LQD Options History — March 2014

In March 2014, LQD traded between $115.64 and $117.28. ATM implied volatility averaged 5.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.7% (HV 20d: 4.4%). Max pain ranged from $117.00 to $118.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 73.15.

Notable Days

  • 2014-03-27: Highest Volume — 8,443 contracts
  • 2014-03-07: Largest IV drop — 12.8% change
  • 2014-03-06: Highest IV Rank — 29.6%
  • 2014-03-06: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.41$115.64$117.28$117.28$116.94
Max Pain$117.05$117.00$118.00$118.00$117.00
ATM IV5.1%4.7%5.7%5.4%4.7%
Expected Move1.5%1.3%1.6%1.6%1.3%
HV 20d4.4%4.0%5.0%4.1%4.8%
HV 60d4.3%4.0%4.5%4.0%4.3%
IV Rank19.9%13.8%29.6%24.9%13.8%
IV Percentile27.3%11.9%46.8%39.7%11.9%
Term Structure0.3%-0.3%1.0%-0.2%1.0%
VWIV5.3%4.3%6.7%5.5%5.3%
Skew 25d1.3%0.8%1.7%1.2%1.2%
Skew 10d2.8%0.9%5.7%3.4%5.7%
Call IV 25d4.7%4.3%5.2%4.8%4.3%
Put IV 25d5.9%5.4%6.5%6.0%5.5%
Bid-Ask Spread %45.5315.3092.8815.3078.73
Gamma HHI0.380.260.470.350.26
Net GEX-4.6M-6.7M-2.2M-2.4M-6.6M
Net DEX16.0M-90.1K30.0M-90.1K19.2M
Net VEX-258.9K-385.9K-216.3K-236.5K-382.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio73.150.04891.672.31891.67
Total Volume729.95298,4436752,678
Total OI14,65112,32720,71413,05120,714

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$117.28$118.005.4%1.6%4.1%24.9%5.5%1.2%-0.2%-2.4M-90.1K-236.5K2.3115.302044714,0958,956
2014-03-04$116.65$117.005.5%1.6%4.4%26.2%6.7%1.5%-0.2%-4.0M9.5M-260.0K0.2917.902164,2959,418
2014-03-05$116.59$117.005.1%1.5%4.0%19.7%4.9%0.9%0.2%-4.1M10.2M-257.3K26.4317.2171854,3059,423
2014-03-06$116.24$117.005.7%1.6%4.0%29.6%5.8%1.5%-0.3%-5.0M17.0M-261.1K0.6692.882181444,3119,604
2014-03-07$115.82$117.005.0%1.4%4.2%18.2%4.6%1.5%0.2%-5.5M24.6M-256.3K80.0033.1643204,4719,737
2014-03-10$115.64$117.005.1%1.4%4.1%19.1%5.8%1.5%0.7%-6.3M30.0M-253.5K7.4716.14151124,4759,956
2014-03-11$115.68$117.005.1%1.5%4.1%19.3%5.0%1.3%-0.0%-6.0M27.7M-249.9K4.8018.765244,4689,866
2014-03-12$116.09$117.005.2%1.4%4.2%21.3%5.4%1.3%0.3%-5.2M20.1M-252.5K460.0018.0114604,4719,875
2014-03-13$116.50$117.005.2%1.5%4.2%21.6%6.5%1.4%0.2%-4.1M13.6M-249.3K3.8320.6923884,47010,291
2014-03-14$116.37$117.005.5%1.6%4.0%26.8%4.3%1.4%0.1%-4.4M15.6M-260.5K0.0821.09172134,48610,372
2014-03-17$116.22$117.005.6%1.6%4.0%28.3%5.7%1.4%-0.0%-4.8M19.5M-253.6K2.0023.15364,65710,378
2014-03-18$116.58$117.005.1%1.5%4.1%20.2%5.2%1.7%0.2%-3.0M12.2M-242.2K0.3874.58100384,65910,381
2014-03-19$115.74$117.004.9%1.4%4.8%16.8%5.1%1.3%0.8%-6.7M29.2M-249.5K0.4476.6071314,73910,412
2014-03-20$115.90$117.004.9%1.4%4.8%16.6%4.6%1.1%0.6%-6.1M27.2M-245.4K1.9019.9110194,75310,368
2014-03-21$116.30$117.005.0%1.4%5.0%17.9%4.9%1.4%0.3%-4.6M16.9M-246.1K0.2817.66218604,75710,270
2014-03-24$116.52$117.004.8%1.4%5.0%15.5%5.4%0.9%0.4%-3.4M11.8M-239.9K0.9874.9141404,2888,039
2014-03-25$116.56$117.004.8%1.4%4.8%15.6%4.6%1.4%0.2%-2.8M9.5M-222.2K0.0479.992514,3208,065
2014-03-26$117.01$117.004.8%1.4%4.9%14.3%4.5%1.0%0.6%-2.3M2.5M-217.0K0.4179.162294,3318,066
2014-03-27$117.04$117.004.9%1.4%4.8%16.4%5.5%1.2%0.3%-2.2M1.5M-216.3K2.2380.972,6135,8304,3518,064
2014-03-28$116.95$117.004.9%1.4%4.8%16.4%5.9%0.8%0.4%-6.7M18.7M-385.9K50.0579.37201,0016,95313,761
2014-03-31$116.94$117.004.7%1.3%4.8%13.8%5.3%1.2%1.0%-6.6M19.2M-382.8K891.6778.7332,6756,95313,761