LQD Options History — June 2014

In June 2014, LQD traded between $117.99 and $119.39. ATM implied volatility averaged 4.9%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 0.1% (HV 20d: 5.1%). Max pain ranged from $119.00 to $119.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 26.38.

Notable Days

  • 2014-06-02: Highest Volume — 5,320 contracts
  • 2014-06-06: Largest IV drop — 10.4% change
  • 2014-06-04: Highest IV Rank — 38.4%
  • 2014-06-04: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.56$117.99$119.39$118.59$119.26
Max Pain$119.00$119.00$119.00$119.00$119.00
ATM IV4.9%4.2%5.8%5.3%4.4%
Expected Move1.4%1.2%1.7%1.5%1.3%
HV 20d5.1%4.2%5.5%4.9%4.2%
HV 60d4.2%4.0%4.4%4.3%4.1%
IV Rank27.0%16.1%38.4%32.1%20.3%
IV Percentile22.1%2.8%50.8%36.5%4.8%
Term Structure0.2%-0.4%0.8%-0.2%0.6%
VWIV5.0%4.0%7.2%6.5%4.1%
Skew 25d1.2%0.6%1.9%0.7%1.2%
Skew 10d2.6%-0.5%3.7%2.2%2.2%
Call IV 25d4.3%3.2%5.6%5.4%4.0%
Put IV 25d5.6%4.8%6.8%6.1%5.2%
Bid-Ask Spread %73.7036.1885.1176.1884.48
Gamma HHI0.410.200.570.410.20
Net GEX-18.7M-30.5M-3.2M-22.2M-7.3M
Net DEX23.5M9.0M44.1M28.1M9.0M
Net VEX-82.0K-135.3K-36.4K-117.9K-87.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.380.44249.7929.2322.09
Total Volume684.524245,3205,320808
Total OI14,994.4764,32920,39820,39810,565

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$118.59$119.005.3%1.5%4.9%32.1%6.5%0.7%-0.2%-22.2M28.1M-117.9K29.2376.181765,1441,26919,129
2014-06-03$118.05$119.005.6%1.6%5.1%35.8%6.0%1.2%-0.2%-26.8M40.4M-126.0K1.5876.61781231,28815,444
2014-06-04$117.99$119.005.8%1.7%5.0%38.4%6.3%1.2%-0.4%-27.6M44.1M-135.3K2.3774.0419451,32715,360
2014-06-05$118.24$119.005.8%1.6%5.1%38.0%7.2%1.1%-0.2%-26.3M34.5M-108.1K2.2077.9210221,33715,394
2014-06-06$118.49$119.005.1%1.5%5.2%29.7%5.3%1.4%0.4%-26.4M23.6M-87.0K19.0071.37224181,34215,411
2014-06-09$118.25$119.005.0%1.4%5.2%27.6%5.4%1.1%0.2%-30.5M29.4M-89.8K0.0071.5001071,34515,792
2014-06-10$118.03$119.004.9%1.4%5.2%25.8%5.2%1.3%0.2%-30.1M34.8M-97.2K1.1476.0114161,34515,883
2014-06-11$118.12$119.005.1%1.4%5.0%28.9%4.6%1.3%0.3%-29.8M33.1M-92.6K31.5075.962631,35915,894
2014-06-12$118.50$119.005.0%1.4%4.8%27.2%5.3%1.3%0.1%-22.4M23.5M-78.2K1.8875.8817321,36015,922
2014-06-13$118.48$119.005.2%1.5%4.7%30.6%4.0%1.2%0.0%-24.7M20.6M-67.8K0.0056.520241,37615,921
2014-06-16$118.47$119.005.3%1.5%4.7%32.5%5.2%1.4%-0.0%-21.6M22.5M-67.1K28.5676.9592571,37615,921
2014-06-17$118.07$119.004.9%1.4%4.8%25.8%5.1%1.4%0.6%-24.4M28.0M-69.9K15.2578.414611,36716,139
2014-06-18$118.75$119.004.5%1.3%5.3%21.1%4.2%1.1%0.5%-11.1M17.0M-53.5K0.6877.8340271,37116,200
2014-06-19$118.33$119.004.6%1.3%5.4%22.4%4.2%1.2%0.3%-24.2M27.8M-64.3K0.4436.1848211,30115,967
2014-06-20$118.56$119.004.2%1.2%5.5%16.1%4.2%1.3%0.8%-17.2M21.1M-54.2K2.2285.11541201,32115,979
2014-06-23$118.55$119.004.4%1.3%5.4%19.6%4.6%1.3%0.5%-3.2M9.0M-36.4K249.7982.49194,7469563,373
2014-06-24$119.05$119.004.4%1.3%5.5%19.9%4.3%1.9%0.7%-4.1M10.9M-56.4K14.7064.28202949668,102
2014-06-25$119.17$119.004.7%1.3%5.2%25.2%4.5%0.6%0.2%-3.8M10.4M-62.1K70.2583.72201,4059798,388
2014-06-26$119.39$119.004.7%1.3%5.2%25.5%0.0%1.1%0.3%-3.7M9.6M-64.8K7.5080.006459949,566
2014-06-27$119.37$119.004.7%1.3%5.2%25.3%4.3%1.1%0.2%-5.8M15.4M-105.2K0.8666.3221189979,558
2014-06-30$119.26$119.004.4%1.3%4.2%20.3%4.1%1.2%0.6%-7.3M9.0M-87.8K22.0984.48357739979,568