LQD Options History — July 2014

In July 2014, LQD traded between $117.93 and $119.47. ATM implied volatility averaged 4.8%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.3% (HV 20d: 4.5%). Max pain ranged from $119.00 to $125.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 93.93.

Notable Days

  • 2014-07-21: Highest Volume — 1,183 contracts
  • 2014-07-31: Largest IV drop — 28.1% change
  • 2014-07-29: Highest IV Rank — 38.2%
  • 2014-07-23: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.88$117.93$119.47$118.47$118.55
Max Pain$120.30$119.00$125.00$119.00$125.00
ATM IV4.8%3.8%5.5%4.9%3.8%
Expected Move1.5%1.2%1.6%1.4%1.3%
HV 20d4.5%4.0%4.8%4.5%4.0%
HV 60d4.4%4.3%4.5%4.3%4.5%
IV Rank26.6%11.4%38.2%28.9%11.4%
IV Percentile24.6%0.4%56.7%23.8%0.4%
Term Structure0.3%-0.1%0.8%0.3%0.2%
VWIV5.5%4.1%7.6%4.9%7.6%
Skew 25d1.5%0.6%2.3%1.3%0.8%
Skew 10d3.1%0.3%4.7%1.9%2.0%
Call IV 25d4.3%3.3%4.8%3.8%4.6%
Put IV 25d5.7%4.6%6.5%5.1%5.4%
Bid-Ask Spread %59.7432.6888.7685.7549.80
Gamma HHI0.230.160.360.170.29
Net GEX-9.1M-12.5M-2.5M-10.2M-11.6M
Net DEX20.6M7.8M33.2M26.7M19.0M
Net VEX-104.6K-150.8K-46.2K-150.8K-47.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio93.930.00590.5033.001.84
Total Volume311.86481,1836891
Total OI12,17910,91314,79310,91614,793

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$118.47$119.004.9%1.4%4.5%28.9%4.9%1.3%0.3%-10.2M26.7M-150.8K33.0085.752669559,961
2014-07-02$118.05$119.004.9%1.4%4.7%28.4%4.5%0.6%0.5%-11.4M29.8M-145.8K204.5086.6524099579,956
2014-07-03$117.93$119.004.1%1.2%4.7%17.0%4.1%1.4%0.8%-12.4M33.2M-150.8K4.2188.762912295910,319
2014-07-07$118.14$119.004.2%1.4%4.6%17.7%4.9%1.1%0.3%-12.0M32.8M-148.9K0.5578.52201198510,391
2014-07-08$118.58$119.004.1%1.3%4.8%16.5%5.0%1.6%0.3%-11.3M26.1M-135.7K4.2447.56218999410,392
2014-07-09$118.77$119.004.0%1.4%4.7%15.2%5.9%1.3%0.3%-9.0M18.5M-97.6K3.0938.5411341,01310,404
2014-07-10$118.68$119.004.7%1.3%4.8%24.6%5.3%1.2%0.5%-9.8M19.3M-96.4K1.6439.6511181,01010,408
2014-07-11$119.05$119.004.9%1.4%4.8%27.8%5.6%1.1%0.6%-8.7M15.4M-91.3K0.0072.350471,02010,409
2014-07-14$118.80$119.004.8%1.4%4.8%26.5%4.9%1.2%0.5%-7.9M13.0M-58.4K0.3832.6842161,02010,411
2014-07-15$118.67$119.004.9%1.4%4.8%28.8%5.4%1.4%0.4%-9.6M18.2M-87.8K43.5076.2428799010,395
2014-07-16$118.95$119.004.8%1.4%4.7%27.0%0.0%1.2%0.3%-8.6M11.7M-54.4K0.0072.1601299010,418
2014-07-17$119.40$119.005.1%1.5%4.5%31.8%5.2%1.5%0.0%-5.3M8.5M-57.8K41.1478.25728898410,384
2014-07-18$119.24$119.005.0%1.4%4.3%30.3%5.6%1.4%0.0%-5.9M9.3M-54.7K33.7274.70321,07997710,521
2014-07-21$119.24$0.004.7%1.5%4.3%25.6%0.0%1.5%0.8%-6.0M14.1M-93.8K590.5071.6321,18189010,371
2014-07-22$119.33$0.004.9%1.6%4.3%28.8%7.5%1.7%0.5%-9.2M24.9M-148.9K18.5746.60713089211,476
2014-07-23$119.47$121.005.1%1.6%4.0%31.5%0.0%1.7%0.4%-6.8M16.3M-106.6K532.5055.2321,06589811,583
2014-07-24$119.00$121.004.9%1.6%4.3%28.7%6.1%1.8%0.5%-11.3M27.8M-150.4K0.0042.59027689812,630
2014-07-25$119.46$121.005.1%1.6%4.4%31.6%0.0%2.1%0.1%-8.2M22.2M-123.7K3.0043.292689812,736
2014-07-28$119.32$121.005.4%1.6%4.5%36.1%7.6%1.6%-0.1%-2.5M7.8M-46.2K163.0041.2071,14190012,731
2014-07-29$119.43$125.005.5%1.6%4.5%38.2%0.0%2.1%0.1%-10.6M25.5M-125.9K0.0041.4169090713,599
2014-07-30$118.88$125.005.2%1.6%4.1%33.5%0.0%2.3%-0.1%-12.5M33.0M-128.3K105.2550.83442191413,599
2014-07-31$118.55$125.003.8%1.3%4.0%11.4%0.0%0.8%0.2%-11.6M19.0M-47.4K1.8449.80325991613,877