LQD Options History — September 2021

In September 2021, LQD traded between $133.03 and $136.00. ATM implied volatility averaged 6.0%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.0% (HV 20d: 5.0%). Max pain ranged from $135.00 to $139.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 4.76.

Notable Days

  • 2021-09-20: Highest Volume — 62,193 contracts
  • 2021-09-28: Largest IV spike — 15.5% change
  • 2021-09-30: Highest IV Rank — 33.6%
  • 2021-09-30: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.07$133.03$136.00$135.21$133.03
Max Pain$137.86$135.00$139.00$135.00$139.00
ATM IV6.0%5.3%7.5%5.7%7.5%
Expected Move1.7%1.5%2.1%1.5%2.1%
HV 20d5.0%4.3%5.9%5.2%5.9%
HV 60d5.2%4.9%5.4%5.2%5.3%
IV Rank12.5%1.6%33.6%7.9%33.6%
IV Percentile22.4%1.2%77.8%7.1%77.8%
Term Structure0.1%-0.6%1.4%0.7%0.2%
VWIV6.3%5.4%7.8%5.7%6.6%
Skew 25d1.2%-0.1%2.3%1.0%2.1%
Skew 10d2.4%0.1%5.0%2.4%3.1%
Call IV 25d5.7%4.7%6.6%5.6%6.6%
Put IV 25d7.0%5.6%8.7%6.6%8.7%
Bid-Ask Spread %78.8363.4788.8588.0984.44
Gamma HHI0.160.120.300.130.14
Net GEX-51.7M-300.4M241.1M-77.8M-300.4M
Net DEX194.4M-282.0M926.1M64.5M926.1M
Net VEX-4.6M-5.6M-3.5M-5.4M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.760.0456.0856.081.75
Total Volume14,825.7621,03962,19310,5034,389
Total OI653,004.905392,399850,512779,124471,344

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$135.21$135.005.7%1.5%5.2%7.9%5.7%1.0%0.7%-77.8M64.5M-5.4M56.0888.0918410,319168,875610,249
2021-09-02$135.40$135.005.8%1.7%5.1%9.3%5.8%0.9%-0.2%-40.4M-51.2M-5.0M1.2775.55749955167,060610,336
2021-09-03$135.07$135.005.8%1.6%4.3%9.1%5.7%1.3%-0.3%-82.7M108.2M-4.9M1.0283.082,5042,562167,085607,208
2021-09-07$134.29$135.006.0%1.7%4.6%11.7%6.2%1.8%-0.4%-257.8M581.2M-5.3M3.0778.485061,552166,798607,739
2021-09-08$134.82$135.005.6%1.7%4.6%6.7%5.4%1.5%0.6%-124.3M319.0M-5.2M1.0181.6720,70520,953168,898609,631
2021-09-09$135.64$135.005.4%1.5%5.0%3.2%6.4%-0.1%0.2%144.0M-282.0M-3.9M1.6687.015,2078,657169,134610,630
2021-09-10$135.32$139.005.6%1.6%5.1%6.6%5.9%2.3%0.2%46.6M149.1M-3.9M1.6579.906,48910,700184,181629,774
2021-09-13$135.65$139.005.3%1.5%4.7%1.6%6.6%1.3%1.4%173.5M12.9M-3.8M9.9464.631,55315,429185,985635,821
2021-09-14$136.00$139.005.7%1.6%4.8%8.2%6.4%1.2%-0.1%241.1M-158.4M-3.5M0.1163.4720,7272,191187,528640,518
2021-09-15$135.81$139.005.7%1.6%4.7%7.3%6.0%1.3%0.0%229.8M-22.2M-3.9M0.4687.6211,1965,183187,994653,270
2021-09-16$135.67$139.005.8%1.7%4.8%8.9%5.8%0.8%-0.0%134.0M112.4M-4.2M0.0488.8510,427449193,643654,366
2021-09-17$135.31$139.006.0%1.7%4.8%11.8%6.1%0.8%0.1%-84.0M228.5M-4.3M0.2277.9913,4722,975194,331656,181
2021-09-20$135.68$139.006.2%1.8%4.9%15.6%6.8%1.3%-0.1%-86.2M88.9M-4.5M4.4675.6111,39450,799104,305288,094
2021-09-21$135.74$139.005.5%1.8%4.9%5.6%6.4%1.9%-0.1%-47.5M-22.6M-4.1M4.2474.098143,448110,697289,748
2021-09-22$136.00$139.006.1%1.7%4.8%13.6%6.0%1.1%-0.6%-25.4M-119.3M-4.0M0.0476.597,169277122,020339,350
2021-09-23$135.25$139.006.5%1.8%5.1%19.8%6.4%0.7%0.2%-117.9M173.9M-4.8M0.4784.978,4583,950121,817343,133
2021-09-24$134.92$139.006.2%1.8%5.2%15.2%7.2%0.6%0.3%-158.1M249.0M-4.9M2.3478.744,52010,589128,973343,187
2021-09-27$134.89$139.006.2%1.9%4.9%15.1%6.8%0.9%-0.0%-126.1M171.3M-4.7M1.3171.297,0439,231137,301314,816
2021-09-28$133.54$139.007.2%2.1%5.9%28.9%7.8%1.8%0.0%-246.5M735.2M-5.6M8.5174.071,32211,255141,632322,800
2021-09-29$133.26$139.006.7%2.1%5.9%22.2%7.1%1.6%0.4%-279.9M817.4M-5.5M0.2679.32826213141,710324,941
2021-09-30$133.03$139.007.5%2.1%5.9%33.6%6.6%2.1%0.2%-300.4M926.1M-5.6M1.7584.441,5942,795142,108329,236