LQD Options History — October 2021

In October 2021, LQD traded between $131.61 and $133.78. ATM implied volatility averaged 7.0%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.8% (HV 20d: 6.2%). Max pain ranged from $135.00 to $139.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 21.05.

Notable Days

  • 2021-10-25: Highest Volume — 103,919 contracts
  • 2021-10-26: Largest IV drop — 7.8% change
  • 2021-10-07: Highest IV Rank — 37.6%
  • 2021-10-07: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.82$131.61$133.78$133.78$133.69
Max Pain$135.76$135.00$139.00$139.00$135.00
ATM IV7.0%6.3%7.8%7.2%6.8%
Expected Move2.0%1.9%2.2%2.1%2.0%
HV 20d6.2%5.4%6.7%6.3%6.0%
HV 60d5.5%5.3%5.8%5.4%5.7%
IV Rank27.2%15.9%37.6%30.1%23.6%
IV Percentile65.8%34.1%84.5%74.2%59.5%
Term Structure0.0%-0.4%0.4%0.1%0.3%
VWIV7.5%6.0%12.2%7.7%6.1%
Skew 25d1.7%1.0%2.6%2.5%1.4%
Skew 10d4.5%1.7%8.4%1.7%4.4%
Call IV 25d6.8%6.2%8.3%6.4%6.2%
Put IV 25d8.5%7.3%10.2%8.9%7.6%
Bid-Ask Spread %72.5050.9683.8083.8065.51
Gamma HHI0.140.130.190.130.16
Net GEX-329.9M-504.2M-190.4M-190.4M-241.1M
Net DEX880.7M370.1M1.50B673.1M401.8M
Net VEX-5.3M-6.2M-3.8M-5.8M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.050.06147.0584.2511.00
Total Volume48,499.191,719103,91921,56789,888
Total OI522,408.667452,375562,400469,631562,400

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$133.78$139.007.2%2.1%6.3%30.1%7.7%2.5%0.1%-190.4M673.1M-5.8M84.2583.8025321,314142,303327,328
2021-10-04$133.56$135.007.5%2.1%6.3%34.3%7.8%2.2%0.1%-209.2M677.9M-5.8M2.4359.877161,743132,623319,752
2021-10-05$133.00$135.007.4%2.1%6.1%32.5%8.9%2.5%-0.0%-291.9M874.2M-6.0M1.5472.275,2368,083132,233328,712
2021-10-06$132.99$135.007.6%2.1%5.9%35.2%7.4%2.5%-0.1%-275.5M850.6M-5.8M0.0676.191,62198132,775329,239
2021-10-07$132.40$135.007.8%2.2%5.5%37.6%9.8%1.5%-0.4%-337.6M1.08B-6.2M16.1574.703,93763,591137,741334,604
2021-10-08$131.79$135.007.5%2.1%5.6%33.1%9.9%1.7%-0.2%-378.5M1.30B-5.8M15.3174.731,38021,134139,152334,630
2021-10-11$131.61$135.007.0%1.9%5.4%25.9%7.1%2.6%-0.3%-504.2M1.50B-5.6M1.3366.9710,13513,460138,992381,597
2021-10-12$132.29$135.006.7%2.0%5.8%21.7%7.3%1.8%0.2%-485.9M1.15B-5.2M6.2375.713,68922,973138,126387,307
2021-10-13$133.01$136.007.0%2.0%6.2%26.8%12.2%1.0%-0.1%-397.9M956.8M-5.3M147.0575.9516023,528144,682393,305
2021-10-14$133.67$136.006.6%1.9%6.6%21.5%6.5%1.3%-0.0%-292.3M604.2M-4.6M20.8475.642,39849,984147,711405,150
2021-10-15$133.19$136.006.9%2.0%6.6%25.3%7.0%1.7%0.0%-404.9M842.3M-5.2M18.2072.051,29523,567147,776414,468
2021-10-18$133.15$136.007.4%2.1%6.5%32.6%8.0%2.0%-0.1%-223.1M671.7M-5.5M44.8874.801858,303133,214383,434
2021-10-19$132.39$136.007.2%2.1%6.7%29.2%7.1%1.5%0.1%-324.3M975.0M-5.8M3.6675.025281,931134,103399,395
2021-10-20$132.13$136.007.2%2.1%6.6%28.9%6.2%1.2%-0.2%-359.6M1.10B-6.1M9.2281.258,50578,403135,205411,774
2021-10-21$131.84$136.007.1%2.0%6.4%27.9%6.1%2.0%-0.2%-401.2M1.22B-5.9M10.8073.807,70783,255137,755413,965
2021-10-22$132.26$136.007.0%2.0%6.6%26.3%6.2%1.8%-0.3%-392.7M1.05B-5.7M10.3059.998,05482,940136,531416,493
2021-10-25$132.39$136.006.9%2.0%6.6%25.3%7.8%1.3%0.2%-379.4M985.1M-5.3M12.5050.967,69996,220136,468415,367
2021-10-26$132.94$136.006.4%1.9%5.9%17.8%6.5%1.5%0.4%-365.9M747.5M-4.4M9.2676.688,80181,461136,521418,823
2021-10-27$133.74$136.006.3%1.9%6.3%15.9%6.0%1.0%0.3%-226.0M370.1M-4.1M10.9775.647,07377,617136,654419,758
2021-10-28$133.49$136.006.6%1.9%6.3%20.4%6.6%1.2%0.3%-247.5M454.8M-3.8M6.0680.9212,69876,920135,420417,096
2021-10-29$133.69$135.006.8%2.0%6.0%23.6%6.1%1.4%0.3%-241.1M401.8M-4.0M11.0065.517,49282,396141,564420,836