LQD Options History — July 2021

In July 2021, LQD traded between $133.90 and $136.12. ATM implied volatility averaged 6.3%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.7% (HV 20d: 5.6%). Max pain ranged from $132.00 to $134.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 10.30.

Notable Days

  • 2021-07-21: Highest Volume — 127,308 contracts
  • 2021-07-22: Largest IV drop — 14.4% change
  • 2021-07-20: Highest IV Rank — 31.3%
  • 2021-07-20: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.26$133.90$136.12$133.90$135.97
Max Pain$133.52$132.00$134.00$133.00$134.00
ATM IV6.3%5.6%7.3%5.8%5.8%
Expected Move1.8%1.6%2.1%1.6%1.6%
HV 20d5.6%5.0%6.0%5.9%5.0%
HV 60d5.3%5.1%5.4%5.3%5.4%
IV Rank16.7%7.2%31.3%10.1%9.3%
IV Percentile22.8%4.4%57.9%8.7%8.3%
Term Structure0.1%-0.4%0.7%-0.0%0.2%
VWIV6.6%4.1%8.5%6.0%6.0%
Skew 25d1.3%0.7%2.1%1.8%0.9%
Skew 10d1.6%-0.2%3.1%3.1%1.3%
Call IV 25d6.0%5.2%7.2%5.2%5.6%
Put IV 25d7.3%6.5%8.6%7.0%6.5%
Bid-Ask Spread %51.103.5581.554.6344.14
Gamma HHI0.170.120.560.140.17
Net GEX253.5M-40.8M1.09B210.0M132.0M
Net DEX-988.6M-1.50B-558.2M-564.4M-892.8M
Net VEX-6.4M-7.3M-5.1M-7.0M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.300.16171.321.416.94
Total Volume30,935.1431,730127,30847,72122,064
Total OI895,475.048723,547993,944879,452908,195

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$133.90$133.005.8%1.6%5.9%10.1%6.0%1.8%-0.0%210.0M-564.4M-7.0M1.414.6319,84027,881257,316622,136
2021-07-02$134.32$133.005.6%1.6%5.6%7.2%5.9%1.2%0.2%272.5M-912.3M-7.0M0.833.5512,92010,727271,826645,173
2021-07-06$134.86$132.005.7%1.7%5.7%8.6%6.5%1.3%-0.1%357.6M-1.29B-6.3M0.7411.056,8475,065275,702647,972
2021-07-07$135.36$132.006.4%1.8%5.7%17.7%7.5%2.1%-0.4%306.2M-1.49B-6.7M0.9367.3137,43334,698278,926651,688
2021-07-08$135.42$132.006.2%1.8%5.6%15.6%6.1%1.3%0.0%327.7M-1.50B-6.3M0.2866.9922,7256,443275,212662,430
2021-07-09$134.76$132.006.1%1.8%5.8%13.8%6.7%1.5%0.1%361.6M-1.09B-7.2M0.8550.3310,1488,640287,919666,724
2021-07-12$134.72$134.006.4%1.8%5.8%18.3%7.6%1.4%-0.1%352.9M-1.06B-7.3M2.1037.1510,11121,248291,834668,657
2021-07-13$134.24$134.006.6%1.9%5.8%21.5%6.4%1.7%0.1%384.5M-803.7M-7.2M2.3272.265,97513,835296,494682,349
2021-07-14$134.83$134.006.0%1.7%6.0%12.6%6.3%1.2%-0.1%481.7M-1.35B-6.6M0.7875.9815,02511,724300,138693,806
2021-07-15$135.17$134.006.0%1.7%5.9%12.6%6.0%1.1%-0.0%425.6M-1.32B-6.3M1.2370.0210,31212,693280,540699,757
2021-07-16$135.03$134.006.5%1.8%5.6%19.0%6.0%1.1%0.0%1.09B-1.22B-6.1M0.1639.3527,9984,429276,107697,150
2021-07-19$135.94$134.007.2%2.1%5.8%29.0%7.9%1.1%0.1%128.9M-981.7M-6.0M3.3138.725,35017,733203,924519,623
2021-07-20$135.72$134.007.3%2.1%5.3%31.3%8.5%1.4%0.6%108.9M-837.1M-6.5M3.5679.054,70516,752208,284530,407
2021-07-21$135.24$134.007.2%2.1%5.5%29.8%8.2%1.3%0.1%95.9M-638.7M-6.6M13.5274.308,770118,538211,512541,560
2021-07-22$135.78$134.006.2%1.8%5.6%15.0%6.6%0.7%0.7%81.6M-853.0M-6.3M2.7481.551,9125,240216,517651,403
2021-07-23$135.68$134.006.1%1.7%5.6%13.6%6.4%1.0%0.4%35.6M-765.3M-6.5M0.8174.8124,56619,979216,125660,884
2021-07-26$135.43$134.006.6%1.9%5.4%21.0%6.5%1.1%0.1%-40.8M-558.2M-6.6M0.2426.534,5701,113211,837659,111
2021-07-27$135.97$134.006.5%1.9%5.4%19.9%6.9%1.1%0.1%59.4M-816.3M-5.5M1.6936.756421,088201,552671,471
2021-07-28$136.12$134.006.2%1.8%5.4%15.5%6.5%1.0%0.1%118.4M-1.01B-5.1M171.3277.9915426,384208,649672,100
2021-07-29$135.92$134.005.8%1.7%5.4%9.4%4.1%1.1%0.5%35.7M-802.0M-5.8M0.5840.6521,12012,241209,137672,829
2021-07-30$135.97$134.005.8%1.6%5.0%9.3%6.0%0.9%0.2%132.0M-892.8M-5.5M6.9444.142,77919,285209,211698,984