LQD Options History — March 2021

In March 2021, LQD traded between $128.50 and $132.15. ATM implied volatility averaged 9.5%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 0.2% (HV 20d: 9.7%). Max pain ranged from $133.00 to $135.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 4.60.

Notable Days

2021-03-03: Highest Volume — 158,932 contracts
2021-03-12: Largest IV spike — 30.9% change
2021-03-31: Highest IV Rank — 12.1%
2021-03-18: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$129.74	$128.50	$132.15	$132.15	$130.04
Max Pain	$133.26	$133.00	$135.00	$135.00	$133.00
ATM IV	9.5%	7.2%	11.4%	10.1%	8.1%
Expected Move	2.7%	2.0%	3.3%	3.0%	2.1%
HV 20d	9.7%	7.5%	10.9%	9.2%	7.5%
HV 60d	7.2%	6.6%	7.5%	6.6%	7.5%
IV Rank	7.4%	4.7%	12.1%	6.9%	12.1%
IV Percentile	62.7%	27.4%	83.7%	72.6%	48.0%
Term Structure	-0.1%	-1.4%	1.8%	-0.4%	-0.8%
VWIV	10.3%	7.7%	12.8%	10.5%	9.0%
Skew 25d	2.6%	1.6%	3.6%	3.5%	1.6%
Skew 10d	5.8%	3.2%	11.9%	7.2%	3.9%
Call IV 25d	8.7%	6.5%	10.8%	9.0%	7.0%
Put IV 25d	11.3%	8.5%	13.6%	12.5%	8.5%
Bid-Ask Spread %	29.69	6.58	69.25	54.88	17.23
Gamma HHI	0.12	0.10	0.14	0.10	0.12
Net GEX	-836.9M	-1.03B	-659.1M	-673.1M	-728.4M
Net DEX	4.16B	2.63B	6.06B	2.96B	2.63B
Net VEX	-13.6M	-16.1M	-10.0M	-15.7M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.60	0.18	10.39	3.63	7.24
Total Volume	58,465.348	15,468	158,932	18,832	54,744
Total OI	1,310,467.435	1,001,064	1,559,182	1,260,521	1,145,962

Daily Data (23 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
2021-03-01	$132.15	$135.00	10.1%	3.0%	9.2%	6.9%	10.5%	3.5%	-0.4%	-673.1M	2.96B	-15.7M	3.63	54.88	4,067	14,765	480,297	780,224
2021-03-02	$132.00	$134.00	8.8%	2.5%	9.1%	5.0%	9.3%	3.1%	-0.3%	-789.7M	2.98B	-13.8M	4.74	39.69	11,361	53,894	481,786	783,556
2021-03-03	$131.17	$134.00	9.6%	2.7%	9.3%	6.2%	9.0%	2.9%	0.2%	-844.6M	3.64B	-14.6M	5.48	69.25	24,528	134,404	488,964	814,188
2021-03-04	$130.08	$133.00	10.9%	2.9%	9.6%	8.1%	11.4%	2.5%	-1.0%	-796.8M	4.49B	-14.9M	7.54	38.34	12,068	90,945	508,073	857,028
2021-03-05	$129.75	$133.00	10.9%	2.8%	9.5%	8.1%	11.0%	2.3%	-1.4%	-932.6M	4.88B	-15.3M	8.31	23.94	5,823	48,380	504,216	906,853
2021-03-08	$128.74	$133.00	11.0%	3.1%	9.7%	8.2%	11.9%	3.6%	-0.4%	-935.5M	5.83B	-14.5M	2.83	31.87	9,125	25,859	500,634	916,278
2021-03-09	$129.47	$133.00	11.1%	3.2%	9.9%	8.3%	10.4%	3.5%	0.1%	-913.3M	5.24B	-15.0M	5.46	63.82	13,343	72,915	507,751	924,845
2021-03-10	$130.14	$133.00	9.4%	2.6%	10.3%	5.9%	10.5%	1.8%	-0.3%	-1.02B	4.63B	-14.1M	2.47	24.69	31,569	77,902	499,389	934,466
2021-03-11	$130.31	$133.00	8.6%	2.7%	10.2%	4.7%	10.0%	2.8%	0.5%	-1.02B	4.32B	-14.1M	3.59	24.30	24,574	88,120	521,947	952,941
2021-03-12	$128.78	$133.00	11.3%	3.2%	10.8%	8.7%	12.8%	3.4%	-0.0%	-910.8M	5.66B	-16.1M	1.74	14.66	26,506	46,190	540,652	964,379
2021-03-15	$129.03	$133.00	10.5%	3.0%	10.9%	7.5%	11.7%	2.6%	-0.3%	-930.9M	5.37B	-15.5M	0.18	10.55	29,820	5,447	554,569	972,923
2021-03-16	$129.07	$133.00	10.1%	2.9%	10.8%	6.8%	11.0%	2.5%	-0.4%	-1.03B	5.39B	-14.6M	3.13	6.58	5,426	16,969	566,747	980,975
2021-03-17	$129.17	$133.00	10.1%	2.9%	10.6%	6.9%	10.7%	2.7%	-0.7%	-1.03B	5.22B	-14.9M	2.08	65.59	12,342	25,656	547,726	979,792
2021-03-18	$128.50	$133.00	11.4%	3.3%	10.7%	8.8%	12.6%	3.2%	-0.2%	-1.03B	5.83B	-14.4M	7.74	16.30	6,827	52,873	553,247	983,335
2021-03-19	$128.53	$133.00	10.3%	3.0%	10.5%	7.2%	11.5%	3.6%	0.0%	-668.1M	6.06B	-14.6M	5.71	23.02	6,844	39,111	558,880	1,000,302
2021-03-22	$129.22	$133.00	8.8%	2.6%	10.6%	5.7%	10.7%	3.1%	-0.5%	-659.1M	3.19B	-13.0M	4.35	40.32	2,889	12,579	274,858	726,206
2021-03-23	$129.50	$133.00	8.7%	2.5%	10.7%	9.3%	9.0%	1.6%	0.2%	-698.5M	2.91B	-12.0M	1.68	19.16	15,758	26,470	276,531	731,570
2021-03-24	$129.88	$134.00	8.0%	2.2%	10.7%	7.1%	10.4%	2.4%	0.2%	-675.5M	2.71B	-11.2M	7.06	17.09	7,292	51,482	288,654	748,890
2021-03-25	$129.74	$134.00	7.6%	2.0%	9.1%	6.4%	7.7%	1.9%	0.4%	-715.7M	2.83B	-11.3M	1.33	18.85	17,029	22,662	293,594	776,258
2021-03-26	$129.58	$133.00	7.6%	2.2%	7.6%	6.4%	9.3%	2.0%	0.4%	-732.5M	3.01B	-11.4M	3.09	19.91	4,125	12,748	307,336	787,779
2021-03-29	$129.35	$133.00	7.9%	2.4%	7.6%	8.4%	8.9%	1.9%	0.0%	-768.8M	3.10B	-10.5M	10.39	20.12	4,404	45,758	305,104	786,184
2021-03-30	$129.75	$133.00	7.2%	2.2%	7.7%	6.8%	8.1%	1.7%	1.8%	-750.9M	2.79B	-10.2M	5.95	22.80	7,068	42,042	305,355	819,507
2021-03-31	$130.04	$133.00	8.1%	2.1%	7.5%	12.1%	9.0%	1.6%	-0.8%	-728.4M	2.63B	-10.0M	7.24	17.23	6,647	48,097	308,314	837,648