LQD Options History — February 2020

In February 2020, LQD traded between $130.19 and $132.00. ATM implied volatility averaged 4.9%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.6% (HV 20d: 3.3%). Max pain ranged from $127.00 to $130.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 58.15.

Notable Days

2020-02-28: Highest Volume — 84,560 contracts
2020-02-28: Largest IV spike — 27.2% change
2020-02-28: Highest IV Rank — 98.8%
2020-02-28: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$131.06	$130.19	$132.00	$130.68	$132.00
Max Pain	$129.47	$127.00	$130.00	$130.00	$130.00
ATM IV	4.9%	4.3%	7.7%	5.0%	7.7%
Expected Move	1.4%	1.1%	2.4%	1.3%	2.4%
HV 20d	3.3%	3.0%	4.7%	3.7%	4.7%
HV 60d	4.3%	4.1%	4.5%	4.5%	4.3%
IV Rank	43.1%	30.0%	98.8%	45.5%	98.8%
IV Percentile	43.7%	19.4%	99.6%	50.0%	99.6%
Term Structure	0.0%	-0.3%	0.4%	-0.2%	0.2%
VWIV	5.1%	3.7%	9.8%	3.8%	9.8%
Skew 25d	0.6%	0.3%	1.0%	0.4%	1.0%
Skew 10d	2.3%	0.6%	6.4%	2.5%	6.4%
Call IV 25d	4.7%	3.8%	7.7%	4.8%	7.7%
Put IV 25d	5.2%	4.4%	8.7%	5.2%	8.7%
Bid-Ask Spread %	54.07	13.29	95.36	79.12	88.21
Gamma HHI	0.36	0.24	0.48	0.40	0.26
Net GEX	-131.6M	-265.3M	-52.9M	-174.5M	-108.2M
Net DEX	5.9M	-210.9M	187.1M	100.7M	141.9M
Net VEX	-1.8M	-2.3M	-1.4M	-2.0M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	58.15	0.02	764.56	12.43	78.25
Total Volume	8,877.579	568	84,560	5,293	84,560
Total OI	206,347.053	159,486	234,666	201,291	181,993

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-02-03	$130.68	$130.00	5.0%	1.3%	3.7%	45.5%	3.8%	0.4%	-0.2%	-174.5M	100.7M	-2.0M	12.43	79.12	394	4,899	27,692	173,599
2020-02-04	$130.33	$130.00	4.7%	1.2%	3.6%	39.4%	4.2%	0.7%	-0.3%	-224.9M	145.1M	-2.0M	1.27	77.70	250	318	28,524	174,392
2020-02-05	$130.19	$130.00	4.4%	1.1%	3.5%	33.5%	3.7%	0.3%	-0.0%	-253.6M	176.0M	-2.0M	0.07	95.36	11,105	768	27,365	174,885
2020-02-06	$130.29	$127.00	4.3%	1.2%	3.3%	30.0%	4.1%	0.4%	-0.1%	-265.3M	140.7M	-2.0M	0.02	23.10	6,040	117	31,782	175,889
2020-02-07	$130.71	$127.00	4.6%	1.2%	3.2%	36.1%	5.4%	0.6%	-0.3%	-153.2M	4.1M	-2.0M	4.33	60.41	824	3,564	37,786	175,975
2020-02-10	$131.03	$129.00	4.8%	1.4%	3.1%	40.0%	4.7%	0.7%	0.2%	-134.0M	-67.9M	-1.8M	4.65	29.68	412	1,915	36,811	181,531
2020-02-11	$130.86	$129.00	4.5%	1.3%	3.0%	35.9%	4.3%	0.5%	-0.2%	-152.1M	-26.6M	-1.8M	0.89	13.29	331	296	36,313	186,705
2020-02-12	$130.75	$129.00	4.5%	1.2%	3.1%	34.3%	5.0%	0.9%	-0.0%	-164.4M	-3.3M	-1.8M	5.00	17.54	142	710	36,511	186,798
2020-02-13	$130.72	$129.00	4.3%	1.2%	3.1%	30.2%	4.5%	0.4%	-0.1%	-163.5M	-13.9M	-1.7M	764.56	26.74	16	12,233	36,592	187,461
2020-02-14	$130.89	$130.00	4.3%	1.3%	3.1%	31.6%	4.8%	0.4%	-0.0%	-129.1M	-38.4M	-1.7M	52.18	73.49	66	3,444	36,602	189,594
2020-02-18	$131.26	$130.00	4.5%	1.3%	3.1%	34.1%	4.4%	0.5%	0.1%	-84.2M	-134.7M	-1.5M	4.07	34.84	679	2,766	36,601	196,011
2020-02-19	$131.03	$130.00	4.5%	1.3%	3.0%	35.8%	4.7%	0.3%	-0.0%	-72.6M	-114.3M	-1.6M	0.13	28.42	630	83	36,735	197,474
2020-02-20	$131.44	$130.00	4.6%	1.3%	3.1%	36.4%	4.6%	0.5%	-0.0%	-53.5M	-179.0M	-1.4M	2.33	66.37	393	914	36,745	197,524
2020-02-21	$131.78	$130.00	4.8%	1.4%	3.1%	40.8%	4.8%	0.8%	-0.0%	-52.9M	-210.9M	-1.4M	5.29	75.30	677	3,582	36,705	197,961
2020-02-24	$131.92	$130.00	5.1%	1.5%	3.1%	46.6%	5.4%	0.6%	0.4%	-76.6M	-21.8M	-1.6M	51.20	78.57	144	7,373	24,231	135,255
2020-02-25	$131.86	$130.00	5.3%	1.6%	3.1%	51.4%	6.3%	0.5%	0.2%	-64.9M	-4.4M	-1.6M	20.86	48.87	136	2,837	24,283	140,901
2020-02-26	$131.53	$130.00	5.4%	1.7%	3.3%	53.5%	5.5%	0.7%	0.4%	-72.3M	31.1M	-1.7M	48.54	53.37	59	2,864	24,353	142,332
2020-02-27	$130.89	$130.00	6.0%	1.7%	3.7%	65.7%	6.2%	0.4%	0.2%	-99.6M	187.1M	-2.3M	48.75	57.02	264	12,869	24,401	144,282
2020-02-28	$132.00	$130.00	7.7%	2.4%	4.7%	98.8%	9.8%	1.0%	0.2%	-108.2M	141.9M	-2.3M	78.25	88.21	1,067	83,493	24,534	157,459