LQD Options History — November 2020

In November 2020, LQD traded between $134.00 and $138.40. ATM implied volatility averaged 7.1%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 0.1% (HV 20d: 7.0%). Max pain ranged from $134.00 to $135.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.52.

Notable Days

  • 2020-11-19: Highest Volume — 88,035 contracts
  • 2020-11-04: Largest IV drop — 32.4% change
  • 2020-11-02: Highest IV Rank — 9.8%
  • 2020-11-02: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.35$134.00$138.40$134.00$138.40
Max Pain$134.35$134.00$135.00$135.00$135.00
ATM IV7.1%5.8%10.7%10.7%5.8%
Expected Move2.1%1.7%3.4%3.4%1.8%
HV 20d7.0%4.5%7.5%4.6%6.8%
HV 60d5.9%5.4%6.2%5.4%5.8%
IV Rank4.5%2.6%9.8%9.8%2.6%
IV Percentile33.8%21.4%77.0%77.0%21.4%
Term Structure0.0%-0.5%0.7%-0.3%0.2%
VWIV8.2%6.0%13.8%13.8%7.0%
Skew 25d1.7%-0.5%4.7%4.7%0.0%
Skew 10d3.2%-2.0%10.3%10.3%0.8%
Call IV 25d6.9%5.8%9.2%9.2%6.3%
Put IV 25d8.6%6.3%13.9%13.9%6.3%
Bid-Ask Spread %23.625.2962.9944.1517.96
Gamma HHI0.120.080.170.080.15
Net GEX147.1M-149.7M411.1M-143.7M398.0M
Net DEX-741.5M-1.81B607.0M607.0M-1.63B
Net VEX-5.9M-7.6M-4.4M-7.6M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.2211.572.250.27
Total Volume35,174.76,20388,03553,61220,317
Total OI708,445.1613,903872,537613,903749,387

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$134.00$135.0010.7%3.4%4.6%9.8%13.8%4.7%-0.3%-143.7M607.0M-7.6M2.2544.1516,49137,121216,701397,202
2020-11-03$134.00$135.009.9%3.1%4.5%8.6%10.4%3.8%-0.4%-149.7M595.9M-7.1M1.1511.856,9818,035216,701397,202
2020-11-04$135.99$134.006.7%1.9%6.9%3.9%8.0%1.8%0.0%106.3M-525.4M-5.7M0.7162.9912,1888,687231,169430,573
2020-11-05$136.51$134.006.7%1.9%6.9%3.9%6.9%2.4%-0.0%115.6M-727.9M-5.5M1.9215.724,2488,155229,760438,150
2020-11-06$136.22$134.006.9%2.0%7.0%4.2%7.4%2.9%-0.1%128.3M-610.5M-5.6M0.709.1620,04913,962232,374436,105
2020-11-09$135.19$134.007.2%2.1%7.2%4.6%8.1%2.8%0.4%7.5M-79.5M-6.2M0.9753.1012,02511,654240,650397,680
2020-11-10$134.90$134.007.0%2.1%7.2%4.3%6.9%1.8%0.4%-50.9M7.9M-5.9M0.6522.0217,22311,174236,525401,600
2020-11-11$135.03$134.006.8%2.1%7.2%4.1%8.1%1.7%0.6%-47.8M1.7M-5.9M6.0216.625,12930,854233,737411,579
2020-11-12$135.44$134.007.0%2.2%7.3%4.3%7.7%2.1%0.7%-3.9M-228.6M-6.0M4.5936.418,60739,517240,833430,661
2020-11-13$135.72$134.007.2%2.2%7.4%4.6%9.0%1.9%0.7%83.9M-424.6M-6.4M0.5441.9845,72524,530246,463460,926
2020-11-16$136.17$134.007.1%2.1%7.4%4.5%9.5%1.3%-0.2%125.6M-633.7M-6.0M1.1527.0515,51817,852248,653458,210
2020-11-17$136.64$134.007.1%2.1%7.4%4.4%8.3%1.6%-0.1%176.2M-962.7M-5.5M2.4233.125,41613,088256,973465,004
2020-11-18$136.89$134.007.6%2.2%7.3%5.2%7.9%1.6%-0.5%196.7M-1.10B-6.4M0.226.8968,82115,388280,825472,298
2020-11-19$137.76$134.006.9%2.0%7.5%4.2%7.8%1.2%-0.1%317.5M-1.81B-5.7M1.5216.2134,96753,068342,006479,870
2020-11-20$137.61$135.006.6%1.9%7.5%3.8%9.4%1.3%0.1%260.9M-1.71B-7.1M11.5712.833,45139,939364,129508,408
2020-11-23$137.74$134.006.7%2.0%7.5%3.9%7.2%0.6%-0.1%350.2M-1.49B-5.7M7.096.003,39424,066301,212444,390
2020-11-24$137.47$135.006.3%1.9%7.5%3.4%7.6%0.4%-0.1%267.4M-1.26B-6.2M0.4511.3121,8839,892304,064461,284
2020-11-25$137.50$135.006.0%1.8%7.2%2.8%6.3%-0.5%-0.1%393.6M-1.36B-4.8M3.5921.821,3524,851285,551465,910
2020-11-27$137.89$135.005.8%1.7%7.1%2.6%6.0%-0.4%-0.1%411.1M-1.49B-4.9M2.635.292,1675,709285,371468,766
2020-11-30$138.40$135.005.8%1.8%6.8%2.6%7.0%0.0%0.2%398.0M-1.63B-4.4M0.2717.9615,9704,347284,107465,280