LQD Options History — January 2022

In January 2022, LQD traded between $127.16 and $131.30. ATM implied volatility averaged 8.0%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.8% (HV 20d: 6.1%). Max pain ranged from $129.50 to $134.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 6.50.

Notable Days

  • 2022-01-20: Highest Volume — 269,471 contracts
  • 2022-01-14: Largest IV spike — 12.4% change
  • 2022-01-31: Highest IV Rank — 52.0%
  • 2022-01-26: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129.10$127.16$131.30$131.30$127.68
Max Pain$131.72$129.50$134.00$134.00$129.50
ATM IV8.0%6.8%8.8%7.6%8.8%
Expected Move2.3%1.9%2.6%2.2%2.6%
HV 20d6.1%5.2%7.0%6.0%6.9%
HV 60d7.0%6.8%7.2%7.1%7.1%
IV Rank40.3%24.3%52.0%35.7%52.0%
IV Percentile81.3%53.6%92.1%79.8%92.1%
Term Structure-0.0%-0.4%0.5%-0.0%-0.2%
VWIV8.1%6.4%9.7%7.5%9.7%
Skew 25d2.0%1.2%2.7%1.9%2.6%
Skew 10d3.8%1.6%5.2%3.2%4.8%
Call IV 25d7.3%6.2%8.1%7.1%7.7%
Put IV 25d9.3%7.4%10.3%9.0%10.3%
Bid-Ask Spread %80.4135.1593.8457.5287.13
Gamma HHI0.150.120.190.160.12
Net GEX-753.3M-1.04B-363.3M-399.1M-1.03B
Net DEX2.74B1.44B4.05B1.50B3.78B
Net VEX-8.3M-11.5M-5.2M-5.3M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.501.3211.023.1811.02
Total Volume175,426.2118,835269,471141,546188,539
Total OI828,690.4549,9561,105,169566,5581,105,169

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$131.30$134.007.6%2.2%6.0%35.7%7.5%1.9%-0.0%-399.1M1.50B-5.3M3.1857.5233,881107,665127,793438,765
2022-01-04$131.09$134.008.5%2.5%5.8%47.5%8.2%2.0%-0.3%-363.3M1.44B-5.2M3.7635.1534,905131,172128,104421,852
2022-01-05$130.56$133.507.6%2.1%5.9%35.4%7.7%2.3%-0.1%-421.1M1.56B-5.2M3.2556.8433,371108,329133,969439,890
2022-01-06$130.29$134.007.6%2.3%5.5%35.1%9.2%2.1%-0.2%-427.8M1.70B-5.5M5.4592.3125,734140,177145,918448,584
2022-01-07$129.84$134.007.3%2.1%5.6%31.2%7.4%2.7%-0.1%-496.4M2.05B-6.1M5.3687.4221,905117,345149,547492,611
2022-01-10$129.60$132.007.9%2.2%5.6%39.5%6.6%2.2%-0.3%-503.0M1.82B-5.6M10.4673.0823,159242,248156,825470,491
2022-01-11$129.87$132.007.2%2.1%5.3%29.7%6.7%1.7%-0.0%-675.7M2.14B-7.4M6.8158.6120,665140,645160,454595,157
2022-01-12$129.96$132.006.8%1.9%5.2%24.3%6.4%1.2%0.1%-707.0M2.19B-7.7M7.9890.9018,474147,376160,834625,173
2022-01-13$130.23$131.007.2%2.1%5.3%28.9%6.8%1.7%0.3%-710.9M1.96B-7.4M10.1191.8915,486156,582165,663641,691
2022-01-14$129.12$131.008.1%2.3%5.9%41.6%7.3%1.9%-0.2%-824.2M2.87B-8.6M10.4086.9714,011145,755166,654680,103
2022-01-18$127.99$131.008.5%2.4%6.3%47.8%8.3%2.2%-0.1%-843.6M3.72B-9.0M8.0789.0716,467132,838165,728699,013
2022-01-19$128.32$131.008.1%2.3%6.4%41.7%8.4%1.5%-0.2%-900.2M3.49B-8.8M10.9686.9416,191177,379171,073728,218
2022-01-20$128.09$131.007.9%2.3%6.3%39.2%9.0%1.8%-0.1%-980.8M3.63B-9.2M6.2878.7337,023232,448170,742776,913
2022-01-21$128.82$132.008.6%2.5%6.7%49.4%8.3%2.4%-0.1%-1.04B3.41B-10.5M2.8089.1339,913111,798201,551896,881
2022-01-24$128.66$132.008.6%2.6%6.7%48.9%9.4%2.4%0.2%-884.4M2.88B-10.0M10.5586.8410,291108,544130,372775,876
2022-01-25$128.16$132.008.0%2.3%6.6%40.7%7.7%2.1%0.1%-978.6M3.27B-9.9M1.3291.1081,711107,622134,303780,796
2022-01-26$127.16$129.508.6%2.6%6.9%49.9%8.7%2.0%0.4%-899.8M4.05B-11.5M5.4393.8419,564106,203205,077814,670
2022-01-27$127.48$129.507.8%2.4%7.0%38.7%8.3%1.8%0.5%-994.7M3.74B-10.7M1.6587.1876,755126,978206,013823,506
2022-01-28$127.71$129.508.6%2.5%6.9%49.4%9.5%2.1%-0.4%-986.5M3.72B-10.8M5.2187.6338,520200,855199,643838,186
2022-01-31$127.68$129.508.8%2.6%6.9%52.0%9.7%2.6%-0.2%-1.03B3.78B-10.8M11.0287.1315,687172,852209,390895,779