LQD Options History — January 2020

In January 2020, LQD traded between $127.69 and $131.06. ATM implied volatility averaged 4.8%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.8% (HV 20d: 4.0%). Max pain ranged from $128.00 to $129.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 8.53.

Notable Days

  • 2020-01-28: Highest Volume — 57,276 contracts
  • 2020-01-28: Largest IV drop — 16.0% change
  • 2020-01-06: Highest IV Rank — 57.7%
  • 2020-01-02: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129.21$127.69$131.06$128.14$131.06
Max Pain$128.19$128.00$129.50$128.00$129.50
ATM IV4.8%4.0%5.6%5.4%4.7%
Expected Move1.3%1.2%1.5%1.5%1.3%
HV 20d4.0%3.6%4.6%3.8%3.6%
HV 60d4.9%4.6%5.0%4.9%4.6%
IV Rank39.9%25.8%57.7%52.2%38.5%
IV Percentile42.9%15.5%73.4%67.5%39.3%
Term Structure0.2%-0.4%0.5%-0.4%0.5%
VWIV4.8%3.6%5.7%5.2%4.4%
Skew 25d0.7%0.1%1.8%0.7%0.4%
Skew 10d2.2%0.9%3.2%0.9%2.8%
Call IV 25d4.4%3.7%5.1%4.6%4.5%
Put IV 25d5.0%4.3%5.7%5.3%4.9%
Bid-Ask Spread %64.8511.43104.4285.6970.20
Gamma HHI0.300.200.590.340.59
Net GEX76.1M-170.1M198.2M97.8M-170.1M
Net DEX-487.7M-950.4M18.0M-143.5M-529.4M
Net VEX-1.5M-2.1M-785.5K-2.0M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.530.0471.531.821.19
Total Volume12,655.14339257,27639239,891
Total OI274,629.762136,467376,712344,231220,610

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$128.14$128.005.4%1.5%3.8%52.2%5.2%0.7%-0.4%97.8M-143.5M-2.0M1.8285.69139253111,625232,606
2020-01-03$128.64$128.005.2%1.5%4.0%48.2%5.6%1.8%-0.0%110.5M-373.1M-1.9M1.0985.588,7279,487111,689232,704
2020-01-06$128.25$128.005.6%1.5%4.2%57.7%5.3%0.8%0.3%73.8M-118.5M-2.1M0.7778.71587454113,543240,786
2020-01-07$127.92$128.005.3%1.5%4.3%51.0%5.3%0.8%0.4%73.8M18.0M-1.9M43.4270.86592,562113,924240,952
2020-01-08$127.69$128.005.3%1.5%4.4%50.4%5.4%0.7%0.2%65.7M-130.6M-1.9M0.0976.8710,614952113,947222,859
2020-01-09$128.25$128.005.3%1.4%4.6%52.0%4.8%0.8%0.2%137.2M-423.1M-2.0M0.0441.4353,2401,967123,717222,772
2020-01-10$128.67$128.004.7%1.5%4.6%39.5%4.9%1.1%-0.1%198.2M-756.5M-2.0M1.3682.77237322138,177223,320
2020-01-13$128.39$128.004.1%1.3%4.4%27.0%4.3%0.7%0.1%179.4M-689.6M-1.9M0.4085.591,969791141,274223,581
2020-01-14$128.51$128.004.5%1.2%3.8%35.3%4.1%0.5%0.3%189.9M-717.2M-1.8M30.8039.011705,236139,366223,708
2020-01-15$128.83$128.004.3%1.2%3.8%31.6%4.5%1.0%0.1%143.9M-898.3M-1.4M71.5370.40755,365139,498228,931
2020-01-16$128.94$128.004.3%1.2%3.8%30.7%4.2%0.8%0.4%90.4M-942.7M-1.4M0.2373.627,0031,643139,534235,550
2020-01-17$128.92$128.004.0%1.2%3.7%25.8%4.2%0.7%0.5%92.9M-950.4M-1.3M0.6180.38417256139,911236,801
2020-01-21$129.51$128.004.3%1.2%3.9%31.1%4.3%0.8%0.4%76.4M-378.5M-1.2M4.4243.464862,14752,81783,650
2020-01-22$129.72$128.004.3%1.2%3.9%31.4%4.4%0.4%0.2%95.0M-449.1M-956.8K0.7028.541,20483853,18685,435
2020-01-23$129.89$128.004.6%1.3%3.9%36.3%5.7%0.6%0.3%81.8M-451.0M-1.0M5.1311.438945753,35885,905
2020-01-24$130.06$128.004.9%1.4%3.9%42.3%5.7%0.6%-0.1%69.9M-458.3M-1.1M11.1917.706597,37254,37886,392
2020-01-27$130.36$128.005.4%1.5%3.9%52.6%5.3%0.5%0.3%52.3M-473.7M-1.0M1.5071.467601,14354,62090,388
2020-01-28$130.33$128.004.5%1.3%3.9%35.2%4.7%0.6%0.4%86.1M-529.6M-785.5K2.0966.7718,51638,76055,27590,803
2020-01-29$130.67$129.504.6%1.4%4.0%37.2%3.6%0.1%0.5%-97.3M-288.4M-1.6M0.0676.9721,5601,21753,125141,080
2020-01-30$130.76$129.004.4%1.2%3.6%32.8%4.4%0.2%0.3%-49.2M-557.9M-1.7M0.62104.4211,1846,95073,738141,690
2020-01-31$131.06$129.504.7%1.3%3.6%38.5%4.4%0.4%0.5%-170.1M-529.4M-1.5M1.1970.2018,23421,65766,808153,802