LQD Options History — February 2021

In February 2021, LQD traded between $130.42 and $135.68. ATM implied volatility averaged 7.6%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.4% (HV 20d: 5.2%). Max pain ranged from $135.00 to $137.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 5.38.

Notable Days

2021-02-03: Highest Volume — 256,286 contracts
2021-02-25: Largest IV spike — 34.3% change
2021-02-25: Highest IV Rank — 10.1%
2021-02-25: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$134.04	$130.42	$135.68	$135.68	$132.12
Max Pain	$135.95	$135.00	$137.00	$137.00	$135.00
ATM IV	7.6%	5.9%	12.2%	6.7%	10.0%
Expected Move	2.2%	1.8%	3.7%	1.9%	2.9%
HV 20d	5.2%	3.8%	9.1%	5.6%	9.1%
HV 60d	5.2%	4.9%	6.7%	5.9%	6.7%
IV Rank	4.5%	2.4%	10.1%	3.6%	6.8%
IV Percentile	34.0%	7.1%	85.7%	19.0%	71.0%
Term Structure	0.0%	-0.6%	0.5%	0.0%	-0.1%
VWIV	8.5%	6.0%	12.4%	7.8%	11.1%
Skew 25d	2.7%	2.1%	3.4%	3.3%	3.4%
Skew 10d	5.2%	2.6%	8.3%	6.7%	7.2%
Call IV 25d	6.9%	5.3%	11.9%	5.9%	9.1%
Put IV 25d	9.6%	7.4%	15.1%	9.2%	12.5%
Bid-Ask Spread %	30.09	6.53	63.25	50.64	59.56
Gamma HHI	0.14	0.10	0.25	0.14	0.10
Net GEX	-552.8M	-1.04B	-186.2M	-186.2M	-744.1M
Net DEX	1.78B	495.6M	4.49B	495.6M	3.03B
Net VEX	-12.2M	-17.0M	-9.8M	-10.9M	-15.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.38	0.08	33.23	5.69	1.65
Total Volume	81,551.632	6,746	256,286	6,746	91,112
Total OI	1,201,403.737	1,114,519	1,350,847	1,123,480	1,243,705

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-02-01	$135.68	$137.00	6.7%	1.9%	5.6%	3.6%	7.8%	3.3%	0.0%	-186.2M	495.6M	-10.9M	5.69	50.64	1,009	5,737	454,985	668,495
2021-02-02	$135.28	$137.00	6.5%	2.0%	5.5%	3.4%	8.6%	2.3%	-0.0%	-336.5M	935.7M	-11.4M	3.40	13.38	1,847	6,272	455,835	673,465
2021-02-03	$134.97	$137.00	6.6%	1.8%	5.4%	3.4%	8.0%	2.8%	-0.0%	-415.2M	1.08B	-10.2M	33.23	10.98	7,488	248,798	457,143	670,304
2021-02-04	$135.10	$136.00	6.3%	1.8%	4.7%	3.0%	6.4%	2.1%	0.1%	-304.3M	856.4M	-9.8M	0.08	14.88	18,072	1,525	462,532	651,987
2021-02-05	$134.76	$136.00	6.2%	1.8%	4.7%	2.9%	7.5%	2.9%	0.2%	-404.6M	1.13B	-10.2M	0.41	62.09	7,599	3,110	469,001	652,096
2021-02-08	$135.26	$136.00	6.0%	1.9%	4.9%	2.6%	8.2%	2.2%	0.5%	-232.5M	649.1M	-9.8M	10.23	13.33	8,302	84,920	474,740	652,061
2021-02-09	$135.17	$136.00	6.3%	1.8%	4.7%	3.0%	6.0%	2.2%	0.1%	-352.9M	807.7M	-10.3M	0.10	6.53	38,672	3,949	479,787	718,446
2021-02-10	$135.47	$136.00	5.9%	1.8%	4.8%	2.4%	7.6%	2.2%	0.5%	-276.1M	616.1M	-10.4M	12.09	7.50	1,011	12,223	472,490	720,970
2021-02-11	$135.11	$136.00	6.3%	1.8%	3.9%	3.0%	8.2%	2.3%	0.1%	-445.0M	984.4M	-10.9M	2.15	15.63	52,620	113,391	473,284	727,292
2021-02-12	$134.64	$136.00	6.7%	1.9%	3.8%	3.6%	6.5%	3.2%	-0.3%	-554.7M	1.66B	-12.4M	0.11	54.29	98,988	10,832	488,628	778,181
2021-02-16	$133.75	$136.00	7.8%	2.2%	4.3%	5.0%	8.8%	2.8%	0.1%	-727.0M	2.07B	-11.9M	6.14	53.32	11,233	69,007	454,841	775,375
2021-02-17	$134.32	$136.00	7.7%	2.2%	4.6%	4.8%	8.4%	3.1%	-0.4%	-736.0M	1.86B	-12.1M	1.29	56.56	44,565	57,563	466,060	825,171
2021-02-18	$134.18	$136.00	7.5%	2.2%	4.6%	4.4%	7.9%	2.5%	-0.2%	-798.6M	1.78B	-12.3M	1.19	10.93	28,293	33,539	458,494	860,535
2021-02-19	$133.17	$136.00	8.5%	2.5%	5.1%	5.9%	8.1%	2.7%	0.1%	-1.04B	2.69B	-14.4M	2.08	12.99	25,163	52,257	484,412	866,435
2021-02-22	$132.29	$136.00	8.8%	2.6%	5.4%	5.9%	9.5%	2.3%	0.1%	-740.7M	2.84B	-13.3M	1.07	30.45	74,023	79,564	451,719	711,823
2021-02-23	$132.42	$135.00	8.8%	2.6%	5.1%	5.6%	10.2%	2.8%	0.1%	-740.0M	2.90B	-13.7M	8.53	24.61	8,341	71,156	434,111	744,293
2021-02-24	$132.58	$135.00	9.0%	2.6%	5.2%	5.6%	9.8%	2.9%	0.1%	-800.2M	2.86B	-14.9M	3.05	10.75	19,637	59,942	440,553	770,279
2021-02-25	$130.42	$135.00	12.2%	3.7%	7.4%	10.1%	12.4%	3.1%	-0.6%	-672.1M	4.49B	-17.0M	9.71	63.25	9,123	88,598	448,753	788,390
2021-02-26	$132.12	$135.00	10.0%	2.9%	9.1%	6.8%	11.1%	3.4%	-0.1%	-744.1M	3.03B	-15.7M	1.65	59.56	34,328	56,784	456,198	787,507