LQD Options History — August 2020

In August 2020, LQD traded between $134.72 and $139.14. ATM implied volatility averaged 8.9%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 3.9% (HV 20d: 5.1%). Max pain ranged from $132.00 to $137.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 4.98.

Notable Days

  • 2020-08-12: Highest Volume — 45,878 contracts
  • 2020-08-13: Largest IV spike — 19.4% change
  • 2020-08-14: Highest IV Rank — 10.5%
  • 2020-08-14: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.72$134.72$139.14$138.22$135.54
Max Pain$135.21$132.00$137.50$137.50$135.00
ATM IV8.9%7.6%11.2%8.5%8.9%
Expected Move2.5%1.9%3.3%2.5%2.3%
HV 20d5.1%3.6%6.4%3.6%6.4%
HV 60d5.9%5.5%6.1%5.9%6.1%
IV Rank7.2%5.2%10.5%6.6%7.1%
IV Percentile68.6%53.6%81.0%69.8%68.7%
Term Structure0.1%-0.3%0.5%-0.3%0.2%
VWIV9.4%7.1%11.9%9.8%8.2%
Skew 25d2.9%1.5%4.1%2.6%2.3%
Skew 10d5.9%2.1%10.8%2.7%2.9%
Call IV 25d8.1%6.9%9.7%7.6%8.5%
Put IV 25d10.9%8.5%13.9%10.2%10.7%
Bid-Ask Spread %19.627.1640.6740.679.50
Gamma HHI0.230.150.300.160.28
Net GEX-479.8M-665.7M-213.4M-219.7M-550.0M
Net DEX1.16B-161.3M2.37B-4.9M1.18B
Net VEX-12.3M-14.9M-6.9M-7.3M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.980.3241.925.723.20
Total Volume20,802.6674,87845,87814,28010,619
Total OI930,656.238637,7321,027,788637,732965,473

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$138.22$137.508.5%2.5%3.6%6.6%9.8%2.6%-0.3%-219.7M-4.9M-7.3M5.7240.672,12612,154113,947523,785
2020-08-04$138.69$137.507.8%2.2%3.7%5.5%8.3%2.4%-0.0%-213.4M-161.3M-6.9M0.4026.1517,7187,075115,407534,838
2020-08-05$138.61$137.508.4%2.4%3.7%6.4%9.6%2.6%-0.2%-345.9M392.1M-11.4M1.0235.5810,77710,982130,954751,434
2020-08-06$139.14$132.007.7%2.2%3.6%5.4%9.9%2.9%-0.2%-313.4M-6.5M-10.4M1.5018.2413,95120,909141,190759,018
2020-08-07$138.79$135.007.6%2.2%3.7%5.2%9.7%2.5%-0.2%-356.7M288.5M-12.1M9.4417.557386,964154,434777,966
2020-08-10$138.50$135.007.8%2.3%3.7%5.4%8.1%2.6%0.2%-359.0M212.0M-10.9M0.3220.6220,8466,596152,520775,144
2020-08-11$137.65$135.008.3%2.3%4.3%6.2%10.4%2.7%-0.0%-412.6M644.5M-12.4M12.4320.108039,978173,023780,979
2020-08-12$137.39$135.008.9%2.6%4.3%7.2%10.2%3.3%0.1%-438.9M886.7M-13.1M41.9232.011,06944,809173,044782,809
2020-08-13$136.03$135.0010.7%3.0%5.5%9.7%11.0%3.5%-0.3%-547.7M1.90B-14.7M5.2819.865,32328,098173,429794,396
2020-08-14$135.38$135.0011.2%3.3%5.6%10.5%11.9%4.1%0.4%-597.9M2.37B-14.9M6.2611.144,43127,722171,810807,460
2020-08-17$135.68$135.0010.7%3.0%5.6%9.7%10.8%3.8%0.1%-568.5M2.09B-14.6M3.478.075,03317,488167,448818,450
2020-08-18$136.15$135.0010.6%3.0%5.7%9.6%10.9%3.8%-0.2%-550.0M1.86B-14.3M4.4511.345,33223,723172,527827,631
2020-08-19$135.69$135.0010.1%2.9%5.7%8.9%9.8%3.5%0.4%-589.1M2.12B-14.8M2.0618.371,5923,286177,022846,492
2020-08-20$136.19$135.009.7%2.8%5.9%8.2%9.6%3.6%0.4%-573.4M1.76B-13.9M0.9630.436,3466,094176,881845,031
2020-08-21$136.46$135.008.8%2.5%5.9%6.9%8.9%3.1%-0.2%-665.7M1.30B-12.4M1.2522.346,7978,523182,755845,033
2020-08-24$136.22$135.008.6%2.4%5.9%6.6%9.0%2.7%0.4%-472.1M1.22B-12.9M2.8815.0210,36429,881172,313750,658
2020-08-25$135.72$135.008.2%2.2%6.0%6.1%7.6%3.1%0.3%-532.9M1.49B-13.1M0.5915.605,8353,441181,776760,882
2020-08-26$135.57$135.007.6%1.9%5.8%5.2%7.1%1.5%0.4%-567.5M1.21B-11.6M0.417.164,8831,985186,012762,626
2020-08-27$134.72$135.008.8%2.3%6.0%7.0%8.6%1.7%0.5%-617.5M1.83B-12.6M0.448.0716,2997,145185,125766,183
2020-08-28$134.88$135.008.9%2.3%6.0%7.2%8.3%1.6%0.5%-584.8M1.73B-12.6M0.6824.245,4343,687193,043772,833
2020-08-31$135.54$135.008.9%2.3%6.4%7.1%8.2%2.3%0.2%-550.0M1.18B-11.2M3.209.502,5278,092191,818773,655