LQD Options History — May 2020

In May 2020, LQD traded between $125.77 and $131.83. ATM implied volatility averaged 10.4%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 0.1% (HV 20d: 10.5%). Max pain ranged from $128.00 to $129.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 4.16.

Notable Days

  • 2020-05-01: Highest Volume — 57,824 contracts
  • 2020-05-29: Largest IV drop — 7.7% change
  • 2020-05-11: Highest IV Rank — 13.0%
  • 2020-05-11: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.88$125.77$131.83$128.53$131.83
Max Pain$128.90$128.00$129.00$128.00$129.00
ATM IV10.4%7.4%12.6%11.4%7.4%
Expected Move3.0%2.0%3.6%3.2%2.0%
HV 20d10.5%6.9%18.5%18.5%8.1%
HV 60d33.3%33.2%33.4%33.2%33.3%
IV Rank9.6%4.9%13.0%11.1%4.9%
IV Percentile81.0%73.8%86.9%84.9%73.8%
Term Structure0.1%-0.1%0.6%0.2%0.1%
VWIV11.5%7.1%15.6%12.0%7.1%
Skew 25d2.2%1.1%3.2%3.1%1.1%
Skew 10d5.9%1.3%10.0%9.7%2.7%
Call IV 25d9.8%7.3%11.8%10.5%7.3%
Put IV 25d12.1%8.3%14.9%13.6%8.3%
Bid-Ask Spread %29.0813.3874.7274.7256.41
Gamma HHI0.090.060.180.080.13
Net GEX-129.7M-433.1M50.2M-184.7M50.2M
Net DEX324.3M-690.2M1.68B321.2M-690.2M
Net VEX-6.3M-7.9M-4.5M-6.3M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.160.4632.0810.110.56
Total Volume27,686.25,36557,82457,82433,911
Total OI663,616.45547,572788,438668,254569,330

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$128.53$128.0011.4%3.2%18.5%11.1%12.0%3.1%0.2%-184.7M321.2M-6.3M10.1174.725,20452,620167,499500,755
2020-05-04$128.47$129.0011.6%3.4%18.0%11.4%12.3%2.6%0.0%-145.0M373.9M-6.3M2.7122.9415,14941,048161,849523,876
2020-05-05$128.38$129.0011.5%3.3%17.4%11.3%12.7%3.2%-0.1%-168.3M461.2M-7.1M1.8218.481,9003,465176,523552,471
2020-05-06$126.97$129.0011.9%3.4%17.7%11.9%15.2%3.1%-0.0%-263.2M1.20B-7.2M4.2022.257,84832,922177,672555,668
2020-05-07$127.06$129.0011.7%3.4%17.2%11.6%12.4%2.6%-0.0%-267.2M1.30B-7.9M1.4419.016,7169,698180,139568,090
2020-05-08$126.49$129.0011.8%3.5%6.9%11.7%13.2%2.3%-0.0%-433.1M1.48B-7.5M0.9318.6712,48111,628186,266573,903
2020-05-11$125.77$129.0012.6%3.6%7.0%13.0%14.0%3.1%-0.1%-261.4M1.68B-7.4M3.3913.385,26117,830192,550563,773
2020-05-12$126.78$129.0011.7%3.4%7.7%11.6%12.3%2.3%-0.1%-222.9M1.18B-7.1M1.1120.2420,85323,166195,883566,954
2020-05-13$127.12$128.0011.6%3.3%7.5%11.4%12.5%2.5%-0.0%-200.4M959.6M-7.2M3.1754.948,83627,981208,692576,373
2020-05-14$127.88$129.0011.1%3.2%7.9%10.7%15.6%2.6%0.2%-139.5M553.9M-6.9M1.9316.0711,94423,027207,417571,506
2020-05-15$128.42$129.0010.8%3.2%8.1%10.3%15.0%1.8%0.2%-175.0M-143.2M-6.6M2.0515.2112,08124,807209,720578,718
2020-05-18$129.06$129.0010.4%3.0%8.3%9.7%11.6%2.3%0.3%-86.5M107.3M-6.2M1.8321.756,63012,163142,866404,706
2020-05-19$129.61$129.0010.0%2.9%8.4%9.0%10.6%2.3%0.4%-89.2M41.6M-6.3M2.1550.812,4065,182146,732415,155
2020-05-20$130.86$129.009.2%2.6%9.0%8.0%10.1%2.2%0.3%6.3M-405.9M-5.4M2.4921.279,56023,781144,586414,329
2020-05-21$130.60$129.009.0%2.6%8.9%7.6%9.6%1.8%0.3%-6.3M-342.6M-5.5M1.2027.887,2568,706147,554422,734
2020-05-22$130.72$129.008.8%2.5%8.8%7.4%8.9%2.0%0.6%-15.3M-305.8M-5.6M32.0821.2986827,849148,625422,953
2020-05-26$130.64$129.008.8%2.5%8.4%7.4%9.2%1.3%0.2%-15.4M-324.8M-5.4M7.6129.703,00422,870148,466420,585
2020-05-27$131.04$129.008.4%2.4%8.4%6.4%8.4%1.2%0.1%-2.6M-421.4M-5.1M0.4632.614,5522,108147,204414,663
2020-05-28$131.36$129.008.0%2.2%8.3%5.8%7.8%1.4%0.1%25.5M-537.0M-4.9M1.9423.892,1834,230149,331416,213
2020-05-29$131.83$129.007.4%2.0%8.1%4.9%7.1%1.1%0.1%50.2M-690.2M-4.5M0.5656.4121,68112,230149,799419,531