LQD Options History — May 2021

In May 2021, LQD traded between $129.86 and $132.06. ATM implied volatility averaged 6.4%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 1.5% (HV 20d: 4.9%). Max pain ranged from $132.00 to $134.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 4.68.

Notable Days

  • 2021-05-20: Highest Volume — 89,451 contracts
  • 2021-05-10: Largest IV spike — 17.4% change
  • 2021-05-12: Highest IV Rank — 30.2%
  • 2021-05-12: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.14$129.86$132.06$131.15$131.78
Max Pain$132.30$132.00$134.00$134.00$132.00
ATM IV6.4%5.1%7.5%6.7%5.1%
Expected Move1.8%1.4%2.2%1.9%1.4%
HV 20d4.9%4.4%5.5%5.5%5.1%
HV 60d7.2%6.0%7.7%7.7%6.0%
IV Rank13.2%0.0%30.2%15.9%0.0%
IV Percentile15.4%0.0%44.8%16.3%0.0%
Term Structure0.1%-0.6%1.3%-0.0%-0.6%
VWIV7.0%5.1%9.5%7.8%5.1%
Skew 25d1.5%0.4%2.7%1.4%0.7%
Skew 10d2.7%-0.2%5.2%-0.2%2.5%
Call IV 25d5.9%4.9%7.7%6.2%5.0%
Put IV 25d7.4%5.7%9.2%7.6%5.7%
Bid-Ask Spread %24.096.9567.3028.2541.55
Gamma HHI0.130.100.190.110.16
Net GEX-201.4M-636.7M300.2M-190.7M146.1M
Net DEX1.02B-244.2M2.40B1.00B134.2M
Net VEX-10.3M-13.0M-8.1M-10.4M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.680.1120.513.861.98
Total Volume45,360.112,83489,45134,66523,933
Total OI1,283,443.61,138,8981,445,2791,138,8981,178,342

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$131.15$134.006.7%1.9%5.5%15.9%7.8%1.4%-0.0%-190.7M1.00B-10.4M3.8628.257,13827,527356,862782,036
2021-05-04$131.24$134.006.8%2.2%5.0%18.1%6.9%0.8%1.3%-219.9M1.17B-11.3M1.7212.1120,99436,084357,730781,915
2021-05-05$131.43$134.006.6%2.0%4.9%14.8%8.0%2.5%0.6%-166.7M995.7M-10.6M0.7534.0948,77736,462370,268815,360
2021-05-06$131.72$132.006.0%1.8%4.7%7.2%7.8%2.3%0.2%-58.4M592.4M-10.8M5.4249.172,26512,273417,622846,316
2021-05-07$131.57$132.005.9%1.8%4.7%5.7%7.7%0.8%0.9%-71.1M663.8M-10.9M2.8118.8817,92050,292417,861855,971
2021-05-10$131.06$132.007.0%2.0%4.9%20.2%6.3%0.5%-0.0%-276.7M1.28B-11.5M3.4218.774,12614,113429,431892,173
2021-05-11$130.64$132.007.1%2.0%4.7%21.9%8.3%2.7%-0.0%-475.8M1.72B-11.4M0.4013.6033,77713,499430,628880,538
2021-05-12$129.86$132.007.5%2.2%5.2%30.2%8.5%1.3%0.3%-615.1M2.40B-12.4M6.1432.3812,46276,476453,869889,205
2021-05-13$130.40$132.007.1%2.1%4.8%23.1%9.5%0.4%0.9%-579.9M2.07B-13.0M2.3827.6213,59232,311460,713919,931
2021-05-14$130.99$132.006.5%1.8%4.5%15.2%6.3%1.9%-0.4%-326.1M1.21B-11.0M0.1126.3322,2512,350468,695932,311
2021-05-17$130.86$132.006.7%1.9%4.4%18.3%7.4%2.3%-0.5%-377.3M1.37B-10.9M16.3920.661,68727,657455,791933,327
2021-05-18$130.54$132.006.6%1.9%4.4%15.6%6.6%1.7%-0.2%-435.3M1.49B-10.7M3.7717.3810,91041,176453,484939,433
2021-05-19$130.22$132.007.1%2.0%4.4%24.4%7.1%1.9%0.1%-636.7M1.93B-10.4M2.1767.304,0558,779458,269980,831
2021-05-20$131.08$132.006.4%1.8%5.0%12.8%6.7%1.8%-0.1%-204.4M1.14B-9.8M6.8113.4911,45277,999458,505986,774
2021-05-21$131.17$132.006.3%1.8%5.0%11.0%6.1%1.2%0.0%-33.3M907.1M-8.7M20.516.952,45750,388465,925967,824
2021-05-24$131.58$132.005.8%1.5%5.1%4.0%5.7%1.7%0.3%11.6M273.1M-8.8M2.8611.064,99114,279403,656742,009
2021-05-25$132.06$132.005.5%1.6%5.0%0.0%5.5%0.7%-0.1%300.2M-244.2M-8.1M8.3110.407,46762,046407,986739,708
2021-05-26$131.86$132.005.2%1.5%5.1%0.0%6.6%1.3%-0.4%141.3M52.3M-8.6M2.6211.329,18724,102407,022755,367
2021-05-27$131.61$132.005.6%1.5%5.1%5.7%6.2%1.4%-0.2%40.8M278.9M-8.3M1.2520.5417,71622,232411,203763,981
2021-05-28$131.78$132.005.1%1.4%5.1%0.0%5.1%0.7%-0.6%146.1M134.2M-8.1M1.9841.558,03215,901410,767767,575