LQD Options History — October 2014

In October 2014, LQD traded between $118.59 and $120.31. ATM implied volatility averaged 6.2%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 2.4% (HV 20d: 3.8%). Max pain ranged from $119.00 to $119.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 20.81.

Notable Days

  • 2014-10-24: Highest Volume — 6,962 contracts
  • 2014-10-15: Largest IV spike — 68.5% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.60$118.59$120.31$118.60$119.25
Max Pain$119.00$119.00$119.00$119.00$119.00
ATM IV6.2%4.2%11.5%5.0%5.6%
Expected Move1.8%1.6%2.2%1.6%1.7%
HV 20d3.8%3.6%4.4%4.4%3.8%
HV 60d4.1%4.0%4.3%4.0%4.0%
IV Rank46.4%24.8%100.0%42.5%30.5%
IV Percentile69.3%5.2%100.0%42.5%73.0%
Term Structure0.3%-0.3%0.8%0.3%0.8%
VWIV6.5%5.2%8.3%6.2%5.2%
Skew 25d1.9%0.8%3.4%3.4%1.4%
Skew 10d4.4%2.2%6.5%5.3%6.0%
Call IV 25d5.7%3.3%8.4%3.4%5.2%
Put IV 25d7.6%5.3%10.4%6.8%6.6%
Bid-Ask Spread %39.8729.6766.9443.0642.55
Gamma HHI0.210.160.300.160.30
Net GEX-9.3M-29.2M-4.1M-6.8M-29.2M
Net DEX19.0M5.8M55.2M16.6M48.6M
Net VEX-168.3K-249.9K-103.2K-113.5K-200.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.810.14400.636.920.42
Total Volume2,037.217106,9621,2202,006
Total OI15,011.5657,95821,1657,98021,004

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$118.60$119.005.0%1.6%4.4%42.5%0.0%3.4%0.3%-6.8M16.6M-113.5K6.9243.061541,0661,5836,397
2014-10-02$118.59$119.004.9%1.6%3.6%38.7%0.0%2.4%0.5%-7.9M17.8M-111.0K17.1446.6871201,6246,434
2014-10-03$118.93$119.004.6%1.6%3.7%33.3%0.0%2.0%0.7%-7.0M12.9M-103.2K16.3743.53274421,6246,334
2014-10-06$118.99$119.004.6%1.6%3.7%33.9%0.0%1.9%0.4%-7.8M14.3M-108.6K2.3340.32371,6506,772
2014-10-07$119.42$119.005.4%1.8%3.8%51.2%6.2%2.3%0.4%-5.2M9.0M-105.9K2.2338.972,0724,6161,6506,776
2014-10-08$120.02$119.004.7%1.7%4.0%36.2%6.4%2.1%0.3%-4.8M6.0M-168.3K1.2138.932,0432,4683,67911,293
2014-10-09$119.53$119.004.4%1.7%4.3%29.9%0.0%2.2%0.3%-7.6M13.9M-174.2K3.4637.3126903,68411,305
2014-10-10$119.63$119.004.2%1.7%3.8%24.8%5.7%1.9%0.5%-7.0M6.3M-135.5K3.8637.4522853,68111,325
2014-10-13$119.94$119.006.6%1.8%3.9%76.0%6.2%2.1%0.2%-5.6M8.0M-172.8K1.6237.131051703,68811,266
2014-10-14$119.93$119.006.8%1.8%3.9%80.2%6.7%2.3%0.3%-5.3M8.9M-176.9K1.6938.334717973,74811,294
2014-10-15$120.31$119.0011.5%2.2%3.7%100.0%7.9%2.0%-0.3%-5.1M7.5M-181.4K1.4329.671,2711,8163,69211,536
2014-10-16$120.03$119.007.8%2.0%3.9%56.8%8.3%1.6%-0.0%-6.1M13.4M-187.2K2.3532.13691624,13912,726
2014-10-17$119.98$119.007.1%1.9%3.8%47.8%0.0%1.6%0.1%-5.5M12.3M-175.2K0.9735.724154034,14912,804
2014-10-20$120.20$119.006.8%1.9%3.8%44.1%0.0%1.4%0.3%-4.1M5.8M-161.7K0.1436.95372514,10310,603
2014-10-21$120.12$119.007.0%1.9%3.8%47.1%7.3%1.8%-0.0%-4.3M8.1M-164.1K1.3536.111,5572,1024,12410,650
2014-10-22$119.93$119.006.7%1.8%3.7%43.6%6.4%1.7%0.2%-6.1M13.1M-170.3K1.1434.891,7211,9634,12911,292
2014-10-23$119.71$119.006.7%1.8%3.8%43.6%6.3%1.8%0.3%-7.1M16.7M-167.8K0.9438.381,7151,6114,38511,238
2014-10-24$119.73$119.006.9%1.8%3.6%46.4%6.5%1.7%0.2%-7.3M15.8M-168.4K3.0635.391,7165,2464,38411,372
2014-10-27$119.90$119.006.6%1.8%3.6%42.8%0.0%1.6%0.3%-12.6M33.0M-212.3K400.6336.4783,2054,38615,362
2014-10-28$119.50$119.006.6%1.9%3.9%42.4%6.9%1.4%0.3%-17.2M48.7M-249.9K8.1240.05171384,38616,684
2014-10-29$119.18$119.006.3%1.8%3.9%39.3%5.5%1.6%0.4%-19.1M55.2M-242.9K0.7649.981,4031,0684,39216,754
2014-10-30$119.36$119.006.0%1.8%3.9%35.9%5.7%0.8%0.5%-24.6M44.4M-220.1K0.4366.941,4166144,37416,791
2014-10-31$119.25$119.005.6%1.7%3.8%30.5%5.2%1.4%0.8%-29.2M48.6M-200.0K0.4242.551,4085984,16816,836