LQD Options History — September 2022

In September 2022, LQD traded between $101.64 and $108.45. ATM implied volatility averaged 14.1%, placing in the 80.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.0% (HV 20d: 12.1%). Max pain ranged from $106.00 to $113.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.37.

Notable Days

  • 2022-09-27: Highest Volume — 683,810 contracts
  • 2022-09-06: Largest IV spike — 14.9% change
  • 2022-09-27: Highest IV Rank — 100.0%
  • 2022-09-27: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.16$101.64$108.45$108.30$102.62
Max Pain$109.33$106.00$113.00$113.00$106.00
ATM IV14.1%12.5%17.0%12.7%16.4%
Expected Move4.0%3.5%5.0%3.6%4.9%
HV 20d12.1%10.9%14.5%12.0%14.0%
HV 60d11.6%10.7%12.8%12.5%12.4%
IV Rank80.4%67.2%100.0%69.5%93.7%
IV Percentile93.3%81.0%100.0%86.1%99.2%
Term Structure-0.2%-0.6%0.2%0.2%-0.1%
VWIV14.5%12.4%18.4%13.8%17.5%
Skew 25d2.0%1.2%3.6%1.6%3.0%
Skew 10d4.0%2.3%7.3%3.5%7.3%
Call IV 25d13.5%12.1%16.2%12.4%15.4%
Put IV 25d15.5%13.6%19.2%13.9%18.4%
Bid-Ask Spread %59.2233.2676.1976.1957.97
Gamma HHI0.120.090.200.090.14
Net GEX-179.1M-272.6M3.4M-243.5M-193.8M
Net DEX1.29B708.4M2.17B1.42B1.82B
Net VEX-6.4M-8.6M-5.7M-6.1M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.0718.052.130.34
Total Volume123,720.5248,718683,810127,380179,111
Total OI1,462,563.6191,180,0901,718,7121,438,1341,718,712

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$108.30$113.0012.7%3.6%12.0%69.5%13.8%1.6%0.2%-243.5M1.42B-6.1M2.1376.1940,67486,706214,3061,223,828
2022-09-02$108.45$112.0012.5%3.5%11.5%67.2%12.4%1.4%0.2%-197.4M1.15B-6.2M0.1072.1021,8792,149251,6381,216,789
2022-09-06$107.07$110.0014.3%4.0%11.9%84.5%14.6%1.6%-0.6%-239.3M1.47B-6.7M1.1660.7169,76780,778268,1311,211,310
2022-09-07$108.37$110.0013.8%3.9%13.0%79.8%13.9%2.3%0.0%-179.3M1.04B-6.2M0.3944.0193,41536,386299,7191,238,231
2022-09-08$108.12$110.0013.3%3.6%12.5%74.5%13.2%2.0%-0.4%-181.6M1.12B-7.0M2.7651.912,3206,398333,6291,234,759
2022-09-09$108.44$110.0012.7%3.6%12.4%69.5%12.8%1.2%-0.0%-164.9M924.9M-6.2M1.8861.935,72510,744334,6161,238,546
2022-09-12$108.12$110.0013.2%3.7%11.5%74.2%12.7%1.9%-0.2%-191.2M1.01B-5.8M0.0753.4020,0641,356335,4501,244,474
2022-09-13$107.22$110.0013.3%3.8%11.6%75.3%13.6%1.4%0.0%-225.2M1.28B-6.0M1.0871.8451,72555,732355,2811,245,185
2022-09-14$107.57$110.0012.6%3.6%11.8%67.6%12.9%1.5%-0.1%-225.0M1.11B-6.1M0.0969.0194,2718,135356,2701,241,410
2022-09-15$107.17$110.0013.0%3.6%11.5%71.5%13.4%2.0%-0.4%-207.8M1.28B-5.9M18.0575.741,58828,666449,5021,244,749
2022-09-16$107.16$110.0013.6%3.9%11.3%76.8%13.8%2.3%-0.4%-113.5M1.37B-6.0M0.1862.99241,98044,094450,6591,256,369
2022-09-19$107.24$110.0013.4%3.8%10.9%74.9%14.4%1.6%-0.2%3.4M708.4M-6.4M1.6450.3311,18818,323286,143893,947
2022-09-20$106.17$110.0014.1%4.0%11.1%81.7%14.3%1.5%-0.4%-80.1M967.3M-6.0M0.4951.1250,10624,464290,611907,755
2022-09-21$106.63$110.0013.3%3.8%11.3%74.2%13.0%1.6%-0.3%-43.2M826.8M-5.9M0.3267.3830,5699,712336,423919,634
2022-09-22$105.17$110.0013.8%4.0%12.0%77.7%13.5%1.7%-0.2%-163.2M1.25B-6.4M0.3855.3717,6766,761347,285921,533
2022-09-23$104.92$110.0014.8%4.3%11.1%88.0%14.7%1.8%-0.2%-157.4M1.20B-5.7M0.2056.9464,38712,785355,502926,170
2022-09-26$103.13$107.0015.9%4.7%12.2%99.3%16.0%2.0%0.2%-201.4M1.68B-6.7M0.7633.2652,51739,753255,579927,400
2022-09-27$101.64$106.0017.0%5.0%12.7%100.0%18.4%2.8%0.0%-244.9M2.17B-7.5M15.5446.0441,348642,462276,093943,909
2022-09-28$103.40$106.0016.5%4.7%14.5%95.1%17.0%2.4%-0.6%-238.8M1.60B-6.5M1.5461.0169,211106,253285,3621,272,687
2022-09-29$102.49$106.0016.3%4.9%14.2%93.4%18.0%3.6%0.2%-272.6M1.76B-6.2M0.7364.29125,13491,819312,2801,291,960
2022-09-30$102.62$106.0016.4%4.9%14.0%93.7%17.5%3.0%-0.1%-193.8M1.82B-8.6M0.3457.97133,87545,236380,2121,338,500