LQD Options History — March 2020

In March 2020, LQD traded between $106.08 and $134.15. ATM implied volatility averaged 32.7%, placing in the 79.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.6% (HV 20d: 31.1%). Max pain ranged from $128.00 to $132.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 74.88.

Notable Days

  • 2020-03-24: Highest Volume — 150,744 contracts
  • 2020-03-11: Largest IV spike — 64.2% change
  • 2020-03-02: Highest IV Rank — 100.0%
  • 2020-03-19: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.63$106.08$134.15$131.78$123.99
Max Pain$130.18$128.00$132.00$131.00$128.00
ATM IV32.7%8.2%72.0%8.2%25.4%
Expected Move9.3%2.7%21.1%2.7%7.3%
HV 20d31.1%4.7%54.4%4.7%54.2%
HV 60d18.5%4.1%31.2%4.1%31.2%
IV Rank79.4%32.7%100.0%100.0%32.7%
IV Percentile98.8%94.4%100.0%100.0%94.4%
Term Structure-0.8%-6.6%3.1%-0.4%2.9%
VWIV31.4%10.8%48.1%10.8%32.0%
Skew 25d14.2%0.3%50.5%1.8%7.9%
Skew 10d29.0%-4.2%81.9%3.4%19.3%
Call IV 25d28.4%7.7%47.6%7.7%23.7%
Put IV 25d42.6%9.5%98.1%9.5%31.6%
Bid-Ask Spread %68.2739.53102.6270.8647.25
Gamma HHI0.120.070.190.180.07
Net GEX-134.1M-302.3M-37.8M-177.3M-83.5M
Net DEX2.17B326.5M3.97B326.5M1.57B
Net VEX-6.1M-9.0M-2.9M-2.9M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio74.880.901079.351079.356.71
Total Volume61,192.04515,637150,744140,44633,460
Total OI476,683.045267,582609,726267,582609,726

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$131.78$131.008.2%2.7%4.7%100.0%10.8%1.8%-0.4%-177.3M326.5M-2.9M1079.3570.86130140,31622,225245,357
2020-03-03$133.11$132.0012.1%3.6%5.7%100.0%14.6%2.6%-1.3%-200.6M542.4M-4.5M3.6881.854,54416,70427,325340,100
2020-03-04$133.39$132.0010.0%3.3%5.6%78.1%14.4%2.9%-0.1%-188.6M393.4M-4.2M7.1375.728,18858,39632,018332,435
2020-03-05$133.25$131.0011.6%3.3%5.6%94.7%13.2%2.4%-0.7%-243.6M642.9M-4.9M368.9178.85272100,34333,489382,047
2020-03-06$134.15$132.0015.3%4.9%5.9%100.0%18.7%2.8%-0.5%-207.3M689.9M-5.4M41.4087.761,65168,34734,410417,819
2020-03-09$131.02$132.0024.4%7.3%10.6%100.0%27.9%10.2%0.6%-218.9M1.61B-7.4M9.6486.751,47014,16735,547401,431
2020-03-10$128.93$132.0018.3%5.9%12.0%71.7%20.5%6.5%2.9%-302.3M2.04B-7.4M0.93102.6224,78322,96735,602403,007
2020-03-11$123.95$132.0030.0%8.2%18.2%100.0%27.7%9.3%-2.3%-212.4M2.93B-7.0M5.3383.178,73846,55949,483396,417
2020-03-12$117.26$131.0036.4%10.0%26.1%100.0%34.8%1.3%-6.0%-117.5M3.69B-5.4M3.8596.6218,11869,73861,200412,677
2020-03-13$122.74$131.0033.8%9.0%31.8%92.1%41.2%13.5%-5.3%-206.5M3.28B-7.1M8.7281.191,96317,10969,456439,287
2020-03-16$121.63$131.0040.3%10.9%31.8%100.0%41.3%11.0%-0.2%-161.3M3.29B-6.8M13.4847.402,49633,65470,733432,685
2020-03-17$116.67$131.0041.3%11.7%34.4%100.0%33.4%23.7%1.9%-104.4M3.85B-5.2M28.1861.0692225,97868,955430,118
2020-03-18$109.78$130.0058.3%16.7%39.5%100.0%47.1%38.2%-1.1%-56.9M3.86B-4.5M44.2870.741,42563,09374,273430,599
2020-03-19$106.08$130.0072.0%21.1%40.2%100.0%48.1%50.5%-6.6%-45.4M3.89B-4.5M2.1974.7712,18626,71574,854443,649
2020-03-20$107.19$129.0063.8%18.5%40.7%88.2%35.4%38.8%-3.3%-37.8M3.97B-3.9M7.6462.5711,01884,21386,445440,091
2020-03-23$115.04$129.0038.8%11.0%49.7%52.0%39.0%30.3%3.1%-61.6M2.45B-5.1M4.0555.6712,04848,79569,854327,465
2020-03-24$116.43$128.0039.5%10.7%50.1%52.9%42.0%23.6%0.1%-66.5M2.65B-5.5M1.5560.1759,17391,57171,250366,319
2020-03-25$122.74$128.0036.4%9.4%54.4%48.6%30.1%0.3%0.1%-86.4M1.65B-8.3M0.9048.2764,88158,132136,346398,078
2020-03-26$122.52$128.0038.2%10.4%54.4%51.2%41.9%14.8%0.8%-49.1M1.43B-8.9M3.2844.927,06023,175184,334395,059
2020-03-27$122.48$128.0034.0%10.1%54.2%45.0%41.9%12.4%-0.9%-50.2M1.49B-8.9M2.1839.5313,81130,111186,043414,153
2020-03-30$123.81$128.0030.4%8.6%54.4%39.9%34.2%8.0%-0.7%-72.5M1.53B-9.0M4.0844.103,50614,299176,676427,990
2020-03-31$123.99$128.0025.4%7.3%54.2%32.7%32.0%7.9%2.9%-83.5M1.57B-8.4M6.7147.254,33929,121177,131432,595