LQD Options History — June 2021

In June 2021, LQD traded between $131.24 and $134.50. ATM implied volatility averaged 6.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.6% (HV 20d: 5.4%). Max pain ranged from $131.00 to $133.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.35.

Notable Days

  • 2021-06-15: Highest Volume — 128,735 contracts
  • 2021-06-18: Largest IV spike — 19.0% change
  • 2021-06-18: Highest IV Rank — 25.1%
  • 2021-06-18: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.11$131.24$134.50$131.43$134.50
Max Pain$132.23$131.00$133.00$132.00$133.00
ATM IV6.0%5.2%6.9%6.3%5.6%
Expected Move1.7%1.6%2.0%1.8%1.7%
HV 20d5.4%5.0%5.9%5.2%5.8%
HV 60d5.4%5.2%6.0%6.0%5.3%
IV Rank12.0%1.2%25.1%16.0%6.9%
IV Percentile9.3%0.8%35.3%11.1%4.0%
Term Structure-0.0%-0.8%0.6%0.1%0.1%
VWIV6.3%4.5%8.8%5.8%4.5%
Skew 25d1.5%0.7%2.6%1.7%1.0%
Skew 10d2.7%0.5%6.5%6.2%1.0%
Call IV 25d5.5%4.6%6.5%6.5%5.5%
Put IV 25d7.0%6.2%8.2%8.1%6.5%
Bid-Ask Spread %16.034.3573.9414.324.72
Gamma HHI0.200.120.360.140.17
Net GEX343.5M-8.6M788.0M9.9M381.7M
Net DEX-671.2M-1.95B697.1M595.1M-1.18B
Net VEX-7.3M-9.3M-5.2M-8.8M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.350.0217.181.061.78
Total Volume44,027.9099,385128,73513,86366,174
Total OI1,109,065.318793,6121,361,5661,186,130855,828

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$131.43$132.006.3%1.8%5.2%16.0%5.8%1.7%0.1%9.9M595.1M-8.8M1.0614.326,7297,134408,395777,735
2021-06-02$131.67$132.006.3%1.6%5.2%17.2%6.7%0.7%-0.6%148.3M279.1M-8.6M3.6211.783,00310,864412,726781,617
2021-06-03$131.24$131.006.4%1.9%5.3%18.5%8.8%2.6%-0.5%-8.6M697.1M-9.3M12.6753.492,21928,121414,378786,106
2021-06-04$132.08$131.006.3%1.7%5.7%17.0%6.0%2.6%-0.8%353.7M47.0M-8.2M1.7230.0621,95137,662414,069795,750
2021-06-07$131.97$131.005.9%1.7%5.7%11.5%5.6%1.5%0.0%269.4M244.2M-8.4M3.556.479,49533,719411,551820,657
2021-06-08$132.49$131.005.9%1.7%5.7%11.3%6.3%1.7%0.6%473.1M-333.6M-8.3M2.156.4315,59533,534418,321850,123
2021-06-09$132.93$131.005.4%1.6%5.6%3.4%5.7%1.6%0.0%546.8M-888.6M-8.5M0.477.378,2603,918424,973847,759
2021-06-10$133.47$131.005.2%1.6%5.1%1.2%5.6%1.6%0.4%703.7M-1.57B-7.4M0.2316.5211,8162,725430,629850,686
2021-06-11$133.51$132.005.7%1.6%5.0%7.6%5.9%1.6%-0.3%638.1M-1.63B-7.9M0.0215.4535,193876441,650852,946
2021-06-14$133.03$132.006.2%1.8%5.1%15.7%6.6%1.6%-0.1%788.0M-1.14B-7.7M16.2612.212,14234,836450,830850,126
2021-06-15$133.25$132.006.3%1.8%5.0%16.0%7.0%1.7%-0.1%680.4M-1.27B-7.5M0.3511.5795,16533,570431,686860,355
2021-06-16$132.90$133.006.3%1.8%5.1%15.9%6.6%1.8%0.0%638.8M-682.0M-7.3M0.6973.9433,70023,404404,489905,592
2021-06-17$133.67$133.005.8%1.6%5.2%9.5%6.7%1.6%0.2%440.6M-1.32B-7.3M0.7718.8632,54124,998416,351921,005
2021-06-18$134.36$133.006.9%2.0%5.0%25.1%7.1%1.9%-0.5%130.6M-1.95B-6.4M0.2212.2449,73511,045416,787944,779
2021-06-21$133.50$133.006.4%1.9%5.7%18.0%6.4%1.5%0.1%98.2M-569.0M-6.6M1.845.6120,04836,960232,336561,276
2021-06-22$133.74$133.006.1%1.7%5.6%13.7%6.2%1.3%0.2%161.6M-642.8M-6.2M3.576.775,90121,090242,637575,930
2021-06-23$133.51$133.006.0%1.7%5.6%11.7%6.2%0.9%0.1%133.0M-525.2M-6.5M4.277.887,82833,464242,979579,428
2021-06-24$133.78$133.005.6%1.6%5.6%6.4%6.2%1.1%0.1%187.0M-647.9M-6.1M17.187.541,83931,593243,348588,415
2021-06-25$133.33$133.005.7%1.7%5.7%7.4%5.8%1.1%0.2%119.2M-426.6M-6.2M0.1118.388,468917244,010596,074
2021-06-28$133.97$133.005.4%1.6%5.9%4.1%5.4%1.0%0.1%346.5M-918.3M-5.2M0.334.3518,8296,300247,912590,123
2021-06-29$134.13$133.005.8%1.7%5.7%8.8%6.4%0.9%0.2%317.9M-947.5M-6.2M0.846.7051,63143,622263,283593,787
2021-06-30$134.50$133.005.6%1.7%5.8%6.9%4.5%1.0%0.1%381.7M-1.18B-5.8M1.784.7223,76342,411260,944594,884