LQD Options History — August 2014

In August 2014, LQD traded between $118.76 and $120.58. ATM implied volatility averaged 5.0%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.4% (HV 20d: 3.6%). Max pain ranged from $122.00 to $125.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 26.23.

Notable Days

  • 2014-08-04: Highest Volume — 9,007 contracts
  • 2014-08-04: Largest IV drop — 17.1% change
  • 2014-08-20: Highest IV Rank — 40.0%
  • 2014-08-13: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.48$118.76$120.58$118.82$120.58
Max Pain$124.86$122.00$125.00$125.00$122.00
ATM IV5.0%4.1%5.7%5.0%4.7%
Expected Move1.6%1.4%1.7%1.5%1.4%
HV 20d3.6%2.7%4.0%4.0%2.7%
HV 60d4.3%3.9%4.6%4.6%3.9%
IV Rank29.8%16.5%40.0%29.3%25.6%
IV Percentile34.9%3.6%66.7%30.6%18.7%
Term Structure0.1%-0.2%0.5%0.3%-0.2%
VWIV6.0%4.2%8.6%5.8%5.1%
Skew 25d2.2%1.3%2.5%2.1%1.3%
Skew 10d4.8%2.9%6.2%2.9%3.2%
Call IV 25d4.7%3.5%5.3%3.5%4.3%
Put IV 25d6.9%5.5%7.7%5.5%5.5%
Bid-Ask Spread %43.3935.8650.5847.2737.97
Gamma HHI0.240.160.620.210.62
Net GEX-4.6M-18.3M20.0M-15.6M20.0M
Net DEX8.6M-43.6M39.9M31.6M-43.6M
Net VEX-200.2K-278.7K-84.8K-146.1K-84.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.230.00206.0031.501.39
Total Volume713.52499,007130313
Total OI24,47514,85726,32814,85726,328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$118.82$125.005.0%1.5%4.0%29.3%5.8%2.1%0.3%-15.6M31.6M-146.1K31.5047.27412694013,917
2014-08-04$118.85$125.004.1%1.5%4.0%16.5%8.6%2.4%0.0%-17.0M33.5M-150.3K2.6046.532,5016,50694213,957
2014-08-05$118.97$125.004.5%1.6%3.8%22.0%0.0%2.1%0.1%-18.3M39.9M-230.8K0.0245.562,013483,43219,854
2014-08-06$118.76$125.004.4%1.6%3.8%21.1%0.0%2.2%0.0%-13.9M34.6M-270.1K0.0044.11905,44519,863
2014-08-07$119.07$125.005.0%1.7%3.9%30.1%0.0%2.5%-0.2%-11.5M25.8M-265.7K0.7739.2943335,44119,863
2014-08-08$119.04$125.005.3%1.7%3.8%34.6%0.0%2.5%-0.1%-11.7M26.8M-278.7K1.2648.322352975,47319,858
2014-08-11$119.09$125.005.3%1.7%3.7%35.2%0.0%2.4%-0.2%-12.2M24.7M-257.7K1.5839.3112195,69620,063
2014-08-12$119.03$125.004.5%1.6%3.7%22.3%0.0%2.5%0.1%-13.1M23.5M-246.8K27.4039.8751375,70420,061
2014-08-13$119.27$125.004.7%1.7%3.6%26.0%5.0%2.2%0.3%-10.7M12.2M-224.6K28.6739.8492585,70920,097
2014-08-14$119.40$125.005.5%1.7%3.4%37.7%0.0%2.4%0.1%-7.9M12.1M-233.0K0.0040.121905,70920,166
2014-08-15$119.82$125.005.5%1.7%3.6%38.0%6.6%2.2%0.5%-4.2M1.9M-228.4K2.8235.86782205,71420,166
2014-08-18$119.55$125.005.0%1.6%3.7%30.2%0.0%2.5%0.3%-2.0M9.0M-226.5K52.0045.6373645,72819,025
2014-08-19$119.47$125.005.7%1.7%3.7%39.8%0.0%2.2%-0.2%-1.1M3.8M-199.3K206.0043.5424125,73419,345
2014-08-20$119.20$125.005.7%1.7%3.8%40.0%6.4%2.2%0.2%-4.7M14.7M-229.8K19.2044.275965,73419,714
2014-08-21$119.61$125.004.9%1.5%3.7%27.8%0.0%2.2%-0.1%-1.2M6.1M-210.8K2.5844.4712315,73819,788
2014-08-22$119.76$125.005.1%1.6%3.4%30.7%5.9%2.0%0.2%575.0K-2.0M-187.4K0.6945.4467465,74819,813
2014-08-25$119.95$125.004.8%1.5%3.4%27.5%6.4%1.8%0.0%3.5M-10.4M-147.7K127.0046.7211275,79919,832
2014-08-26$120.03$125.004.9%1.6%3.4%28.6%0.0%1.9%0.0%8.7M-18.6M-121.4K38.8350.5862335,79819,767
2014-08-27$120.23$125.004.9%1.6%2.9%27.6%4.2%1.7%0.3%9.3M-22.6M-121.2K6.3644.74664205,80119,987
2014-08-28$120.49$125.005.4%1.6%2.7%35.6%5.1%2.2%-0.1%6.1M-22.4M-142.5K0.0741.76190145,82020,406
2014-08-29$120.58$122.004.7%1.4%2.7%25.6%0.0%1.3%-0.2%20.0M-43.6M-84.8K1.3937.971311825,92220,406