LQD Options History — April 2020

In April 2020, LQD traded between $121.02 and $131.29. ATM implied volatility averaged 15.2%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 22.6% (HV 20d: 37.8%). Max pain ranged from $128.00 to $128.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 6.36.

Notable Days

  • 2020-04-01: Highest Volume — 113,223 contracts
  • 2020-04-06: Largest IV drop — 18.3% change
  • 2020-04-01: Highest IV Rank — 34.2%
  • 2020-04-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.97$121.02$131.29$121.60$129.39
Max Pain$128.00$128.00$128.00$128.00$128.00
ATM IV15.2%10.6%26.5%26.5%10.8%
Expected Move4.3%3.1%7.5%7.5%3.1%
HV 20d37.8%18.2%54.6%54.5%18.2%
HV 60d32.7%31.4%33.2%31.4%33.2%
IV Rank17.4%10.0%34.2%34.2%10.3%
IV Percentile89.1%84.5%94.4%94.4%84.5%
Term Structure-0.4%-1.9%0.5%-1.0%-0.1%
VWIV16.5%11.6%30.2%30.2%11.6%
Skew 25d3.1%0.6%7.4%7.4%1.3%
Skew 10d8.5%0.2%26.3%26.3%6.5%
Call IV 25d14.3%9.8%24.2%24.2%10.7%
Put IV 25d17.4%12.0%31.5%31.5%12.0%
Bid-Ask Spread %59.4625.2682.9747.0571.79
Gamma HHI0.090.060.210.070.06
Net GEX-125.4M-192.8M-62.8M-87.8M-151.2M
Net DEX293.6M-1.15B2.57B2.06B-1.1M
Net VEX-6.8M-8.5M-5.6M-7.7M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.361.0415.9715.591.37
Total Volume38,849.6677,759113,223113,22325,590
Total OI718,062.619611,678888,869611,678663,907

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$121.60$128.0026.5%7.5%54.5%34.2%30.2%7.4%-1.0%-87.8M2.06B-7.7M15.5947.056,826106,397178,713432,965
2020-04-02$122.13$128.0024.7%6.7%54.6%31.6%24.4%6.9%-0.8%-119.0M2.23B-8.5M10.0546.791,58315,910184,034531,653
2020-04-03$121.02$128.0022.8%6.2%54.4%28.9%24.2%5.8%-0.9%-133.9M2.57B-7.7M1.3953.467,37810,281184,848541,670
2020-04-06$123.01$128.0018.6%5.2%54.5%22.8%20.3%6.3%-0.7%-125.2M2.16B-7.2M2.1849.8914,92232,601184,658531,963
2020-04-07$124.27$128.0016.1%4.6%54.4%19.3%14.0%5.2%-0.3%-123.1M1.88B-7.3M2.4264.3713,68333,097194,001546,119
2020-04-08$125.80$128.0015.0%4.2%52.8%17.7%18.7%5.7%-0.5%-109.1M1.27B-7.7M8.1868.996,53253,424206,012559,281
2020-04-09$131.29$128.0015.1%4.1%50.4%17.8%16.9%0.6%-1.9%-62.8M-951.4M-7.0M3.5982.9721,73477,990209,851585,735
2020-04-13$130.88$128.0014.8%4.2%48.2%17.3%15.2%3.2%-0.2%-82.2M-1.00B-6.5M1.6565.2520,11733,129212,331610,244
2020-04-14$130.06$128.0014.9%4.3%48.1%17.4%18.3%2.7%-0.2%-94.1M-742.0M-7.4M6.2867.014,67329,332229,354610,490
2020-04-15$130.64$128.0014.1%4.0%45.0%16.3%17.5%2.8%0.2%-87.9M-1.07B-7.0M12.1371.444,47354,262231,833603,775
2020-04-16$130.22$128.0013.7%3.9%37.8%15.8%15.4%1.9%0.1%-144.0M-1.06B-6.8M15.9772.1386013,730232,780644,245
2020-04-17$130.29$128.0013.3%3.8%34.4%15.1%16.8%1.9%0.1%-192.8M-1.15B-6.6M7.0972.813,42924,303232,785656,084
2020-04-20$129.82$128.0013.5%3.9%34.8%15.5%14.3%1.7%-0.4%-130.0M35.1M-6.6M3.9269.025,02219,698139,573475,745
2020-04-21$129.42$128.0013.8%3.9%26.5%14.7%15.3%1.9%-1.1%-148.6M167.0M-6.8M15.9068.492,25835,893142,830486,541
2020-04-22$129.33$128.0012.8%3.6%26.5%13.2%12.6%1.6%-0.4%-156.9M131.5M-6.3M1.0469.0510,56511,018143,958481,853
2020-04-23$130.06$128.0012.3%3.5%19.7%12.5%12.9%1.5%-0.0%-134.7M-164.1M-5.9M6.4568.871,0416,718146,605483,557
2020-04-24$129.85$128.0012.4%3.6%19.7%12.6%12.3%1.3%-0.0%-166.5M-95.0M-5.8M3.5550.175,25218,642146,988488,282
2020-04-27$128.94$128.0011.7%3.2%19.9%11.6%11.8%1.0%-0.1%-139.7M127.6M-5.8M10.9825.263,41437,473148,972484,505
2020-04-28$129.41$128.0011.2%3.3%19.7%10.8%11.7%1.8%0.0%-154.6M52.7M-6.2M2.0226.447,59315,337152,351503,563
2020-04-29$130.00$128.0010.6%3.1%19.7%10.0%11.8%2.7%0.5%-88.7M-277.7M-5.6M1.8037.317,01112,652159,557495,104
2020-04-30$129.39$128.0010.8%3.1%18.2%10.3%11.6%1.3%-0.1%-151.2M-1.1M-6.0M1.3771.7910,79214,798164,990498,917