LQD Options History — July 2022

In July 2022, LQD traded between $110.34 and $114.78. ATM implied volatility averaged 12.0%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.4% (HV 20d: 10.6%). Max pain ranged from $111.00 to $125.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.18.

Notable Days

2022-07-15: Highest Volume — 170,317 contracts
2022-07-28: Largest IV drop — 14.6% change
2022-07-05: Highest IV Rank — 76.4%
2022-07-05: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.88	$110.34	$114.78	$111.09	$114.78
Max Pain	$117.60	$111.00	$125.00	$111.00	$125.00
ATM IV	12.0%	9.9%	13.5%	13.1%	10.3%
Expected Move	3.5%	2.9%	3.9%	3.5%	2.9%
HV 20d	10.6%	7.7%	14.7%	14.7%	8.3%
HV 60d	12.2%	11.8%	12.7%	12.7%	11.8%
IV Rank	63.1%	43.3%	76.4%	73.0%	47.3%
IV Percentile	79.1%	57.5%	94.0%	93.7%	59.5%
Term Structure	-0.0%	-0.7%	0.3%	-0.0%	0.2%
VWIV	12.6%	10.7%	14.7%	12.8%	10.7%
Skew 25d	1.6%	0.5%	2.3%	2.1%	0.5%
Skew 10d	3.0%	1.5%	5.3%	5.3%	1.5%
Call IV 25d	11.7%	10.1%	13.1%	12.4%	10.4%
Put IV 25d	13.3%	10.9%	15.4%	14.5%	10.9%
Bid-Ask Spread %	83.86	54.80	89.64	87.13	89.64
Gamma HHI	0.14	0.08	0.65	0.12	0.13
Net GEX	-67.2M	-182.3M	679.7M	-129.1M	38.6M
Net DEX	841.4M	204.6M	1.48B	990.8M	204.6M
Net VEX	-5.9M	-9.4M	-2.6M	-8.6M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.59	1.92	1.19	0.76
Total Volume	114,192.9	82,824	170,317	118,796	140,275
Total OI	1,490,760.7	1,205,234	1,769,187	1,665,272	1,326,823

Daily Data (20 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
2022-07-01	$111.09	$111.00	13.1%	3.5%	14.7%	73.0%	12.8%	2.1%	-0.0%	-129.1M	990.8M	-8.6M	1.19	87.13	54,166	64,630	295,578	1,369,694
2022-07-05	$111.12	$112.00	13.5%	3.9%	14.7%	76.4%	14.7%	2.3%	-0.5%	-128.4M	1.15B	-9.4M	1.16	82.76	44,666	51,951	300,230	1,382,388
2022-07-06	$110.60	$112.00	13.1%	3.7%	14.6%	73.4%	14.5%	2.0%	0.2%	-159.4M	1.39B	-9.0M	0.92	88.20	48,144	44,413	299,862	1,391,326
2022-07-07	$110.47	$111.00	13.0%	3.9%	14.5%	72.5%	13.6%	1.7%	-0.1%	-178.0M	1.48B	-9.3M	1.14	85.98	38,744	44,080	307,410	1,395,756
2022-07-08	$110.34	$111.00	12.8%	3.8%	14.4%	70.5%	13.8%	1.5%	-0.0%	-169.5M	1.39B	-7.8M	0.59	86.39	63,738	37,411	314,817	1,394,297
2022-07-11	$110.55	$111.00	13.3%	3.7%	14.2%	74.5%	14.2%	2.1%	0.1%	-159.6M	1.38B	-8.1M	1.26	86.31	42,951	54,190	296,091	1,392,393
2022-07-12	$110.95	$111.00	13.3%	3.8%	14.0%	74.7%	14.4%	1.8%	-0.1%	-99.2M	1.10B	-7.6M	0.91	76.28	76,966	70,070	296,722	1,397,077
2022-07-13	$111.64	$111.00	12.9%	3.7%	9.7%	71.2%	13.7%	1.7%	-0.1%	1.6M	539.3M	-6.1M	1.26	84.11	62,931	79,302	295,030	1,416,514
2022-07-14	$111.11	$111.00	12.7%	3.7%	9.8%	68.8%	12.8%	1.7%	0.3%	-40.9M	909.8M	-6.6M	0.95	54.80	76,431	72,808	300,583	1,427,532
2022-07-15	$111.85	$113.00	11.9%	3.5%	8.4%	61.8%	12.9%	1.2%	0.3%	679.7M	329.4M	-5.2M	0.78	89.06	95,619	74,698	323,114	1,446,073
2022-07-18	$111.15	$113.00	12.6%	3.6%	8.8%	68.0%	12.9%	1.6%	-0.3%	-182.3M	846.2M	-5.6M	1.07	82.81	57,561	61,480	94,600	1,110,634
2022-07-19	$111.36	$125.00	11.5%	3.3%	8.8%	58.3%	11.7%	1.6%	-0.7%	-159.9M	889.3M	-4.6M	1.28	83.25	40,964	52,602	113,953	1,133,998
2022-07-20	$111.27	$125.00	11.4%	3.3%	7.7%	56.9%	11.7%	1.6%	-0.3%	-156.3M	890.6M	-4.6M	1.57	83.83	41,457	65,226	115,577	1,131,001
2022-07-21	$112.67	$125.00	10.8%	3.1%	8.4%	51.2%	11.3%	0.9%	-0.2%	-95.0M	485.8M	-3.6M	1.92	85.07	44,264	85,128	116,135	1,133,081
2022-07-22	$113.44	$125.00	10.6%	3.0%	8.3%	49.4%	11.3%	1.1%	-0.0%	-87.4M	497.5M	-3.7M	1.65	84.73	38,102	62,686	127,662	1,162,765
2022-07-25	$112.76	$125.00	11.0%	3.2%	8.8%	53.1%	11.6%	1.6%	0.1%	-107.4M	688.3M	-3.8M	1.36	85.13	36,664	49,687	124,850	1,161,405
2022-07-26	$112.66	$125.00	11.5%	3.3%	8.1%	57.8%	11.0%	1.6%	-0.2%	-118.3M	728.8M	-4.1M	1.07	84.54	47,186	50,450	126,473	1,163,837
2022-07-27	$113.44	$125.00	11.6%	3.2%	8.3%	59.1%	11.6%	1.5%	-0.0%	-88.5M	617.7M	-4.0M	1.22	89.26	47,526	58,199	139,083	1,168,797
2022-07-28	$114.29	$125.00	9.9%	3.0%	8.4%	43.3%	11.2%	1.2%	0.3%	-4.2M	330.7M	-3.0M	1.50	87.83	42,564	63,928	146,154	1,175,899
2022-07-29	$114.78	$125.00	10.3%	2.9%	8.3%	47.3%	10.7%	0.5%	0.2%	38.6M	204.6M	-2.6M	0.76	89.64	79,882	60,393	144,996	1,181,827