LQD Options History — September 2014

In September 2014, LQD traded between $117.32 and $119.83. ATM implied volatility averaged 5.5%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.8% (HV 20d: 4.7%). Max pain ranged from $119.00 to $125.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 17.95.

Notable Days

  • 2014-09-16: Highest Volume — 2,226 contracts
  • 2014-09-09: Largest IV spike — 24.2% change
  • 2014-09-10: Highest IV Rank — 61.2%
  • 2014-09-09: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.29$117.32$119.83$119.67$118.22
Max Pain$121.57$119.00$125.00$125.00$119.00
ATM IV5.5%4.7%6.8%5.9%5.1%
Expected Move1.6%1.5%1.7%1.6%1.6%
HV 20d4.7%4.0%4.9%4.0%4.2%
HV 60d4.2%4.1%4.4%4.2%4.1%
IV Rank45.4%35.8%61.2%43.2%44.2%
IV Percentile58.7%19.4%89.7%75.4%49.6%
Term Structure0.3%-0.5%0.9%-0.3%0.6%
VWIV6.0%3.5%10.9%5.5%5.2%
Skew 25d2.2%1.7%2.7%1.8%2.1%
Skew 10d4.7%3.3%5.9%4.2%4.6%
Call IV 25d4.9%4.1%5.6%5.5%4.5%
Put IV 25d7.0%6.0%8.1%7.3%6.6%
Bid-Ask Spread %45.8139.4051.0140.8547.64
Gamma HHI0.260.160.610.320.16
Net GEX-13.0M-33.0M101.3K101.3K-8.0M
Net DEX29.6M2.8M57.6M2.9M26.0M
Net VEX-104.0K-140.4K-73.2K-117.4K-115.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.950.00131.002.831.69
Total Volume553.238112,2262335
Total OI19,347.7145,82227,69324,4887,979

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$119.67$125.005.9%1.6%4.0%43.2%5.5%1.8%-0.3%101.3K2.9M-117.4K2.8340.856173,91420,574
2014-09-03$119.83$125.005.7%1.6%4.0%40.2%0.0%1.9%-0.3%-1.5M2.8M-121.8K0.0040.491103,90820,576
2014-09-04$118.98$125.006.2%1.7%4.7%47.2%6.7%2.3%-0.5%-9.1M23.9M-140.4K5.4139.4017923,91320,576
2014-09-05$119.00$125.005.6%1.6%4.6%38.6%0.0%2.4%0.5%-4.8M15.2M-110.1K3.4841.1623803,90920,631
2014-09-08$118.80$125.005.5%1.6%4.7%37.8%6.6%1.7%0.3%-6.0M18.8M-95.7K0.2943.9784243,93220,659
2014-09-09$118.48$125.006.8%1.7%4.8%58.3%0.0%2.2%0.1%-14.0M30.7M-110.5K21.8945.5491973,96420,676
2014-09-10$118.29$125.006.6%1.7%4.8%61.2%0.0%2.5%0.1%-16.6M33.8M-104.2K21.2644.63571,2123,96020,868
2014-09-11$118.20$125.005.7%1.7%4.7%47.1%0.0%2.4%0.2%-17.0M34.3M-103.0K11.3042.481531,7294,00521,429
2014-09-12$117.63$125.005.7%1.5%4.9%48.8%5.7%2.2%0.5%-25.5M50.9M-129.4K0.4448.22180794,15422,259
2014-09-15$117.66$119.006.0%1.6%4.7%53.5%7.2%2.7%0.1%-28.6M57.6M-128.1K101.8348.2766114,29222,275
2014-09-16$117.64$119.005.7%1.6%4.7%51.6%5.7%2.5%0.2%-26.6M50.3M-105.1K0.0446.342,147794,29622,601
2014-09-17$117.32$119.005.9%1.7%4.7%55.0%3.5%2.6%-0.1%-33.0M54.2M-99.7K0.0750.191,5921095,07222,621
2014-09-18$117.53$119.005.1%1.5%4.8%43.4%5.5%2.2%0.7%-27.7M48.9M-93.8K0.3751.01217805,14622,335
2014-09-19$117.99$119.004.7%1.5%4.8%36.1%10.9%2.4%0.9%-16.4M35.1M-87.9K131.0045.4011315,06822,377
2014-09-22$118.10$119.004.9%1.6%4.8%39.1%5.3%2.4%0.3%-5.5M21.7M-86.1K1.3848.342283151,2174,605
2014-09-23$118.29$119.004.9%1.6%4.8%40.1%5.1%1.8%0.4%-6.5M21.8M-85.4K3.0748.4615461,1714,852
2014-09-24$118.01$119.004.7%1.5%4.8%35.8%0.0%2.2%0.7%-6.1M21.5M-74.6K64.5047.0121291,1864,882
2014-09-25$118.36$119.005.1%1.6%4.9%43.2%5.6%1.9%0.6%-6.6M21.0M-88.1K2.7547.3816441,1885,011
2014-09-26$118.10$119.004.9%1.6%4.8%40.2%0.0%1.8%0.4%-6.8M22.1M-73.2K3.4247.344061,3901,1885,054
2014-09-29$118.05$119.005.3%1.6%4.8%48.6%5.6%1.9%0.2%-7.7M28.0M-114.4K0.0247.974811,5846,395
2014-09-30$118.22$119.005.1%1.6%4.2%44.2%5.2%2.1%0.6%-8.0M26.0M-115.0K1.6947.6413221,5856,394