LQD Options History — January 2021

In January 2021, LQD traded between $135.22 and $137.47. ATM implied volatility averaged 6.8%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.7% (HV 20d: 5.1%). Max pain ranged from $136.00 to $138.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.66.

Notable Days

  • 2021-01-19: Highest Volume — 128,577 contracts
  • 2021-01-20: Largest IV drop — 14.4% change
  • 2021-01-05: Highest IV Rank — 6.6%
  • 2021-01-05: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.08$135.22$137.47$137.47$135.53
Max Pain$137.21$136.00$138.00$137.00$137.00
ATM IV6.8%5.5%8.6%8.1%6.3%
Expected Move1.9%1.6%2.3%2.3%1.7%
HV 20d5.1%3.8%5.7%4.2%5.6%
HV 60d5.9%5.6%6.1%5.6%5.9%
IV Rank3.9%1.9%6.6%5.9%3.0%
IV Percentile25.1%9.1%57.1%50.0%13.1%
Term Structure-0.1%-0.8%0.4%-0.8%0.1%
VWIV8.2%5.6%13.6%9.1%6.6%
Skew 25d2.5%1.6%4.3%3.1%2.8%
Skew 10d5.3%1.7%9.5%7.6%6.3%
Call IV 25d6.2%5.2%7.1%6.9%6.0%
Put IV 25d8.7%7.0%11.3%10.0%8.8%
Bid-Ask Spread %35.976.3376.0438.7750.99
Gamma HHI0.150.130.190.150.15
Net GEX-220.1M-496.6M160.2M160.2M-375.4M
Net DEX528.9M-405.6M1.56B-405.6M641.7M
Net VEX-9.6M-11.1M-8.7M-9.0M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.0916.964.560.81
Total Volume54,911.1589,034128,57761,23014,071
Total OI1,084,680.579936,4301,254,518938,2381,141,171

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$137.47$137.008.1%2.3%4.2%5.9%9.1%3.1%-0.8%160.2M-405.6M-9.0M4.5638.7711,00350,227328,215610,023
2021-01-05$137.00$137.008.6%2.3%3.8%6.6%13.6%4.3%-0.1%45.6M-58.3M-8.8M2.9561.7132,48595,783329,891654,347
2021-01-06$135.89$137.007.9%2.2%4.8%5.7%9.9%3.1%-0.7%-253.1M1.01B-10.0M3.2865.2919,97065,587348,069692,525
2021-01-07$135.90$136.007.5%2.1%4.7%5.0%11.8%2.9%-0.1%-302.9M1.01B-9.8M1.8176.0413,79024,905335,961729,935
2021-01-08$135.75$136.007.5%2.0%4.6%5.0%7.8%3.0%0.3%-363.8M1.16B-9.3M1.4262.7745,56564,633329,022733,815
2021-01-11$135.22$136.008.0%2.2%4.3%5.8%9.9%3.6%-0.2%-496.6M1.56B-9.9M2.0210.5118,81437,992326,571791,906
2021-01-12$135.50$136.007.1%2.1%4.4%4.6%7.7%2.2%0.1%-481.5M1.17B-8.7M3.6610.499,71135,564333,488806,090
2021-01-13$136.53$138.007.0%1.9%5.2%4.4%8.3%2.7%-0.0%-157.2M311.3M-8.8M3.5729.118,56430,589334,916817,849
2021-01-14$135.93$138.006.9%2.0%5.4%4.2%7.4%2.2%-0.1%-313.1M759.2M-9.3M0.189.9446,8438,466370,781835,409
2021-01-15$136.18$138.006.6%1.8%5.5%3.7%6.8%1.9%-0.1%-124.4M234.3M-9.5M16.969.224,53076,820414,539839,979
2021-01-19$136.42$138.006.7%1.9%5.5%3.9%7.9%2.3%-0.3%-110.3M254.7M-9.4M0.097.10117,72210,855322,751613,679
2021-01-20$136.36$138.005.8%1.7%5.5%2.2%8.4%1.8%-0.0%-226.1M398.8M-11.1M0.496.4032,77615,979411,372672,982
2021-01-21$135.85$138.005.5%1.6%5.6%1.9%8.1%1.8%0.3%-265.4M414.3M-9.4M1.056.3310,75811,283403,142624,203
2021-01-22$135.67$138.005.7%1.6%5.5%2.2%5.6%2.3%0.4%-330.4M820.5M-10.1M3.0011.092,2606,774413,648630,134
2021-01-25$136.21$138.006.0%1.7%5.7%2.5%7.2%1.6%0.1%-191.1M466.0M-9.1M1.0553.7435,09936,681413,908634,411
2021-01-26$136.36$137.005.6%1.6%5.6%2.0%7.2%2.0%0.1%-65.8M-151.7M-9.1M0.4757.1213,8746,522446,439666,824
2021-01-27$136.07$137.006.0%1.7%5.6%2.6%6.7%2.1%0.0%-124.0M103.3M-10.0M1.3747.603,8695,314452,863670,289
2021-01-28$135.76$137.006.2%1.6%5.6%2.8%5.8%2.5%-0.0%-207.7M346.6M-10.5M1.7969.156,32911,305453,752674,032
2021-01-29$135.53$137.006.3%1.7%5.6%3.0%6.6%2.8%0.1%-375.4M641.7M-10.3M0.8150.997,7946,277458,360682,811