LQD Options History — May 2022

In May 2022, LQD traded between $110.75 and $115.30. ATM implied volatility averaged 12.5%, placing in the 77.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.2% (HV 20d: 12.4%). Max pain ranged from $120.00 to $124.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.14.

Notable Days

  • 2022-05-10: Highest Volume — 516,467 contracts
  • 2022-05-03: Largest IV drop — 7.7% change
  • 2022-05-02: Highest IV Rank — 100.0%
  • 2022-05-02: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.50$110.75$115.30$111.63$114.63
Max Pain$120.95$120.00$124.00$124.00$121.00
ATM IV12.5%10.8%14.7%14.7%11.1%
Expected Move3.7%3.1%4.4%4.4%3.2%
HV 20d12.4%11.0%13.3%11.7%11.2%
HV 60d11.9%11.4%12.2%11.4%12.0%
IV Rank77.2%59.4%100.0%100.0%61.6%
IV Percentile90.7%77.4%100.0%100.0%80.2%
Term Structure-0.1%-1.0%0.7%-0.4%-0.5%
VWIV13.4%11.3%16.2%16.2%11.6%
Skew 25d2.1%0.5%2.9%2.8%0.5%
Skew 10d3.8%0.3%5.6%4.6%0.3%
Call IV 25d11.8%10.1%14.0%13.8%11.1%
Put IV 25d13.9%11.5%16.5%16.5%11.5%
Bid-Ask Spread %64.5122.5589.4836.6578.76
Gamma HHI0.160.110.200.190.15
Net GEX-636.3M-880.8M-300.8M-689.7M-310.5M
Net DEX6.13B1.80B9.23B7.55B2.24B
Net VEX-9.7M-12.3M-6.1M-10.8M-6.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.859.131.824.27
Total Volume180,316.429105,581516,467121,104167,693
Total OI1,657,149.3331,280,4582,007,5561,280,4581,631,822

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$111.63$124.0014.7%4.4%11.7%100.0%16.2%2.8%-0.4%-689.7M7.55B-10.8M1.8236.6543,01078,094201,1471,079,311
2022-05-03$112.37$123.0013.6%4.3%12.1%88.2%14.9%2.8%-0.1%-697.7M7.10B-11.3M0.9789.4867,73566,015216,4621,083,138
2022-05-04$113.51$123.0012.9%3.8%12.2%80.9%14.2%1.9%0.1%-735.2M6.10B-10.8M1.3783.5547,77065,657245,2971,084,413
2022-05-05$111.68$120.0013.7%3.9%13.1%89.4%15.2%2.7%-0.2%-658.2M7.76B-10.3M9.1339.6940,538370,290254,7111,103,597
2022-05-06$110.75$120.0014.5%4.1%13.2%98.2%15.5%2.3%-0.5%-762.9M9.23B-11.9M5.7075.4027,969159,540256,9051,316,199
2022-05-09$111.28$120.0013.5%4.0%13.3%87.0%14.0%1.5%0.7%-827.7M8.15B-11.5M4.5576.6643,723198,765209,7521,299,290
2022-05-10$111.72$120.0013.9%3.9%13.2%91.1%15.5%2.4%-0.3%-803.6M7.57B-12.1M5.7575.8476,552439,915231,3041,288,345
2022-05-11$112.25$120.0013.5%3.9%13.3%87.2%15.1%2.9%0.1%-706.3M6.80B-11.9M4.8377.1326,822129,514289,7911,500,340
2022-05-12$112.35$120.0013.0%3.8%13.2%82.4%14.2%2.6%0.2%-675.9M6.87B-12.3M2.6778.9343,250115,625301,4261,599,659
2022-05-13$111.63$120.0012.4%3.6%12.9%75.7%13.4%2.6%0.4%-832.3M7.72B-11.7M1.6682.4062,714104,142294,4891,620,057
2022-05-16$111.80$121.0012.1%3.5%12.8%72.9%13.5%2.4%-0.1%-821.8M7.96B-9.9M1.9981.0662,404124,218332,4191,655,065
2022-05-17$111.15$121.0012.7%3.6%12.6%78.4%13.8%2.5%-0.5%-880.8M8.23B-10.4M3.7279.9631,239116,275306,6051,655,955
2022-05-18$111.43$121.0012.4%3.5%12.0%75.5%12.8%2.1%-0.7%-800.8M8.04B-9.5M3.6382.7122,79882,783317,1951,670,835
2022-05-19$111.81$121.0012.2%3.5%11.6%73.2%12.3%2.1%-0.2%-721.6M7.75B-9.2M1.7534.5244,62978,315320,4391,678,516
2022-05-20$112.36$121.0011.8%3.5%11.8%69.7%11.9%1.8%-1.0%-553.1M7.34B-8.5M5.0438.6829,519148,629335,7231,671,833
2022-05-23$112.03$120.0011.5%3.4%11.0%66.0%12.0%2.1%-0.1%-549.3M3.65B-7.9M1.1324.3173,57583,462185,7361,280,718
2022-05-24$113.53$121.0011.1%3.3%12.2%62.7%11.4%0.6%-0.2%-387.8M2.74B-7.4M1.8322.5539,69672,789213,3591,309,988
2022-05-25$114.56$121.0010.9%3.2%12.1%60.5%12.2%1.6%0.4%-319.0M2.12B-6.4M1.2031.1570,15983,967217,8231,308,296
2022-05-26$114.73$121.0011.0%3.2%12.1%61.0%11.4%1.6%0.3%-300.8M2.10B-7.0M0.8580.6558,45149,458251,2711,348,051
2022-05-27$115.30$121.0010.8%3.1%11.6%59.4%11.3%2.0%0.1%-327.2M1.80B-6.8M2.0184.5346,17392,773280,1491,352,705
2022-05-31$114.63$121.0011.1%3.2%11.2%61.6%11.6%0.5%-0.5%-310.5M2.24B-6.1M4.2778.7631,819135,874270,7601,361,062