LQD Options History — February 2022

In February 2022, LQD traded between $122.61 and $127.68. ATM implied volatility averaged 9.3%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.5% (HV 20d: 7.8%). Max pain ranged from $129.50 to $136.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 4.64.

Notable Days

2022-02-10: Highest Volume — 602,934 contracts
2022-02-10: Largest IV spike — 15.9% change
2022-02-23: Highest IV Rank — 73.9%
2022-02-23: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.56	$122.61	$127.68	$127.68	$124.63
Max Pain	$132.00	$129.50	$136.00	$129.50	$132.00
ATM IV	9.3%	8.1%	10.3%	8.5%	9.3%
Expected Move	2.7%	2.3%	3.0%	2.4%	2.7%
HV 20d	7.8%	6.2%	9.0%	6.2%	9.0%
HV 60d	7.1%	6.8%	7.4%	7.0%	7.4%
IV Rank	60.0%	42.0%	73.9%	48.1%	66.3%
IV Percentile	91.7%	83.7%	96.4%	88.1%	91.3%
Term Structure	0.0%	-0.3%	0.7%	-0.2%	-0.1%
VWIV	10.1%	8.1%	14.5%	10.0%	9.6%
Skew 25d	2.4%	1.6%	3.2%	2.1%	2.8%
Skew 10d	4.5%	3.5%	6.7%	4.1%	4.7%
Call IV 25d	8.6%	7.2%	9.9%	7.6%	8.3%
Put IV 25d	10.9%	9.2%	12.7%	9.7%	11.1%
Bid-Ask Spread %	79.15	18.50	94.59	86.71	18.50
Gamma HHI	0.14	0.12	0.17	0.12	0.13
Net GEX	-1.25B	-1.65B	-946.8M	-946.8M	-1.24B
Net DEX	6.90B	3.55B	9.78B	3.66B	5.48B
Net VEX	-12.3M	-14.5M	-10.2M	-11.2M	-12.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.64	1.60	20.75	9.84	2.96
Total Volume	250,015.316	118,890	602,934	133,286	149,393
Total OI	1,430,594.053	1,127,941	1,895,751	1,127,941	1,500,980

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-02-01	$127.68	$129.50	8.5%	2.4%	6.2%	48.1%	10.0%	2.1%	-0.2%	-946.8M	3.66B	-11.2M	9.84	86.71	12,301	120,985	213,317	914,624
2022-02-02	$127.66	$129.50	8.1%	2.3%	6.2%	42.0%	8.1%	2.0%	-0.1%	-972.8M	3.55B	-10.2M	8.41	89.31	14,385	120,922	213,221	918,556
2022-02-03	$126.74	$131.00	8.8%	2.5%	6.5%	52.3%	9.9%	2.5%	-0.2%	-1.06B	4.74B	-11.3M	6.25	80.11	23,628	147,654	213,420	924,052
2022-02-04	$125.45	$131.00	9.2%	2.8%	7.2%	58.1%	10.3%	2.3%	-0.0%	-1.16B	5.92B	-10.9M	20.75	77.08	15,233	316,149	215,021	925,272
2022-02-07	$125.75	$131.00	8.7%	2.5%	7.3%	50.6%	9.3%	2.0%	0.0%	-1.31B	5.75B	-11.1M	1.60	80.14	108,558	174,085	217,352	984,361
2022-02-08	$125.27	$132.00	8.2%	2.5%	7.4%	43.0%	8.7%	1.9%	0.7%	-1.24B	6.14B	-11.1M	2.19	77.98	90,458	197,979	269,358	1,007,135
2022-02-09	$125.65	$132.00	8.3%	2.5%	7.4%	45.6%	9.0%	1.6%	0.3%	-1.09B	5.43B	-11.2M	1.81	77.60	101,341	183,687	301,862	1,024,260
2022-02-10	$123.95	$132.00	9.7%	2.8%	8.5%	64.6%	10.2%	2.3%	0.2%	-1.08B	7.74B	-10.6M	6.15	80.31	84,272	518,662	343,190	1,037,204
2022-02-11	$124.61	$131.00	9.8%	2.8%	8.8%	66.9%	13.2%	1.8%	-0.0%	-1.20B	7.03B	-13.2M	3.19	80.03	66,858	212,980	347,498	1,147,541
2022-02-14	$123.88	$132.00	10.3%	3.0%	8.6%	73.3%	14.5%	3.2%	-0.2%	-1.28B	8.04B	-12.3M	3.00	72.72	96,493	289,889	345,972	1,191,066
2022-02-15	$123.18	$132.00	10.3%	2.9%	8.3%	73.2%	11.3%	3.2%	-0.3%	-1.41B	9.44B	-14.5M	3.15	80.60	65,243	205,458	408,074	1,331,448
2022-02-16	$123.27	$133.00	9.4%	2.7%	8.2%	60.7%	9.5%	2.4%	-0.0%	-1.63B	9.65B	-14.0M	3.22	81.28	66,199	212,954	443,509	1,368,233
2022-02-17	$123.17	$133.00	9.8%	2.8%	8.2%	66.9%	9.9%	2.1%	-0.1%	-1.61B	9.78B	-14.2M	2.34	85.77	77,285	180,825	459,525	1,384,874
2022-02-18	$123.57	$132.00	10.2%	3.0%	8.0%	72.7%	11.5%	2.3%	-0.2%	-1.65B	9.15B	-14.5M	2.50	81.00	63,945	160,149	487,270	1,408,481
2022-02-22	$123.38	$133.00	9.6%	2.9%	8.0%	63.2%	11.6%	2.8%	0.2%	-1.16B	6.93B	-13.4M	2.15	85.52	37,710	81,180	221,793	1,133,275
2022-02-23	$122.61	$133.00	10.3%	3.0%	8.1%	73.9%	9.5%	2.4%	-0.1%	-1.14B	7.83B	-12.6M	2.74	82.49	46,931	128,682	231,672	1,145,936
2022-02-24	$122.89	$136.00	8.9%	2.5%	8.0%	54.2%	8.4%	2.8%	0.1%	-1.29B	7.80B	-12.5M	3.49	92.17	44,441	155,263	256,358	1,179,355
2022-02-25	$123.39	$133.00	9.1%	2.5%	8.1%	63.7%	8.4%	2.5%	0.2%	-1.30B	7.12B	-12.8M	2.34	94.59	53,382	124,732	267,796	1,198,426
2022-02-28	$124.63	$132.00	9.3%	2.7%	9.0%	66.3%	9.6%	2.8%	-0.1%	-1.24B	5.48B	-12.5M	2.96	18.50	37,709	111,684	283,469	1,217,511