LQD Options History — December 2020

In December 2020, LQD traded between $136.39 and $138.12. ATM implied volatility averaged 6.6%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.3% (HV 20d: 5.3%). Max pain ranged from $135.00 to $136.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.23.

Notable Days

  • 2020-12-09: Highest Volume — 321,656 contracts
  • 2020-12-31: Largest IV spike — 12.2% change
  • 2020-12-09: Highest IV Rank — 4.9%
  • 2020-12-09: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$137.34$136.39$138.12$137.61$138.12
Max Pain$135.45$135.00$136.00$136.00$136.00
ATM IV6.6%5.7%7.4%6.6%7.0%
Expected Move2.0%1.7%2.4%2.0%1.9%
HV 20d5.3%4.1%7.4%7.3%4.1%
HV 60d5.7%5.5%5.8%5.5%5.5%
IV Rank3.8%2.5%4.9%3.8%4.3%
IV Percentile24.2%16.3%37.3%25.8%28.2%
Term Structure0.2%-0.5%1.1%0.7%-0.1%
VWIV8.6%6.3%15.0%7.5%10.4%
Skew 25d2.5%0.8%3.9%0.8%3.0%
Skew 10d5.7%1.5%7.9%1.5%7.9%
Call IV 25d6.0%5.4%6.9%6.7%5.8%
Put IV 25d8.5%7.5%10.1%7.5%8.7%
Bid-Ask Spread %20.582.6561.859.515.46
Gamma HHI0.140.090.230.120.17
Net GEX201.9M-13.4M619.6M168.4M287.0M
Net DEX-395.4M-859.1M53.4M-676.7M-859.1M
Net VEX-8.3M-10.6M-5.2M-5.2M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.230.4319.115.890.99
Total Volume39,612.2274,764321,65619,83024,678
Total OI891,107.455700,1161,100,870700,116933,549

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$137.61$136.006.6%2.0%7.3%3.8%7.5%0.8%0.7%168.4M-676.7M-5.2M5.899.512,87616,954233,970466,146
2020-12-02$137.25$136.006.6%2.1%7.4%3.7%8.8%1.9%0.5%86.0M-405.8M-5.8M3.4014.861,3544,603235,043477,565
2020-12-03$137.83$135.006.6%2.1%5.6%3.7%15.0%2.4%0.4%162.3M-655.9M-5.4M2.4652.8825,51962,859236,161478,491
2020-12-04$137.03$135.006.9%2.2%5.9%4.2%7.3%2.4%0.6%108.0M-440.4M-5.9M0.4428.0023,09610,203261,176460,597
2020-12-07$137.19$135.007.0%2.1%5.9%4.3%7.9%2.3%0.3%159.3M-447.2M-5.7M16.8231.085709,588256,405461,453
2020-12-08$136.93$135.007.1%2.1%5.2%4.5%8.4%2.0%0.3%137.8M-342.5M-5.7M7.2713.541,72312,532256,694468,382
2020-12-09$136.39$135.007.4%2.4%5.3%4.9%9.5%2.7%1.1%-13.4M53.4M-5.8M1.6449.32121,874199,782256,315478,962
2020-12-10$137.08$135.006.9%2.1%5.6%4.2%9.9%2.5%0.3%132.0M-141.0M-9.8M2.8235.889,28826,162345,975637,861
2020-12-11$137.15$136.006.5%1.9%5.5%3.6%6.5%2.0%0.3%185.4M-251.7M-9.3M19.1113.641,74033,243351,526650,965
2020-12-14$137.14$135.006.7%1.9%5.5%3.8%10.7%2.7%-0.1%126.0M-113.7M-9.5M5.936.602,59215,382350,933672,054
2020-12-15$137.36$135.006.6%1.9%5.4%3.7%9.7%2.5%-0.5%243.0M-341.9M-8.9M5.206.452,41012,538351,956682,160
2020-12-16$137.25$135.006.8%2.0%5.3%4.1%10.0%2.4%0.1%347.9M-213.9M-9.1M0.4361.8546,35819,970351,976687,002
2020-12-17$137.18$135.006.4%1.8%5.3%3.5%10.3%2.5%0.1%316.4M-346.8M-10.1M1.666.6714,51224,108383,744700,762
2020-12-18$137.08$135.006.9%2.0%4.7%4.1%6.3%2.9%0.0%619.6M-306.5M-10.5M1.234.7914,49017,858396,130704,740
2020-12-21$136.85$135.006.5%2.1%4.7%3.6%7.7%2.5%-0.3%59.8M50.4M-10.6M2.7439.656,48417,788316,827571,358
2020-12-22$137.26$136.006.9%2.1%4.9%4.2%6.7%3.9%0.1%125.1M-242.5M-10.1M2.0027.582,7645,538318,087584,931
2020-12-23$137.26$136.006.4%1.9%4.8%3.4%8.8%2.9%0.1%107.6M-262.6M-10.0M1.5723.766,2109,723318,434590,030
2020-12-24$137.75$136.006.4%1.7%5.0%3.4%7.6%2.8%0.7%267.3M-624.9M-9.4M1.364.252,0212,743322,552593,746
2020-12-28$137.81$136.005.7%1.7%4.9%2.5%6.8%2.3%0.5%241.5M-637.0M-8.8M3.562.654,59916,354317,857590,345
2020-12-29$137.88$136.006.0%1.7%4.7%2.9%6.9%2.6%0.2%279.1M-719.6M-8.7M2.946.761,9445,720322,171603,096
2020-12-30$137.99$136.006.2%1.8%4.2%3.2%7.0%2.9%0.2%294.8M-774.1M-8.7M3.577.596,71724,002323,276602,961
2020-12-31$138.12$136.007.0%1.9%4.1%4.3%10.4%3.0%-0.1%287.0M-859.1M-8.9M0.995.4612,37612,302322,604610,945