LQD Options History — April 2014

In April 2014, LQD traded between $116.15 and $118.15. ATM implied volatility averaged 4.8%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.5% (HV 20d: 4.3%). 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 17 of 21 days. Put/call ratio averaged 24.13.

Notable Days

  • 2014-04-10: Highest Volume — 4,287 contracts
  • 2014-04-10: Largest IV spike — 50.2% change
  • 2014-04-28: Highest IV Rank — 32.2%
  • 2014-04-28: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.50$116.15$118.15$116.31$118.15
Max Pain$117.57$117.00$118.00$117.00$118.00
ATM IV4.8%3.0%5.3%5.2%4.7%
Expected Move1.4%1.2%1.5%1.5%1.3%
HV 20d4.3%3.2%4.9%4.8%3.2%
HV 60d4.3%4.2%4.5%4.5%4.2%
IV Rank22.0%0.0%32.2%21.3%22.9%
IV Percentile19.7%0.0%35.7%32.5%9.5%
Term Structure0.2%-0.6%0.6%0.4%0.2%
VWIV5.2%4.4%6.0%5.7%4.6%
Skew 25d1.5%0.9%5.9%1.1%5.9%
Skew 10d3.1%1.2%9.6%3.8%9.6%
Call IV 25d4.5%3.7%5.0%4.5%4.7%
Put IV 25d6.0%5.4%10.7%5.6%10.7%
Bid-Ask Spread %75.0464.1098.6577.4387.30
Gamma HHI0.360.290.800.320.80
Net GEX-20.5M-26.6M-12.7M-12.7M-23.1M
Net DEX32.5M-30.9M52.7M46.1M-30.9M
Net VEX-371.1K-472.5K-67.2K-472.5K-67.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio24.130.00233.913.360.03
Total Volume756.857114,2871703,642
Total OI26,856.33322,22129,36924,11728,527

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$116.31$117.005.2%1.5%4.8%21.3%5.7%1.1%0.4%-12.7M46.1M-472.5K3.3677.43391316,89417,223
2014-04-02$116.15$117.005.2%1.5%4.9%21.8%5.2%1.4%0.1%-14.5M51.2M-464.7K0.2169.762,5325286,93217,229
2014-04-03$116.37$117.005.3%1.5%4.8%23.2%4.5%1.6%-0.1%-19.8M52.7M-413.6K0.1482.794364,54117,680
2014-04-04$116.83$117.004.0%1.4%4.8%3.3%0.0%1.0%0.1%-17.6M39.2M-403.1K233.9164.10112,5734,58317,683
2014-04-07$117.11$117.004.4%1.4%4.8%8.8%5.4%1.2%0.3%-21.2M37.1M-414.2K0.6967.53103714,58820,185
2014-04-08$117.42$117.004.2%1.4%4.8%5.6%5.6%1.1%0.2%-18.4M30.2M-400.4K5.2968.14211114,57620,174
2014-04-09$117.52$117.003.0%1.2%4.7%0.0%5.7%1.6%0.2%-18.2M24.0M-387.2K69.0070.631694,58620,259
2014-04-10$117.68$117.004.5%1.3%4.6%20.9%4.4%1.3%0.3%-17.7M20.1M-382.5K35.6474.231174,1704,58620,296
2014-04-11$117.76$117.005.0%1.4%4.5%27.9%5.0%0.9%-0.6%-25.2M40.5M-459.3K15.5069.77284344,54524,399
2014-04-14$117.84$118.005.1%1.5%4.5%28.6%0.0%1.3%0.2%-24.9M43.1M-441.4K0.8370.22654,54024,825
2014-04-15$118.09$118.005.2%1.5%4.4%30.3%5.6%1.2%0.0%-19.8M25.2M-361.8K0.4070.45209844,53924,830
2014-04-16$118.14$118.005.1%1.5%3.3%29.2%6.0%1.1%0.1%-20.7M25.8M-358.8K0.7173.6717124,52624,762
2014-04-17$117.46$118.005.2%1.5%4.1%30.3%5.5%0.9%0.1%-26.6M47.4M-393.1K2.0971.4244924,44324,774
2014-04-21$117.62$118.005.1%1.5%4.0%29.3%5.2%1.1%0.1%-22.8M39.9M-359.3K2.8875.7317494,36523,670
2014-04-22$117.68$118.004.9%1.4%3.9%26.8%4.7%2.3%0.2%-22.2M36.7M-345.9K0.9276.8939364,37423,717
2014-04-23$117.94$118.004.7%1.3%4.0%23.0%4.5%1.3%0.6%-20.4M27.5M-334.7K0.0074.215204,39123,738
2014-04-24$117.96$118.004.7%1.3%3.8%22.7%5.0%1.1%0.5%-20.5M29.3M-338.0K3.0076.146184,42423,738
2014-04-25$117.94$118.005.0%1.4%3.8%27.5%4.8%1.3%-0.0%-20.5M30.4M-337.1K0.9498.6518174,41423,736
2014-04-28$117.80$118.005.3%1.5%3.8%32.2%5.6%1.0%-0.1%-21.5M35.6M-337.7K128.7576.6545154,42623,745
2014-04-29$117.82$118.004.9%1.4%3.8%25.7%5.9%1.9%0.5%-21.3M31.2M-319.9K2.4380.047174,42424,096
2014-04-30$118.15$118.004.7%1.3%3.2%22.9%4.6%5.9%0.2%-23.1M-30.9M-67.2K0.0387.303,5301124,42424,103