LQD Options History — August 2022

In August 2022, LQD traded between $109.49 and $114.70. ATM implied volatility averaged 11.2%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.3% (HV 20d: 11.5%). Max pain ranged from $113.00 to $125.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 6.42.

Notable Days

2022-08-31: Highest Volume — 118,576 contracts
2022-08-02: Largest IV spike — 11.4% change
2022-08-31: Highest IV Rank — 69.0%
2022-08-31: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.53	$109.49	$114.70	$114.70	$109.49
Max Pain	$115.04	$113.00	$125.00	$125.00	$113.00
ATM IV	11.2%	10.0%	12.7%	10.5%	12.7%
Expected Move	3.2%	2.9%	3.5%	3.0%	3.5%
HV 20d	11.5%	8.2%	12.6%	8.2%	11.7%
HV 60d	11.9%	11.4%	12.3%	11.6%	12.3%
IV Rank	55.5%	43.9%	69.0%	48.9%	69.0%
IV Percentile	67.5%	54.0%	84.9%	60.3%	84.9%
Term Structure	-0.0%	-0.5%	0.6%	-0.4%	0.2%
VWIV	11.9%	9.9%	14.9%	12.6%	13.6%
Skew 25d	1.4%	0.5%	2.6%	1.4%	1.5%
Skew 10d	2.3%	1.2%	4.1%	2.8%	2.5%
Call IV 25d	10.9%	9.7%	12.2%	10.3%	12.2%
Put IV 25d	12.3%	10.5%	13.7%	11.7%	13.7%
Bid-Ask Spread %	69.57	32.09	89.06	86.16	33.84
Gamma HHI	0.10	0.08	0.13	0.08	0.11
Net GEX	-62.3M	-164.9M	71.1M	-8.2M	-164.9M
Net DEX	518.3M	89.5M	1.06B	394.4M	974.8M
Net VEX	-4.0M	-4.8M	-3.4M	-4.3M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.42	0.10	60.44	1.24	0.61
Total Volume	61,088.304	1,797	118,576	84,911	118,576
Total OI	1,386,276.957	1,215,180	1,502,147	1,343,562	1,424,106

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
2022-08-01	$114.70	$125.00	10.5%	3.0%	8.2%	48.9%	12.6%	1.4%	-0.4%	-8.2M	394.4M	-4.3M	1.24	86.16	37,876	47,035	170,006	1,173,556
2022-08-02	$113.17	$125.00	11.7%	3.2%	9.7%	60.0%	12.3%	1.7%	0.0%	-73.1M	487.8M	-4.8M	1.35	85.29	50,280	67,704	172,096	1,156,852
2022-08-03	$114.36	$125.00	11.3%	3.2%	10.1%	56.6%	12.2%	1.0%	-0.4%	-28.2M	261.1M	-4.0M	1.16	89.06	42,196	48,736	172,633	1,176,755
2022-08-04	$114.48	$113.00	10.8%	3.1%	10.0%	51.5%	12.1%	1.2%	-0.5%	-2.6M	218.8M	-3.9M	1.16	78.61	40,126	46,540	173,157	1,178,316
2022-08-05	$113.07	$113.00	11.1%	3.1%	11.2%	54.5%	11.5%	1.2%	-0.3%	-88.5M	530.1M	-4.1M	1.23	79.27	39,211	48,251	173,178	1,177,747
2022-08-08	$113.47	$113.00	11.5%	3.3%	11.2%	57.7%	12.1%	1.8%	0.1%	-72.0M	477.6M	-4.2M	0.98	79.15	48,334	47,323	170,312	1,175,104
2022-08-09	$113.08	$113.00	10.9%	3.1%	11.3%	52.5%	11.2%	1.4%	0.3%	-72.4M	510.7M	-3.9M	60.44	82.26	1,412	85,337	172,699	1,172,361
2022-08-10	$113.94	$113.00	10.0%	2.9%	11.4%	43.9%	11.1%	1.5%	0.1%	-7.0M	302.7M	-3.7M	6.05	79.48	2,249	13,613	174,289	1,256,591
2022-08-11	$112.91	$113.00	10.5%	3.0%	11.8%	49.2%	10.6%	2.6%	0.0%	-80.4M	571.3M	-3.9M	0.23	84.92	51,486	11,899	174,349	1,258,879
2022-08-12	$114.13	$113.00	10.0%	2.9%	12.1%	44.0%	9.9%	0.5%	0.3%	65.5M	89.5M	-3.6M	7.80	85.05	3,145	24,528	224,151	1,260,303
2022-08-15	$114.17	$113.00	10.1%	2.9%	11.8%	45.4%	10.7%	1.0%	-0.2%	71.1M	132.8M	-3.7M	1.03	83.61	1,447	1,484	222,018	1,251,799
2022-08-16	$113.69	$113.00	10.3%	3.0%	12.0%	47.2%	10.6%	1.3%	-0.1%	37.0M	244.9M	-3.6M	0.36	81.27	1,318	479	222,040	1,252,557
2022-08-17	$112.54	$113.00	11.1%	3.2%	12.6%	54.0%	11.1%	1.6%	0.6%	-57.8M	614.0M	-4.1M	4.96	84.58	6,868	34,067	195,935	1,252,731
2022-08-18	$112.92	$113.00	10.9%	3.1%	11.9%	52.6%	12.0%	1.2%	-0.1%	-11.9M	431.3M	-3.4M	1.04	47.60	35,507	36,885	201,137	1,260,185
2022-08-19	$111.63	$115.00	11.6%	3.3%	12.3%	59.1%	12.0%	1.4%	0.3%	-101.0M	1.06B	-3.5M	0.82	37.33	28,432	23,217	209,167	1,292,980
2022-08-22	$110.83	$115.00	12.0%	3.4%	12.3%	62.7%	13.0%	1.4%	-0.2%	-113.9M	691.6M	-3.8M	35.54	51.31	2,427	86,251	118,926	1,096,254
2022-08-23	$111.01	$115.00	12.0%	3.3%	12.4%	62.8%	12.2%	1.5%	0.1%	-130.4M	725.6M	-4.3M	15.85	74.66	1,976	31,316	120,525	1,166,342
2022-08-24	$110.62	$115.00	11.8%	3.3%	12.1%	61.0%	11.6%	1.0%	-0.2%	-150.6M	806.2M	-4.4M	4.90	32.09	3,052	14,940	121,314	1,196,821
2022-08-25	$111.67	$115.00	11.4%	3.2%	12.3%	56.9%	11.1%	1.3%	0.1%	-98.2M	539.2M	-3.7M	0.23	77.23	17,641	4,092	123,679	1,198,449
2022-08-26	$111.17	$114.00	11.9%	3.3%	12.2%	61.8%	12.3%	1.3%	-0.3%	-112.2M	602.9M	-4.1M	0.24	78.47	82,672	19,568	138,737	1,200,047
2022-08-29	$110.31	$113.00	12.2%	3.4%	12.3%	64.3%	12.4%	1.3%	0.1%	-113.4M	737.5M	-4.6M	0.44	34.32	35,622	15,744	215,240	1,214,715
2022-08-30	$110.88	$113.00	11.8%	3.3%	11.8%	61.2%	14.9%	0.9%	0.2%	-120.7M	516.4M	-3.4M	0.10	54.66	40,147	4,022	210,417	1,214,915
2022-08-31	$109.49	$113.00	12.7%	3.5%	11.7%	69.0%	13.6%	1.5%	0.2%	-164.9M	974.8M	-4.6M	0.61	33.84	73,678	44,898	207,968	1,216,138