LQD Options History — October 2020

In October 2020, LQD traded between $133.89 and $135.74. ATM implied volatility averaged 8.1%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.8% (HV 20d: 4.3%). Max pain ranged from $135.00 to $135.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 5.08.

Notable Days

  • 2020-10-21: Highest Volume — 104,751 contracts
  • 2020-10-28: Largest IV spike — 27.2% change
  • 2020-10-30: Highest IV Rank — 9.8%
  • 2020-10-30: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.87$133.89$135.74$134.82$133.89
Max Pain$135.00$135.00$135.00$135.00$135.00
ATM IV8.1%6.9%10.7%8.2%10.7%
Expected Move2.3%1.9%3.4%2.3%3.4%
HV 20d4.3%3.7%5.0%5.0%4.7%
HV 60d5.4%5.3%5.5%5.4%5.4%
IV Rank6.0%4.2%9.8%6.1%9.8%
IV Percentile50.5%35.7%77.4%57.1%77.4%
Term Structure-0.0%-0.4%1.0%1.0%-0.4%
VWIV9.2%7.2%15.1%10.6%15.1%
Skew 25d2.5%1.3%5.0%2.6%5.0%
Skew 10d5.7%2.4%8.5%6.5%6.7%
Call IV 25d7.4%6.2%9.5%7.3%9.5%
Put IV 25d9.9%7.9%14.5%9.9%14.5%
Bid-Ask Spread %23.477.1047.3629.3913.63
Gamma HHI0.260.080.630.410.08
Net GEX-370.5M-1.09B57.2M-798.8M-170.4M
Net DEX471.3M-221.1M1.68B1.38B625.0M
Net VEX-5.9M-8.6M-4.0M-8.6M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.081.0449.313.8110.11
Total Volume27,122.0453,885104,75110,88835,041
Total OI727,611.227403,920941,877930,786598,015

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$134.82$135.008.2%2.3%5.0%6.1%10.6%2.6%1.0%-798.8M1.38B-8.6M3.8129.392,2648,624186,378744,408
2020-10-02$134.86$135.008.6%2.4%5.0%6.7%8.5%2.6%0.8%-743.5M1.37B-8.5M1.557.321,5252,360187,309749,652
2020-10-05$134.36$135.009.0%2.8%3.7%7.3%9.6%2.8%0.2%-1.02B1.68B-8.1M2.1823.952,6695,815183,797745,393
2020-10-06$134.60$135.009.3%2.7%3.8%7.7%9.1%3.0%-0.3%-926.4M1.55B-7.8M2.1230.455,36611,350185,859748,949
2020-10-07$134.24$135.009.3%2.7%3.9%7.8%10.9%2.4%-0.2%-1.01B1.68B-7.3M1.1429.375,5546,352188,470752,342
2020-10-08$134.67$135.008.2%2.4%4.1%6.0%9.4%1.9%0.1%-1.09B1.09B-6.5M49.317.101,25862,038187,828754,049
2020-10-09$134.75$135.007.8%2.2%4.0%5.6%8.8%2.2%0.4%-811.8M801.0M-5.8M1.0416.786,4376,699188,612704,718
2020-10-12$135.60$135.007.5%2.1%4.6%5.1%7.9%1.7%-0.3%-368.9M-27.1M-4.9M2.3810.5711,02126,238194,012701,280
2020-10-13$135.57$135.007.6%2.1%4.6%5.2%10.0%2.0%-0.3%-422.0M35.5M-4.9M2.4313.893,2927,985194,422711,546
2020-10-14$135.74$135.007.6%2.2%4.6%5.3%7.4%1.9%-0.1%-234.8M-221.1M-4.3M1.5019.291,8242,731196,817714,020
2020-10-15$135.53$135.007.5%2.1%4.6%5.1%7.2%1.8%-0.3%-140.5M-210.0M-4.3M1.6810.6312,60321,138198,023710,306
2020-10-16$135.46$135.007.0%2.0%4.5%4.3%7.7%2.6%0.1%57.2M-215.9M-4.3M1.4616.3713,08819,171209,019729,249
2020-10-19$135.11$135.006.9%1.9%4.6%4.2%7.6%1.7%0.2%902.5K-102.3M-4.0M1.6827.954,6437,789171,796232,124
2020-10-20$134.78$135.007.4%2.1%4.6%4.9%9.5%2.0%0.1%-4.9M1.2M-4.5M2.127.614,81010,198172,113236,296
2020-10-21$134.60$135.007.3%2.1%4.0%4.8%8.1%2.5%-0.1%-43.2M83.2M-4.3M7.5521.3612,25092,501170,959244,881
2020-10-22$134.25$135.007.1%2.0%4.0%4.4%7.2%1.3%-0.1%-97.3M210.3M-4.8M2.0438.688,77417,905180,680291,494
2020-10-23$134.67$135.007.2%2.1%4.2%4.6%8.7%1.6%-0.3%-73.5M90.1M-5.0M1.1243.2513,14014,710187,768302,285
2020-10-26$134.89$135.007.5%2.2%3.9%5.1%8.3%2.3%-0.0%-45.2M72.5M-5.7M3.7441.806,12022,888197,232308,765
2020-10-27$135.43$135.007.3%2.1%4.1%4.7%7.2%3.2%-0.1%-16.4M-152.1M-5.3M1.9947.368,42016,740200,833323,852
2020-10-28$134.85$135.009.3%2.7%4.4%7.7%11.7%2.6%-0.1%-36.2M191.4M-6.6M9.0639.813,95835,847207,469335,050
2020-10-29$134.42$135.0010.0%3.0%4.6%8.8%12.4%4.8%-0.3%-148.0M438.8M-6.9M1.7919.7512,03721,512206,759372,618
2020-10-30$133.89$135.0010.7%3.4%4.7%9.8%15.1%5.0%-0.4%-170.4M625.0M-7.2M10.1113.633,15531,886217,020380,995