LQD Options History — December 2021

In December 2021, LQD traded between $132.17 and $134.34. ATM implied volatility averaged 7.7%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.4% (HV 20d: 7.3%). Max pain ranged from $134.00 to $134.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 6.04.

Notable Days

  • 2021-12-09: Highest Volume — 196,822 contracts
  • 2021-12-10: Largest IV drop — 10.5% change
  • 2021-12-03: Highest IV Rank — 53.9%
  • 2021-12-03: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.92$132.17$134.34$132.84$132.63
Max Pain$134.00$134.00$134.00$134.00$134.00
ATM IV7.7%7.0%8.9%8.1%7.0%
Expected Move2.2%2.0%2.9%2.6%2.0%
HV 20d7.3%5.8%8.7%8.1%6.2%
HV 60d7.0%6.8%7.2%6.8%6.8%
IV Rank37.0%26.6%53.9%42.2%26.6%
IV Percentile78.7%58.7%93.7%89.7%58.7%
Term Structure0.1%-0.3%0.5%-0.0%0.2%
VWIV8.3%6.2%11.4%11.4%6.8%
Skew 25d2.0%1.3%2.5%2.3%1.8%
Skew 10d4.1%2.8%6.0%4.6%2.9%
Call IV 25d7.3%6.4%8.3%7.7%6.4%
Put IV 25d9.3%8.2%10.6%10.0%8.2%
Bid-Ask Spread %59.5423.1183.5774.9872.05
Gamma HHI0.160.120.270.160.13
Net GEX-448.7M-797.5M-216.9M-629.5M-276.0M
Net DEX1.02B514.0M1.51B1.29B939.1M
Net VEX-6.1M-7.4M-5.0M-6.7M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.042.1817.4414.632.32
Total Volume100,996.77358,162196,82258,16285,382
Total OI802,277.318501,3581,050,910898,641575,048

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$132.84$134.008.1%2.6%8.1%42.2%11.4%2.3%-0.0%-629.5M1.29B-6.7M14.6374.983,72054,442121,337777,304
2021-12-02$133.04$134.008.4%2.6%8.1%46.5%11.3%2.3%0.2%-612.6M1.06B-6.2M17.2583.573,68663,582121,864771,317
2021-12-03$134.34$134.008.9%2.9%8.7%53.9%10.9%2.4%-0.2%-318.5M514.0M-5.9M5.4982.199,41951,667121,932782,066
2021-12-06$133.64$134.008.4%2.4%8.5%46.9%8.9%2.5%-0.2%-495.7M706.3M-5.8M3.1766.7534,631109,614128,408785,855
2021-12-07$133.62$134.008.2%2.3%8.4%44.1%8.1%2.1%0.1%-573.9M855.8M-6.6M6.9163.5612,93789,409151,214843,367
2021-12-08$132.75$134.008.8%2.3%8.6%51.8%7.5%2.2%0.1%-770.6M1.50B-7.4M6.7075.2413,11187,834150,045847,685
2021-12-09$132.76$134.008.1%2.3%7.7%42.0%8.8%2.0%-0.1%-797.5M1.51B-7.3M17.4470.0810,673186,149145,559851,878
2021-12-10$132.83$134.007.2%2.1%7.7%29.8%8.5%1.7%0.1%-789.9M1.09B-5.5M6.5880.7511,61076,439145,997854,167
2021-12-13$133.41$134.007.2%2.1%7.8%29.2%7.4%1.3%0.3%-432.2M747.7M-5.3M3.2948.0730,00198,782144,834846,682
2021-12-14$132.82$134.007.7%2.2%7.5%36.5%7.5%1.8%-0.1%-641.9M1.16B-6.3M3.4952.2128,27998,684159,133879,536
2021-12-15$132.91$134.007.4%2.1%7.5%32.2%8.8%2.1%-0.1%-714.6M1.15B-5.7M8.8779.5911,544102,416159,017881,032
2021-12-16$132.61$134.007.8%2.2%7.4%38.6%8.3%2.0%-0.3%-566.8M1.33B-6.7M6.2555.4315,08694,323157,350886,762
2021-12-17$132.99$134.007.5%2.1%7.5%33.6%8.4%2.5%-0.1%-266.5M1.07B-6.7M5.0164.4317,19586,196164,898886,012
2021-12-20$132.40$134.007.7%2.2%7.5%36.8%8.5%1.8%0.3%-232.3M994.7M-6.3M4.3133.7118,77080,826106,632394,726
2021-12-21$132.50$134.007.5%2.1%6.9%33.8%9.7%2.2%0.1%-244.4M1.01B-6.3M5.6167.8716,76794,033110,357398,461
2021-12-22$132.81$134.007.3%2.1%6.5%30.2%7.9%1.5%0.0%-244.5M872.9M-5.8M3.8823.1116,51164,134113,180423,589
2021-12-23$132.74$134.007.5%2.1%6.4%34.2%6.8%1.8%0.5%-247.6M922.6M-5.9M2.2661.8724,50055,458113,461423,889
2021-12-27$133.03$134.007.4%2.1%5.9%32.2%6.7%2.3%0.2%-216.9M835.8M-5.8M2.3628.1524,65858,269121,241424,388
2021-12-28$132.89$134.007.3%2.1%5.8%31.0%7.5%1.7%0.1%-231.9M801.5M-5.5M2.2554.6528,73664,645121,583427,344
2021-12-29$132.17$134.007.4%2.1%6.1%32.5%7.4%2.0%0.1%-297.8M1.14B-5.6M2.5744.7326,35567,733125,099431,667
2021-12-30$132.57$134.007.2%2.0%6.2%29.2%6.2%2.0%0.1%-270.1M1.01B-5.5M2.1826.8229,43364,290129,385444,800
2021-12-31$132.63$134.007.0%2.0%6.2%26.6%6.8%1.8%0.2%-276.0M939.1M-5.0M2.3272.0525,68759,695129,013446,035