LQD Options History — June 2020

In June 2020, LQD traded between $131.56 and $134.33. ATM implied volatility averaged 9.4%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 2.2% (HV 20d: 7.2%). Max pain ranged from $130.00 to $132.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.95.

Notable Days

  • 2020-06-04: Highest Volume — 51,432 contracts
  • 2020-06-11: Largest IV spike — 14.5% change
  • 2020-06-15: Highest IV Rank — 11.0%
  • 2020-06-15: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.04$131.56$134.33$131.56$134.33
Max Pain$130.73$130.00$132.00$130.00$132.00
ATM IV9.4%7.9%11.5%7.9%8.5%
Expected Move2.7%2.1%3.3%2.1%2.3%
HV 20d7.2%4.9%8.1%7.7%7.5%
HV 60d21.7%12.0%33.3%33.3%12.0%
IV Rank7.9%5.6%11.0%5.6%6.5%
IV Percentile76.1%69.8%82.1%75.4%69.8%
Term Structure0.0%-0.3%0.5%-0.2%0.2%
VWIV9.9%8.1%13.8%8.1%8.6%
Skew 25d1.4%0.6%2.5%1.8%1.5%
Skew 10d2.7%0.6%6.1%5.1%2.3%
Call IV 25d9.1%7.6%11.1%7.6%8.2%
Put IV 25d10.5%9.3%12.8%9.4%9.7%
Bid-Ask Spread %42.7517.9971.6749.7522.37
Gamma HHI0.110.090.190.110.11
Net GEX33.5M-34.9M98.3M13.6M42.4M
Net DEX-421.4M-793.4M-167.1M-232.5M-442.7M
Net VEX-4.5M-5.1M-3.9M-4.9M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.187.395.381.09
Total Volume14,726.5911,70951,4329,6903,818
Total OI478,262.409298,501600,662516,885309,004

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$131.56$130.007.9%2.1%7.7%5.6%8.1%1.8%-0.2%13.6M-232.5M-4.9M5.3849.751,5208,170114,349402,536
2020-06-02$132.10$130.008.4%2.2%7.7%6.4%8.7%1.5%0.0%22.3M-336.1M-4.6M3.7144.505,74521,288113,208409,114
2020-06-03$131.89$130.008.5%2.3%7.8%6.5%8.3%1.4%-0.1%-9.0M-265.5M-4.8M0.5027.7516,8748,422114,722421,715
2020-06-04$131.75$130.008.9%2.5%6.3%7.1%9.2%1.6%-0.2%-34.9M-209.5M-4.9M4.3836.289,55241,880117,973432,619
2020-06-05$132.25$130.008.8%2.5%6.4%6.9%9.7%1.5%-0.0%24.2M-357.3M-4.8M2.7550.604,46712,300118,713434,546
2020-06-08$132.58$130.008.2%2.5%5.9%6.1%8.7%1.5%-0.2%20.6M-381.4M-4.7M0.6259.944,0162,499118,927429,184
2020-06-09$132.51$130.009.0%2.6%5.2%7.3%8.7%1.3%-0.1%30.2M-406.3M-4.7M0.4671.671,168541122,168431,485
2020-06-10$133.28$130.008.8%2.6%4.9%7.0%9.6%1.4%0.3%63.6M-612.9M-4.3M0.4268.095,1672,192122,226432,078
2020-06-11$131.79$130.0010.1%2.9%6.9%8.9%10.8%2.5%-0.1%-14.5M-167.1M-5.1M3.2357.082,0346,576123,036433,205
2020-06-12$132.25$130.0010.3%2.9%6.8%9.1%12.0%2.3%-0.0%5.2M-301.6M-4.8M7.3961.271,80113,301124,259434,333
2020-06-15$134.06$130.0011.5%3.3%8.0%11.0%13.8%1.7%0.0%51.1M-696.4M-4.2M0.7571.1926,94020,093121,053433,094
2020-06-16$133.72$130.0010.8%3.1%8.1%10.0%10.8%0.6%-0.3%71.4M-686.1M-4.3M0.7370.9210,2817,535135,758450,181
2020-06-17$133.36$130.0010.6%3.0%8.1%9.6%11.0%1.0%-0.2%96.3M-636.0M-4.5M2.8941.432,9628,569137,829447,837
2020-06-18$133.81$130.0010.1%2.9%7.6%8.9%10.4%1.2%-0.2%94.8M-728.3M-4.2M0.8350.346,9515,797138,412452,293
2020-06-19$134.00$132.009.8%2.8%7.5%8.5%10.0%1.0%-0.0%98.3M-793.4M-4.2M0.3127.0610,2363,221143,368457,294
2020-06-22$133.79$132.009.9%2.9%7.6%8.7%10.6%1.0%0.3%30.5M-350.7M-4.1M0.3922.563,5091,364100,937197,564
2020-06-23$133.64$132.009.9%2.9%7.6%8.7%10.7%1.1%0.5%19.2M-323.5M-4.4M2.3120.915,81813,466102,325199,286
2020-06-24$133.33$132.009.8%2.8%7.7%8.4%10.3%1.2%0.2%21.9M-276.3M-4.4M0.1818.758,6511,532104,505201,622
2020-06-25$133.44$132.009.1%2.6%7.6%7.4%10.7%1.1%0.4%36.5M-327.3M-4.3M0.9818.412,3882,340111,662202,831
2020-06-26$133.57$132.008.7%2.5%7.6%6.8%8.8%1.0%0.2%22.9M-379.3M-4.1M2.6717.991,6834,496113,494204,457
2020-06-29$133.90$132.009.1%2.5%7.5%7.4%9.2%1.4%0.1%30.5M-360.2M-4.1M0.8531.651,5291,293108,934197,637
2020-06-30$134.33$132.008.5%2.3%7.5%6.5%8.6%1.5%0.2%42.4M-442.7M-3.9M1.0922.371,8281,990110,115198,889