LQD Options History — November 2021

In November 2021, LQD traded between $131.10 and $134.91. ATM implied volatility averaged 7.4%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.1% (HV 20d: 7.3%). Max pain ranged from $134.00 to $135.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 12.28.

Notable Days

  • 2021-11-11: Highest Volume — 411,286 contracts
  • 2021-11-10: Largest IV spike — 14.5% change
  • 2021-11-30: Highest IV Rank — 45.9%
  • 2021-11-30: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.96$131.10$134.91$132.88$133.06
Max Pain$134.14$134.00$135.00$135.00$134.00
ATM IV7.4%6.4%8.4%7.6%8.4%
Expected Move2.2%2.0%2.6%2.2%2.6%
HV 20d7.3%6.3%8.5%6.3%8.3%
HV 60d6.3%5.6%6.9%5.6%6.9%
IV Rank32.6%18.4%45.9%35.6%45.9%
IV Percentile76.7%42.9%90.5%85.3%90.5%
Term Structure0.0%-0.4%0.7%0.1%-0.0%
VWIV8.5%6.8%10.6%8.2%8.7%
Skew 25d1.8%1.3%2.9%1.9%1.8%
Skew 10d2.9%-0.0%4.8%4.4%3.4%
Call IV 25d7.0%5.6%7.8%7.4%7.8%
Put IV 25d8.7%7.8%9.6%9.3%9.6%
Bid-Ask Spread %63.4726.3296.2957.4465.65
Gamma HHI0.170.090.260.130.17
Net GEX-655.9M-1.28B-2.8M-301.9M-716.3M
Net DEX1.36B82.2M2.94B883.6M962.1M
Net VEX-6.1M-9.6M-3.9M-5.3M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.283.5668.899.767.86
Total Volume116,708.71447,835411,28682,51261,712
Total OI809,049.048569,4271,062,967569,427897,601

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$132.88$135.007.6%2.2%6.3%35.6%8.2%1.9%0.1%-301.9M883.6M-5.3M9.7657.447,66974,843141,137428,290
2021-11-02$133.50$135.007.2%2.1%6.4%29.5%7.5%2.1%-0.0%-238.3M696.2M-5.1M3.7380.3525,79096,291143,415428,691
2021-11-03$133.32$135.007.0%2.0%6.4%27.2%8.4%1.6%-0.2%-239.3M789.7M-4.8M3.5696.2920,31072,273164,897443,679
2021-11-04$133.85$134.006.7%2.0%6.3%22.1%10.6%2.8%0.0%-149.8M572.2M-4.8M3.6770.0516,54760,672165,141445,041
2021-11-05$134.89$134.006.4%2.0%6.5%18.4%6.8%2.9%0.5%-14.0M82.2M-3.9M4.2085.4414,87062,462165,370446,986
2021-11-08$134.46$134.007.0%2.2%6.6%27.3%8.0%1.4%0.5%-80.5M282.8M-4.2M3.6759.4213,54449,767165,667448,156
2021-11-09$134.91$134.006.8%2.0%6.5%23.2%8.5%1.3%0.5%-2.8M112.9M-3.9M6.7387.0913,43290,358165,757448,571
2021-11-10$133.47$134.007.7%2.4%7.5%37.1%8.9%1.5%0.7%-270.9M921.2M-5.6M8.3282.5514,122117,500166,788486,625
2021-11-11$133.16$134.008.0%2.4%7.3%41.4%10.1%1.8%0.3%-347.3M1.03B-5.1M27.7075.3314,330396,956166,689505,646
2021-11-12$133.00$134.007.5%2.2%7.2%33.8%9.2%1.7%0.5%-915.4M1.96B-8.6M6.9358.5414,612101,211167,109839,484
2021-11-15$131.99$134.008.1%2.3%7.7%42.0%8.4%1.7%-0.3%-1.17B2.90B-9.6M5.2049.5114,34374,539167,773871,251
2021-11-16$131.81$134.007.8%2.3%7.4%37.8%8.1%1.5%-0.3%-1.28B2.94B-9.0M8.3026.328,65271,772169,190871,826
2021-11-17$132.28$134.007.3%2.1%7.5%31.2%8.6%1.6%-0.4%-1.23B2.40B-7.9M21.3443.1411,418243,687169,267876,793
2021-11-18$132.55$134.006.9%2.0%7.5%24.9%8.4%1.9%0.1%-991.7M1.91B-7.0M5.2563.7428,982152,046172,356875,266
2021-11-19$133.02$134.006.9%2.0%7.5%25.3%7.6%1.3%-0.3%-1.17B1.43B-6.0M4.0826.4211,57347,254187,409875,558
2021-11-22$131.93$134.007.4%2.2%8.1%32.5%8.0%1.5%-0.1%-983.7M1.78B-7.1M12.5237.333,60745,172117,145717,410
2021-11-23$131.10$134.008.0%2.3%8.2%40.8%8.5%1.6%-0.3%-1.08B2.53B-8.0M9.8041.695,73156,181118,239723,461
2021-11-24$131.53$134.007.4%2.2%8.0%32.6%8.5%1.5%-0.1%-1.08B2.15B-7.1M68.8955.033,400234,212119,196737,431
2021-11-26$132.55$134.007.9%2.4%8.5%39.6%8.5%2.3%-0.1%-795.8M1.20B-5.4M18.9595.672,56748,641120,773774,675
2021-11-29$132.81$134.007.6%2.3%8.5%35.4%8.7%1.3%0.3%-715.6M991.4M-5.1M17.4175.812,59845,237120,792773,479
2021-11-30$133.06$134.008.4%2.6%8.3%45.9%8.7%1.8%-0.0%-716.3M962.1M-5.5M7.8665.656,96354,749121,255776,346