LQD Options History — December 2014

In December 2014, LQD traded between $118.43 and $119.66. ATM implied volatility averaged 6.4%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.2% (HV 20d: 5.2%). Max pain ranged from $117.00 to $120.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 5.74.

Notable Days

  • 2014-12-02: Highest Volume — 2,692 contracts
  • 2014-12-12: Largest IV spike — 13.8% change
  • 2014-12-16: Highest IV Rank — 50.2%
  • 2014-12-16: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.10$118.43$119.66$119.23$119.41
Max Pain$118.48$117.00$120.00$119.00$117.00
ATM IV6.4%5.6%7.3%6.8%6.3%
Expected Move1.9%1.7%2.1%1.9%1.8%
HV 20d5.2%3.8%5.6%5.4%3.8%
HV 60d4.4%4.3%4.5%4.3%4.4%
IV Rank39.9%30.9%50.2%44.1%38.4%
IV Percentile88.8%74.2%99.2%94.8%86.9%
Term Structure0.2%-0.9%0.7%-0.7%0.1%
VWIV8.1%6.3%12.4%6.9%12.4%
Skew 25d1.5%1.1%1.8%1.3%1.5%
Skew 10d4.1%2.6%5.7%4.5%3.8%
Call IV 25d5.9%5.4%7.0%6.4%5.6%
Put IV 25d7.4%6.9%8.4%7.8%7.1%
Bid-Ask Spread %48.7031.9671.2671.2631.96
Gamma HHI0.380.270.750.350.30
Net GEX-18.9M-37.2M-2.5M-18.3M-2.6M
Net DEX28.8M5.9M57.8M35.1M5.9M
Net VEX-91.3K-131.3K-49.4K-128.9K-49.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.741.8212.401.822.81
Total Volume1,439.318492,6922,20961
Total OI12,397.9095,64916,38213,9735,832

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$119.23$119.006.8%1.9%5.4%44.1%6.9%1.3%-0.7%-18.3M35.1M-128.9K1.8271.267841,4251,87712,096
2014-12-02$118.66$119.006.7%1.8%5.5%43.8%7.3%1.8%-0.9%-20.9M45.9M-127.2K8.8642.132732,4191,88612,137
2014-12-03$118.57$119.006.3%1.8%5.5%38.4%7.1%1.7%-0.5%-25.0M51.6M-131.3K6.5841.172401,5781,89813,164
2014-12-04$118.85$119.006.4%1.8%5.6%39.7%0.0%1.4%-0.5%-24.0M46.0M-129.2K2.2740.8115341,85313,301
2014-12-05$118.43$119.006.4%1.9%5.6%39.9%7.0%1.7%0.5%-27.8M57.8M-123.4K6.4143.822561,6401,90913,333
2014-12-08$118.94$119.006.4%1.8%5.5%39.5%6.3%1.4%0.5%-26.4M43.3M-113.5K6.8143.912551,7371,93213,402
2014-12-09$119.02$119.006.4%1.8%5.4%39.5%6.9%1.5%0.6%-26.9M41.0M-112.0K7.2847.202431,7691,93413,527
2014-12-10$119.18$119.006.9%1.8%5.4%46.2%7.0%1.8%0.4%-25.6M36.6M-107.5K7.1245.312491,7741,94713,572
2014-12-11$118.88$119.006.3%1.9%5.5%38.7%7.2%1.8%0.6%-26.7M44.9M-108.9K4.8641.572491,2111,96813,597
2014-12-12$119.29$119.007.2%2.0%5.6%49.0%7.7%1.6%-0.2%-21.6M34.7M-105.1K5.5041.332591,4251,96213,623
2014-12-15$119.34$119.006.8%2.0%5.6%44.8%7.6%1.2%0.2%-24.2M32.1M-96.9K5.3440.782741,4641,97314,353
2014-12-16$119.39$119.007.3%2.1%5.5%50.2%7.9%1.1%-0.0%-24.7M28.9M-90.2K3.8047.782459312,00414,378
2014-12-17$119.33$119.006.7%2.0%5.5%42.9%7.8%1.2%0.4%-31.2M23.1M-76.5K3.4451.712709281,90014,315
2014-12-18$119.22$119.006.2%2.0%5.1%37.1%7.5%1.3%0.7%-37.2M26.6M-69.8K4.2342.612329811,88014,292
2014-12-19$119.38$120.006.1%2.0%5.0%36.8%9.2%1.5%0.7%-32.5M22.1M-63.7K12.4043.891071,3271,81914,408
2014-12-22$119.66$0.005.6%1.7%4.9%30.9%7.3%1.7%0.5%-2.7M8.8M-66.9K6.4753.111971,2751,1114,538
2014-12-23$118.98$117.005.9%1.8%5.3%33.7%7.1%1.6%0.6%-3.7M11.2M-58.3K6.4551.021991,2841,1274,631
2014-12-24$118.91$117.006.0%1.8%5.0%35.8%9.2%1.7%0.5%-4.0M11.1M-66.6K5.4263.232091,1321,1344,677
2014-12-26$118.93$117.005.7%1.8%4.9%31.4%9.3%1.7%0.7%-3.3M10.7M-63.7K5.4461.122081,1311,1324,679
2014-12-29$119.27$117.006.2%1.8%4.9%37.0%10.1%1.5%0.3%-2.9M8.9M-60.7K5.4860.962031,1131,1324,701
2014-12-30$119.33$117.006.3%1.9%4.2%38.9%10.9%1.5%0.3%-2.5M6.8M-60.0K7.4364.677521,1074,713
2014-12-31$119.41$117.006.3%1.8%3.8%38.4%12.4%1.5%0.1%-2.6M5.9M-49.4K2.8131.9616451,1074,725