LQD Options History — September 2020

In September 2020, LQD traded between $134.22 and $136.75. ATM implied volatility averaged 9.0%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 2.8% (HV 20d: 6.3%). Max pain ranged from $135.00 to $136.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2020-09-10: Highest Volume — 53,344 contracts
  • 2020-09-23: Largest IV spike — 15.4% change
  • 2020-09-04: Highest IV Rank — 11.3%
  • 2020-09-04: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.40$134.22$136.75$136.07$134.67
Max Pain$135.79$135.00$136.00$135.00$135.00
ATM IV9.0%7.3%11.7%9.0%8.1%
Expected Move2.5%2.1%3.4%2.4%2.3%
HV 20d6.3%5.4%7.4%6.5%5.4%
HV 60d5.5%5.3%6.2%6.1%5.4%
IV Rank7.3%4.8%11.3%7.4%5.9%
IV Percentile64.0%46.4%84.5%70.6%54.4%
Term Structure0.3%-0.4%1.3%0.0%1.0%
VWIV9.9%7.4%12.4%9.0%8.1%
Skew 25d2.1%1.0%3.0%1.7%1.9%
Skew 10d5.0%2.3%8.0%3.8%4.5%
Call IV 25d8.5%7.0%11.9%8.7%7.5%
Put IV 25d10.6%8.6%13.4%10.5%9.4%
Bid-Ask Spread %18.814.4749.2135.3633.89
Gamma HHI0.330.220.540.250.54
Net GEX-586.7M-909.7M-348.6M-425.2M-875.6M
Net DEX1.29B481.8M2.11B1.11B1.38B
Net VEX-10.0M-13.8M-7.6M-12.0M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.167.160.791.69
Total Volume20,915.4766,27353,34410,7346,320
Total OI968,226.762868,3021,047,186961,215928,134

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$136.07$135.009.0%2.4%6.5%7.4%9.0%1.7%0.0%-425.2M1.11B-12.0M0.7935.366,0044,730181,677779,538
2020-09-02$136.75$135.0010.1%2.6%6.8%8.8%11.7%1.9%-0.1%-348.6M691.4M-11.5M1.9244.0514,43927,715185,031781,114
2020-09-03$136.51$136.0010.6%3.2%6.6%9.6%12.0%1.5%0.2%-355.2M1.05B-13.3M1.8429.576,98012,821194,544799,174
2020-09-04$135.12$136.0011.7%3.4%7.4%11.3%12.3%1.0%-0.4%-459.7M1.98B-13.8M7.1649.211,83213,122188,479789,900
2020-09-08$135.18$136.0011.6%3.3%7.4%11.1%12.4%3.0%0.0%-510.1M1.82B-12.5M1.5616.766,0039,386183,273799,006
2020-09-09$135.08$136.0011.2%3.1%7.1%10.5%12.1%2.5%-0.3%-539.9M1.88B-12.2M1.8330.387,40013,513183,570801,763
2020-09-10$135.25$136.0010.4%2.9%7.2%9.3%11.1%2.4%-0.3%-529.4M1.82B-11.7M0.1635.6245,8177,527182,643806,777
2020-09-11$135.49$136.009.2%2.6%6.3%7.5%10.7%2.4%-0.1%-523.9M1.27B-10.9M0.236.8814,0483,245227,143819,329
2020-09-14$135.68$136.008.1%2.3%6.1%6.0%9.4%1.9%0.5%-565.1M1.23B-10.7M2.976.977,29221,673221,190811,230
2020-09-15$135.92$136.008.0%2.3%6.1%5.8%8.2%1.7%0.1%-495.8M960.9M-9.8M0.935.404,6274,315220,604826,582
2020-09-16$135.83$136.007.5%2.2%6.0%5.1%9.1%1.7%0.3%-511.1M709.1M-8.5M2.4317.561,8274,446222,705816,318
2020-09-17$136.00$136.007.3%2.1%5.9%4.8%7.4%1.6%0.4%-388.5M481.8M-7.8M1.225.063,7584,586222,221819,327
2020-09-18$135.71$136.007.4%2.1%5.8%4.9%7.7%1.6%0.5%-512.6M762.6M-7.8M1.238.2215,91519,517224,395820,921
2020-09-21$135.54$136.008.0%2.2%5.7%5.8%10.3%2.2%0.2%-688.1M952.5M-8.4M3.689.312,87010,549176,004692,298
2020-09-22$135.62$136.007.9%2.2%5.7%5.6%8.7%2.9%0.3%-534.3M822.3M-7.7M0.429.0212,1395,101174,133694,460
2020-09-23$134.71$136.009.1%2.7%6.0%7.4%10.2%2.4%0.2%-767.2M1.70B-9.7M3.8714.662,3098,947194,157706,621
2020-09-24$134.39$136.008.8%2.4%6.1%7.0%8.7%2.7%0.4%-909.7M1.77B-9.0M0.6812.3212,7888,650195,277713,426
2020-09-25$134.22$135.509.3%2.6%5.7%7.6%10.6%2.2%0.2%-849.0M2.11B-9.6M1.175.4423,36127,222200,414719,522
2020-09-28$134.81$135.508.1%2.2%5.9%5.9%8.4%2.1%1.0%-724.9M1.30B-7.8M3.394.471,6425,568177,936736,983
2020-09-29$134.75$135.508.7%2.4%5.6%6.8%9.0%2.3%1.3%-806.8M1.37B-8.0M0.9914.9214,68814,533177,747737,196
2020-09-30$134.67$135.008.1%2.3%5.4%5.9%8.1%1.9%1.0%-875.6M1.38B-7.6M1.6933.892,3463,974184,441743,693