LQD Options History — January 2014

In January 2014, LQD traded between $114.25 and $116.34. ATM implied volatility averaged 5.2%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.0% (HV 20d: 4.1%). Max pain ranged from $114.00 to $124.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.55.

Notable Days

  • 2014-01-07: Highest Volume — 4,481 contracts
  • 2014-01-10: Largest IV drop — 26.5% change
  • 2014-01-24: Highest IV Rank — 37.7%
  • 2014-01-24: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.18$114.25$116.34$114.41$116.34
Max Pain$115.10$114.00$124.00$124.00$115.00
ATM IV5.2%3.9%5.9%5.8%5.0%
Expected Move1.5%1.4%1.7%1.7%1.4%
HV 20d4.1%3.8%4.3%4.1%4.1%
HV 60d5.1%4.9%5.4%5.3%4.9%
IV Rank27.2%9.6%37.7%36.7%25.5%
IV Percentile33.0%1.2%53.2%53.2%28.2%
Term Structure0.3%0.0%0.7%0.0%0.7%
VWIV5.8%4.8%7.4%5.8%4.8%
Skew 25d1.7%0.6%2.4%1.4%0.6%
Skew 10d3.9%1.5%5.0%2.9%1.5%
Call IV 25d4.6%4.0%5.2%4.7%4.7%
Put IV 25d6.3%5.3%6.8%6.1%5.3%
Bid-Ask Spread %20.4716.3031.8221.6023.67
Gamma HHI0.390.200.650.540.43
Net GEX-1.4M-14.4M3.7M-14.2M3.4M
Net DEX22.2M-26.0M62.3M62.3M-26.0M
Net VEX-91.5K-135.1K-71.5K-105.0K-118.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.550.0152.0010.742.84
Total Volume554.667464,481446710
Total OI15,590.196,01123,96622,8729,520

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$114.41$124.005.8%1.7%4.1%36.7%5.8%1.4%0.0%-14.2M62.3M-105.0K10.7421.60384087,05915,813
2014-01-03$114.58$124.005.0%1.4%3.9%24.7%5.4%1.6%0.2%-10.1M60.0M-107.9K0.8219.604123367,09616,214
2014-01-06$114.83$114.005.6%1.6%3.8%33.6%6.4%1.6%0.2%-12.4K53.7M-93.8K0.5324.97150797,28516,494
2014-01-07$114.74$114.005.5%1.6%3.8%31.5%5.7%1.7%0.4%-6.9M57.9M-105.4K1.2416.572,0002,4817,40816,558
2014-01-08$114.25$114.005.7%1.6%4.1%34.5%7.3%2.2%0.3%-14.4M52.3M-111.7K4.9031.82311526,14315,454
2014-01-09$114.51$114.005.3%1.5%4.0%30.1%5.8%1.2%0.2%-10.4M44.9M-99.1K52.0018.621526,14715,457
2014-01-10$115.13$114.003.9%1.5%4.2%9.6%5.1%1.8%0.5%1.5M32.4M-93.7K0.5819.4565385,99815,339
2014-01-13$115.35$114.004.5%1.5%4.2%17.3%7.2%1.5%0.0%2.6M30.4M-90.0K2.1824.29601316,01615,335
2014-01-14$115.01$114.004.6%1.5%4.3%19.7%5.3%1.5%0.4%1.8M33.7M-90.9K1.7622.7217306,04315,402
2014-01-15$115.04$114.004.5%1.5%4.3%17.4%5.8%1.7%0.1%2.7M33.4M-80.0K1.1021.3287965,73615,167
2014-01-16$115.31$114.005.1%1.5%4.2%26.5%4.9%1.9%0.6%928.3K31.5M-81.3K1.4218.3319275,76115,200
2014-01-17$115.44$114.005.1%1.5%4.2%26.0%5.3%1.9%0.2%2.0M29.9M-76.3K0.5316.7581435,71715,210
2014-01-21$115.28$114.005.1%1.4%4.2%25.7%5.5%2.0%0.5%953.8K-1.1M-76.9K1.5918.1834542,6633,348
2014-01-22$115.00$114.005.0%1.4%4.0%25.2%5.3%1.6%0.5%1.0M1.7M-76.8K1.2921.1435452,6823,383
2014-01-23$115.44$114.005.1%1.5%4.2%26.6%5.4%2.0%0.3%1.2M-2.1M-76.3K0.5722.971881072,7153,379
2014-01-24$115.36$114.005.9%1.7%4.2%37.7%7.4%2.1%0.2%1.1M-1.7M-78.4K0.4919.802371152,7563,427
2014-01-27$115.14$114.005.9%1.7%4.0%37.7%5.6%1.8%0.0%1.2M-209.2K-80.6K4.0317.75391572,8773,508
2014-01-28$115.70$114.005.6%1.6%4.3%33.2%6.1%2.4%0.0%1.6M-5.2M-71.5K6.7516.59604052,9013,647
2014-01-29$115.93$115.005.1%1.5%4.2%26.9%5.1%1.4%0.3%494.3K-7.0M-71.5K0.0116.302,557242,9504,049
2014-01-30$115.99$115.005.1%1.4%4.1%25.7%5.8%1.5%0.0%3.7M-15.7M-135.1K0.1517.424165,4754,062
2014-01-31$116.34$115.005.0%1.4%4.1%25.5%4.8%0.6%0.7%3.4M-26.0M-118.9K2.8423.671855255,4534,067