LQD Options History — August 2021

In August 2021, LQD traded between $133.81 and $136.33. ATM implied volatility averaged 6.1%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.0% (HV 20d: 5.1%). Max pain ranged from $134.00 to $135.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 11.94.

Notable Days

  • 2021-08-27: Highest Volume — 69,208 contracts
  • 2021-08-25: Largest IV spike — 21.5% change
  • 2021-08-25: Highest IV Rank — 29.1%
  • 2021-08-09: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.08$133.81$136.33$136.11$135.29
Max Pain$134.95$134.00$135.00$134.00$135.00
ATM IV6.1%5.6%7.2%6.1%5.6%
Expected Move1.7%1.6%1.9%1.8%1.6%
HV 20d5.1%4.7%5.8%5.0%5.2%
HV 60d5.4%5.2%5.5%5.4%5.2%
IV Rank13.8%6.7%29.1%13.9%7.1%
IV Percentile19.4%3.6%62.7%17.1%5.2%
Term Structure0.1%-0.8%0.6%-0.5%0.2%
VWIV6.2%5.5%7.7%6.2%5.7%
Skew 25d1.1%-0.0%1.7%0.7%0.5%
Skew 10d2.4%0.2%6.7%1.4%0.6%
Call IV 25d5.9%5.4%6.7%6.3%5.6%
Put IV 25d7.0%5.7%8.2%7.1%6.0%
Bid-Ask Spread %83.6561.0796.3481.6576.64
Gamma HHI0.140.120.180.120.14
Net GEX-122.4M-557.5M122.3M25.6M-89.7M
Net DEX69.3M-674.3M1.06B-634.3M-86.2M
Net VEX-5.8M-7.6M-3.8M-6.9M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.940.4166.381.581.79
Total Volume14,596.77350369,2085,272503
Total OI859,658.045685,611952,648920,435764,523

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$136.11$134.006.1%1.8%5.0%13.9%6.2%0.7%-0.5%25.6M-634.3M-6.9M1.5881.652,0443,228205,654714,781
2021-08-03$136.28$135.006.3%1.8%4.8%17.1%6.8%0.1%-0.8%24.9M-548.7M-6.5M5.5396.342,51013,884191,655714,122
2021-08-04$136.33$135.006.6%1.8%4.7%21.4%6.4%1.6%0.2%84.7M-674.3M-6.4M25.1790.212887,248192,328714,929
2021-08-05$135.81$135.006.0%1.7%4.9%12.5%6.2%0.4%0.4%42.5M-327.7M-6.5M16.8089.613435,762202,328732,170
2021-08-06$134.72$135.006.5%1.7%5.4%19.0%6.4%1.7%0.6%-191.7M304.5M-7.0M0.4287.34570240202,405729,672
2021-08-09$134.22$135.006.7%1.9%5.6%22.5%6.6%1.4%0.4%-359.0M780.3M-7.5M0.7686.596,4974,953200,872730,906
2021-08-10$133.81$135.006.4%1.8%5.5%17.9%7.7%1.0%-0.2%-557.5M1.06B-7.6M66.3885.0866344,009201,343730,984
2021-08-11$134.07$135.006.2%1.7%5.3%15.5%6.3%1.7%-0.4%-412.9M758.6M-6.7M12.6988.6892211,703204,875730,495
2021-08-12$134.14$135.006.1%1.7%5.2%13.6%6.0%1.3%-0.7%-358.7M698.1M-6.5M1.6087.543,5335,668205,492730,109
2021-08-13$135.00$135.005.6%1.7%5.8%6.7%5.8%1.3%0.2%-207.6M150.9M-6.3M0.8961.075,9755,332205,711727,007
2021-08-16$135.14$135.005.8%1.6%5.2%9.2%5.8%1.4%0.6%-39.1M26.5M-5.9M0.4187.462,174890207,757731,607
2021-08-17$134.92$135.005.6%1.6%5.2%7.1%5.6%1.7%0.3%-148.9M129.7M-5.6M0.9965.8318,05317,881203,055737,966
2021-08-18$134.82$135.005.9%1.7%5.1%10.7%6.2%1.1%0.3%-189.6M215.4M-5.9M0.5581.342,0021,107202,460736,981
2021-08-19$135.11$135.005.9%1.7%4.9%10.4%6.0%0.6%0.3%-38.2M59.2M-5.4M40.0884.1156822,763208,115744,412
2021-08-20$135.22$135.006.1%1.7%4.9%14.4%6.2%1.4%0.6%71.9M-33.2M-5.2M3.0493.084,25112,911208,205744,443
2021-08-23$135.39$135.005.8%1.6%4.9%10.0%5.9%0.4%0.2%-66.9M-164.2M-4.9M5.8583.461,3848,094162,521523,090
2021-08-24$135.04$135.005.9%1.7%4.7%11.1%5.8%1.4%0.3%-69.8M-22.1M-4.8M3.4283.444821,649165,731524,930
2021-08-25$134.64$135.007.2%1.7%4.8%29.1%6.4%1.0%0.5%-169.9M175.4M-5.2M0.7383.205,0543,699165,181521,042
2021-08-26$134.68$135.006.3%1.7%4.8%15.8%6.1%1.6%0.1%-148.7M145.2M-4.9M1.2685.091,6902,134165,199522,764
2021-08-27$135.36$135.005.8%1.6%5.2%9.9%5.9%1.0%0.3%-15.5M-166.8M-4.3M62.3288.241,09368,115170,197532,230
2021-08-30$135.62$135.005.7%1.6%5.2%8.4%5.5%-0.0%-0.0%122.3M-324.8M-3.8M10.3674.371,69517,565168,636533,594
2021-08-31$135.29$135.005.6%1.6%5.2%7.1%5.7%0.5%0.2%-89.7M-86.2M-4.5M1.7976.64180323169,127595,396