LQD Options History — June 2022

In June 2022, LQD traded between $107.31 and $113.50. ATM implied volatility averaged 12.8%, placing in the 73.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.1% (HV 20d: 12.9%). Max pain ranged from $111.00 to $121.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.51.

Notable Days

2022-06-13: Highest Volume — 447,280 contracts
2022-06-13: Largest IV spike — 19.3% change
2022-06-14: Highest IV Rank — 100.0%
2022-06-14: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.41	$107.31	$113.50	$113.49	$110.36
Max Pain	$113.48	$111.00	$121.00	$121.00	$111.00
ATM IV	12.8%	10.7%	16.0%	11.6%	12.3%
Expected Move	3.7%	3.1%	4.6%	3.4%	3.4%
HV 20d	12.9%	9.3%	15.5%	11.7%	14.5%
HV 60d	12.3%	11.5%	12.9%	11.9%	12.9%
IV Rank	73.7%	57.5%	100.0%	67.2%	65.8%
IV Percentile	89.4%	74.6%	100.0%	84.1%	84.5%
Term Structure	-0.2%	-1.2%	0.3%	-0.2%	0.1%
VWIV	13.3%	10.7%	16.6%	12.4%	12.5%
Skew 25d	2.2%	1.3%	3.1%	2.1%	2.1%
Skew 10d	4.1%	2.5%	6.0%	3.3%	3.6%
Call IV 25d	12.0%	9.8%	14.7%	10.9%	11.9%
Put IV 25d	14.2%	11.2%	17.7%	13.0%	13.9%
Bid-Ask Spread %	83.14	58.77	92.93	69.06	92.51
Gamma HHI	0.13	0.09	0.18	0.12	0.10
Net GEX	-504.3M	-748.4M	-231.0M	-454.2M	-231.0M
Net DEX	3.64B	1.40B	7.05B	3.18B	1.40B
Net VEX	-9.2M	-12.6M	-7.0M	-8.7M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.51	0.44	12.72	1.68	1.06
Total Volume	166,710.286	64,962	447,280	174,002	85,283
Total OI	1,685,208	1,500,698	2,039,589	1,658,878	1,660,368

Daily Data (21 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
2022-06-01	$113.49	$121.00	11.6%	3.4%	11.7%	67.2%	12.4%	2.1%	-0.2%	-454.2M	3.18B	-8.7M	1.68	69.06	65,020	108,982	278,031	1,380,847
2022-06-02	$113.50	$115.00	11.5%	3.3%	11.2%	65.9%	10.7%	1.4%	-0.4%	-472.9M	3.16B	-7.8M	2.17	79.38	56,804	123,523	264,506	1,376,914
2022-06-03	$113.11	$115.00	11.3%	3.2%	9.5%	63.9%	16.6%	1.9%	-0.3%	-569.3M	3.53B	-8.5M	2.62	87.76	46,193	121,179	264,329	1,385,886
2022-06-06	$112.39	$115.00	11.6%	3.4%	9.3%	67.4%	11.0%	2.1%	0.2%	-591.2M	3.90B	-7.8M	2.99	62.01	42,023	125,854	241,864	1,384,943
2022-06-07	$113.00	$115.00	10.7%	3.1%	9.3%	57.5%	11.4%	1.3%	0.2%	-558.9M	3.44B	-7.0M	2.14	58.77	60,103	128,422	247,816	1,383,852
2022-06-08	$112.55	$115.00	10.9%	3.1%	9.4%	59.7%	11.6%	1.7%	-0.1%	-529.8M	3.72B	-7.1M	3.05	63.79	39,917	121,743	270,743	1,386,278
2022-06-09	$111.59	$115.00	11.6%	3.2%	9.8%	66.7%	12.2%	2.1%	-0.2%	-587.9M	4.40B	-7.8M	4.43	69.85	31,747	140,795	273,059	1,386,475
2022-06-10	$110.75	$115.00	12.2%	3.5%	10.1%	73.1%	12.8%	1.5%	-0.2%	-655.7M	4.99B	-8.0M	4.45	92.93	38,454	170,955	277,465	1,402,711
2022-06-13	$107.79	$115.00	14.5%	4.1%	13.7%	98.0%	14.5%	1.9%	-0.2%	-656.3M	6.51B	-9.2M	12.72	90.18	32,600	414,680	244,097	1,346,606
2022-06-14	$107.31	$115.00	16.0%	4.6%	13.6%	100.0%	16.5%	3.1%	-0.9%	-682.3M	7.05B	-12.6M	2.11	89.02	64,527	136,142	247,481	1,642,834
2022-06-15	$109.04	$114.00	14.4%	4.1%	15.0%	84.7%	14.6%	2.1%	-0.7%	-748.4M	5.70B	-10.3M	3.50	92.75	46,309	162,008	280,536	1,666,431
2022-06-16	$109.04	$114.00	14.4%	4.2%	14.9%	85.2%	14.3%	2.3%	-0.6%	-691.8M	5.49B	-9.7M	2.25	91.12	81,839	184,413	286,796	1,694,520
2022-06-17	$109.44	$111.00	14.1%	4.1%	14.9%	81.8%	14.0%	2.5%	-1.2%	-618.9M	4.81B	-10.5M	0.86	91.76	60,123	51,831	330,053	1,709,536
2022-06-21	$108.27	$111.00	14.4%	4.1%	15.1%	85.0%	14.3%	3.0%	-0.1%	-428.7M	2.93B	-11.4M	0.93	86.76	33,723	31,239	168,380	1,332,318
2022-06-22	$109.10	$111.00	13.6%	3.9%	15.5%	77.8%	13.8%	2.8%	-0.1%	-394.2M	2.41B	-10.5M	0.70	89.12	41,477	29,117	178,944	1,327,493
2022-06-23	$109.89	$111.00	13.0%	3.8%	14.9%	71.7%	12.9%	2.5%	0.1%	-360.1M	1.98B	-10.2M	0.44	86.84	152,860	67,057	181,681	1,334,027
2022-06-24	$110.06	$111.00	12.3%	3.7%	14.4%	66.0%	13.0%	2.4%	0.3%	-340.8M	1.59B	-10.5M	0.90	87.96	41,564	37,253	285,076	1,347,666
2022-06-27	$109.18	$111.00	13.0%	3.8%	14.5%	72.1%	14.8%	2.2%	0.2%	-324.6M	2.13B	-9.4M	1.97	88.25	41,710	82,074	274,866	1,342,862
2022-06-28	$109.06	$111.00	12.8%	3.8%	14.2%	69.8%	13.4%	3.0%	0.3%	-369.2M	2.32B	-9.5M	0.84	88.14	58,898	49,264	284,669	1,355,149
2022-06-29	$109.66	$111.00	12.7%	3.5%	14.5%	69.0%	12.3%	2.1%	-0.3%	-323.7M	1.79B	-7.9M	0.95	87.90	47,711	45,500	295,072	1,366,188
2022-06-30	$110.36	$111.00	12.3%	3.4%	14.5%	65.8%	12.5%	2.1%	0.1%	-231.0M	1.40B	-8.3M	1.06	92.51	41,418	43,865	297,100	1,363,268