.0M-124.7K548.5027.3521,0973,95815,794
2013-12-18$114.52$114.005.5%1.6%4.9%32.1%6.0%1.8%0.6%-17.3M33.1M-121.4K7.6438.14584433,95816,797
2013-12-19$114.35$114.005.5%1.6%4.6%32.7%5.8%1.2%0.8%-22.1M42.1M-116.2K0.9822.422,0672,0203,93117,072
2013-12-20$114.88$124.005.5%1.6%4.8%31.4%6.0%1.3%0.6%-13.7M44.6M-106.7K8.4922.081391,1805,93619,075
2013-12-23$114.70$124.005.0%1.4%4.7%25.6%5.8%2.5%0.2%-13.2M42.1M-104.8K0.5720.841,8581,0653,33712,065
2013-12-24$114.67$124.004.5%1.3%4.7%18.1%5.8%1.9%0.1%-15.5M46.4M-127.0K1.3218.011,6512,1865,14413,018
2013-12-26$114.24$124.005.4%1.5%4.8%30.6%5.1%1.9%0.4%-14.8M69.5M-127.5K0.7517.511711286,79015,172
2013-12-27$114.14$124.005.1%1.5%4.8%26.3%5.5%1.4%0.4%-16.2M71.7M-132.7K7.5520.06604536,93115,285
2013-12-30$114.48$124.005.4%1.5%5.0%30.6%5.3%1.3%0.5%-15.7M68.7M-131.9K0.4918.3576376,98815,712
2013-12-31$114.19$124.005.2%1.5%4.1%28.3%5.3%0.3%0.5%-17.5M72.6M-132.5K2.5618.24501287,04515,719