LQD Options History — July 2020

In July 2020, LQD traded between $134.76 and $138.40. ATM implied volatility averaged 7.7%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.9% (HV 20d: 4.7%). Max pain ranged from $133.00 to $137.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 13.05.

Notable Days

  • 2020-07-28: Highest Volume — 240,046 contracts
  • 2020-07-16: Largest IV spike — 8.7% change
  • 2020-07-01: Highest IV Rank — 6.1%
  • 2020-07-28: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.87$134.76$138.40$134.76$138.40
Max Pain$135.16$133.00$137.50$133.00$137.50
ATM IV7.7%7.0%8.2%8.2%8.0%
Expected Move2.2%2.0%2.4%2.2%2.4%
HV 20d4.7%2.8%7.5%7.5%3.5%
HV 60d7.4%5.9%11.6%11.6%5.9%
IV Rank5.3%4.3%6.1%6.1%5.8%
IV Percentile63.6%59.1%68.3%68.3%65.5%
Term Structure-0.0%-0.3%0.2%0.1%0.0%
VWIV8.2%7.1%9.9%9.8%8.6%
Skew 25d1.6%1.2%2.0%1.9%1.9%
Skew 10d3.7%1.8%7.0%3.7%1.8%
Call IV 25d7.4%6.7%7.8%7.8%7.7%
Put IV 25d9.0%7.9%9.7%9.7%9.6%
Bid-Ask Spread %25.8810.2861.3861.3827.48
Gamma HHI0.130.070.190.130.17
Net GEX2.6M-254.6M69.2M52.5M-254.6M
Net DEX-703.3M-1.04B-323.1M-444.0M-347.2M
Net VEX-4.2M-6.7M-3.1M-4.1M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.050.58215.062.331.38
Total Volume25,670.7272,474240,04628,5916,148
Total OI425,486.318306,517675,538306,517675,538

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$134.76$133.008.2%2.2%7.5%6.1%9.8%1.9%0.1%52.5M-444.0M-4.1M2.3361.388,58320,008106,085200,432
2020-07-02$135.03$133.008.1%2.2%7.4%6.0%8.5%1.4%0.2%58.7M-481.7M-4.2M1.3816.0111,55215,942113,196216,770
2020-07-06$135.36$135.008.0%2.4%7.4%5.8%8.5%1.9%-0.1%49.5M-540.7M-4.4M2.4726.985,63713,897122,854228,109
2020-07-07$135.61$135.008.0%2.3%7.4%5.8%7.9%1.6%-0.1%66.5M-606.7M-4.3M3.8522.928763,372124,425230,848
2020-07-08$135.54$135.008.0%2.3%7.4%5.8%9.9%2.0%-0.1%69.2M-600.4M-4.2M26.2226.811,53840,328124,960231,985
2020-07-09$136.14$135.007.9%2.2%7.3%5.7%8.8%1.7%-0.0%56.8M-726.9M-3.9M3.2924.971,7615,786125,279268,071
2020-07-10$135.83$135.007.6%2.2%5.8%5.2%8.1%1.6%0.1%54.6M-648.4M-4.1M1.0227.041,2251,249125,901271,743
2020-07-13$135.60$135.007.8%2.2%5.9%5.5%7.8%1.4%-0.1%34.2M-566.6M-4.1M0.5815.174,9462,853125,469276,438
2020-07-14$136.21$135.007.3%2.1%3.9%4.8%7.5%1.2%0.2%48.4M-746.5M-3.7M1.0421.824,7744,942128,133277,550
2020-07-15$136.50$135.007.0%2.1%3.7%4.4%7.6%1.3%0.1%25.8M-797.9M-3.7M1.7528.4318,40732,233127,717281,362
2020-07-16$136.92$135.007.6%2.1%3.5%5.3%7.5%1.3%-0.3%33.3M-933.7M-3.5M2.3723.278,30619,667134,490282,324
2020-07-17$137.26$135.007.0%2.0%3.4%4.4%7.1%1.6%-0.1%19.6M-943.4M-3.9M1.2533.682,7173,408139,630301,481
2020-07-20$137.57$135.007.0%2.0%3.4%4.3%7.3%1.2%0.1%30.6M-867.0M-3.5M3.2512.722,3867,749124,910249,863
2020-07-21$137.92$135.007.0%2.0%3.3%4.3%7.1%1.3%-0.1%38.0M-922.9M-3.4M0.6010.282,6851,602126,253254,950
2020-07-22$138.25$135.007.3%2.1%3.2%4.8%7.4%1.3%-0.1%53.7M-988.7M-3.2M0.5836.742,9001,676127,658255,978
2020-07-23$138.39$135.007.3%2.1%2.8%4.8%7.7%1.5%-0.2%64.7M-1.04B-3.1M8.3016.923,14326,074128,401257,185
2020-07-24$138.18$135.007.5%2.2%3.0%5.1%7.8%1.5%-0.2%42.4M-983.9M-3.3M2.9514.634,08312,032130,473282,406
2020-07-27$137.74$135.007.7%2.3%3.5%5.4%8.3%1.7%0.0%10.0M-823.9M-3.7M2.6213.511,4343,754131,079292,659
2020-07-28$137.64$135.008.1%2.4%3.6%5.9%9.0%1.5%0.1%-11.9M-738.3M-4.0M215.0627.881,111238,935130,720292,830
2020-07-29$138.14$137.508.0%2.4%3.6%5.8%8.4%1.8%0.1%-238.8M-400.7M-6.2M3.0959.072,9309,042130,442529,332
2020-07-30$138.21$137.508.0%2.3%3.5%5.7%9.4%1.9%0.1%-246.1M-323.1M-6.7M1.7521.631,1151,950132,079542,691
2020-07-31$138.40$137.508.0%2.4%3.5%5.8%8.6%1.9%0.0%-254.6M-347.2M-6.7M1.3827.482,5823,566132,021543,517