LQD Options History — March 2022

In March 2022, LQD traded between $118.55 and $125.02. ATM implied volatility averaged 11.4%, placing in the 83.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.1% (HV 20d: 11.5%). Max pain ranged from $123.00 to $131.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 2.94.

Notable Days

2022-03-08: Highest Volume — 742,871 contracts
2022-03-14: Largest IV spike — 10.2% change
2022-03-02: Highest IV Rank — 100.0%
2022-03-08: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.12	$118.55	$125.02	$125.02	$121.35
Max Pain	$126.65	$123.00	$131.00	$131.00	$123.00
ATM IV	11.4%	10.0%	13.0%	10.8%	10.0%
Expected Move	3.4%	3.1%	4.4%	3.2%	3.1%
HV 20d	11.5%	9.1%	13.0%	9.1%	12.1%
HV 60d	8.7%	7.5%	9.8%	7.5%	9.7%
IV Rank	83.1%	62.1%	100.0%	90.3%	62.1%
IV Percentile	96.6%	89.7%	100.0%	97.6%	89.7%
Term Structure	-0.1%	-1.3%	0.9%	-0.5%	0.9%
VWIV	12.3%	10.6%	15.3%	11.6%	10.7%
Skew 25d	2.4%	-0.6%	3.5%	2.8%	1.9%
Skew 10d	4.5%	0.5%	8.8%	8.0%	3.4%
Call IV 25d	10.8%	9.4%	12.6%	10.1%	9.4%
Put IV 25d	13.2%	11.1%	15.7%	12.9%	11.3%
Bid-Ask Spread %	68.58	15.25	92.49	22.34	76.29
Gamma HHI	0.12	0.11	0.13	0.12	0.12
Net GEX	-1.22B	-1.56B	-984.2M	-984.2M	-1.13B
Net DEX	8.59B	4.92B	13.82B	4.92B	5.28B
Net VEX	-16.0M	-20.3M	-11.9M	-13.9M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.94	1.08	9.23	3.37	1.88
Total Volume	201,047.13	76,023	742,871	274,154	78,458
Total OI	1,804,752.739	1,507,418	2,246,485	1,507,418	1,640,257

Daily Data (23 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
2022-03-01	$125.02	$131.00	10.8%	3.2%	9.1%	90.3%	11.6%	2.8%	-0.5%	-984.2M	4.92B	-13.9M	3.37	22.34	62,803	211,351	289,605	1,217,813
2022-03-02	$123.29	$130.00	11.4%	3.1%	10.2%	100.0%	11.4%	2.2%	-0.7%	-1.16B	7.26B	-15.2M	2.22	15.25	57,885	128,632	316,080	1,280,715
2022-03-03	$123.65	$130.00	11.1%	3.2%	10.3%	94.4%	11.5%	2.2%	-0.5%	-1.10B	6.61B	-14.4M	3.78	17.17	58,510	221,406	322,908	1,258,423
2022-03-04	$123.73	$130.00	11.9%	3.6%	10.1%	100.0%	12.8%	1.0%	-0.6%	-1.11B	6.87B	-16.2M	4.07	16.50	69,210	281,934	322,824	1,372,650
2022-03-07	$122.18	$129.00	13.0%	4.1%	10.4%	100.0%	14.8%	1.5%	-0.2%	-1.22B	8.91B	-17.3M	2.14	51.30	66,511	142,353	321,030	1,492,564
2022-03-08	$121.43	$129.00	13.0%	4.4%	10.5%	100.0%	15.3%	3.2%	0.4%	-1.18B	9.62B	-16.9M	9.23	87.68	72,595	670,276	322,460	1,467,032
2022-03-09	$121.70	$129.00	12.7%	3.6%	10.5%	95.8%	14.2%	3.1%	-0.3%	-1.41B	10.49B	-20.3M	2.80	89.98	93,601	262,175	324,736	1,746,623
2022-03-10	$120.22	$129.00	12.1%	3.9%	11.1%	88.8%	12.1%	3.5%	0.1%	-1.35B	12.28B	-19.2M	3.39	91.73	68,317	231,813	346,128	1,750,036
2022-03-11	$120.16	$129.00	11.7%	3.5%	10.2%	83.2%	12.7%	3.3%	-0.9%	-1.40B	12.31B	-18.9M	1.86	92.07	69,301	129,114	348,863	1,774,501
2022-03-14	$118.55	$127.00	12.9%	3.4%	10.7%	98.4%	13.4%	3.3%	-1.3%	-1.18B	13.82B	-17.0M	6.69	81.29	29,073	194,556	342,356	1,771,139
2022-03-15	$119.37	$127.00	11.8%	3.4%	11.1%	84.0%	12.7%	2.7%	-0.1%	-1.34B	13.15B	-16.7M	1.57	79.06	63,249	99,334	343,320	1,790,028
2022-03-16	$120.14	$127.00	10.9%	3.1%	11.4%	73.8%	13.2%	-0.6%	0.1%	-1.56B	12.07B	-15.0M	2.05	92.49	51,033	104,476	372,339	1,786,023
2022-03-17	$121.49	$127.00	11.1%	3.2%	12.2%	75.9%	13.4%	2.2%	-0.6%	-1.36B	10.26B	-15.9M	4.53	78.06	39,322	178,167	392,044	1,769,820
2022-03-18	$121.86	$125.00	10.5%	3.1%	12.3%	68.6%	11.4%	1.7%	-0.1%	-1.30B	9.72B	-16.5M	5.43	73.41	23,388	127,072	398,639	1,847,846
2022-03-21	$120.24	$125.00	11.5%	3.3%	13.0%	80.4%	12.4%	2.9%	0.1%	-1.14B	6.59B	-16.5M	2.37	74.80	22,544	53,479	196,005	1,326,073
2022-03-22	$119.81	$125.00	11.1%	3.3%	13.0%	75.7%	12.3%	2.9%	0.5%	-1.15B	7.08B	-16.9M	1.42	74.62	42,423	60,054	209,894	1,340,794
2022-03-23	$120.09	$124.00	11.3%	3.3%	13.0%	78.7%	10.6%	3.1%	0.6%	-1.14B	6.89B	-16.3M	1.08	75.43	38,408	41,377	230,659	1,351,512
2022-03-24	$120.31	$124.00	10.8%	3.3%	12.9%	72.4%	10.7%	2.6%	-0.1%	-1.17B	6.76B	-15.7M	1.51	74.87	32,459	49,155	248,796	1,365,607
2022-03-25	$119.32	$124.00	11.5%	3.4%	13.0%	81.2%	12.6%	2.4%	-0.1%	-1.18B	7.76B	-15.7M	2.25	77.32	44,917	100,931	250,801	1,368,962
2022-03-28	$119.96	$123.00	10.9%	3.2%	12.6%	73.3%	10.9%	2.6%	-0.0%	-1.21B	7.04B	-14.5M	1.25	75.44	34,185	42,655	251,750	1,373,532
2022-03-29	$120.87	$123.00	10.5%	3.1%	12.9%	67.6%	11.4%	1.9%	0.1%	-1.18B	6.24B	-14.7M	1.24	79.16	43,677	54,120	254,867	1,376,987
2022-03-30	$121.11	$123.00	10.4%	3.1%	12.1%	66.5%	10.8%	2.0%	0.5%	-1.18B	5.70B	-13.1M	1.48	81.04	31,404	46,381	265,171	1,369,101
2022-03-31	$121.35	$123.00	10.0%	3.1%	12.1%	62.1%	10.7%	1.9%	0.9%	-1.13B	5.28B	-11.9M	1.88	76.29	27,288	51,170	269,532	1,370,725