LQD Options History — October 2022

In October 2022, LQD traded between $99.16 and $104.57. ATM implied volatility averaged 17.0%, placing in the 90.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.0% (HV 20d: 14.0%). Max pain ranged from $101.00 to $106.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2022-10-13: Highest Volume — 274,775 contracts
  • 2022-10-25: Largest IV drop — 10.7% change
  • 2022-10-11: Highest IV Rank — 100.0%
  • 2022-10-24: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.52$99.16$104.57$103.99$101.25
Max Pain$103.21$101.00$106.00$106.00$101.50
ATM IV17.0%15.3%18.8%16.7%15.6%
Expected Move4.9%4.3%5.6%5.0%4.8%
HV 20d14.0%11.2%15.1%15.1%11.2%
HV 60d12.8%12.5%13.0%12.7%12.5%
IV Rank90.6%71.7%100.0%97.1%73.6%
IV Percentile97.2%90.5%100.0%99.6%90.5%
Term Structure-0.4%-1.2%0.5%-0.5%0.2%
VWIV17.7%15.3%20.2%17.2%17.9%
Skew 25d3.1%2.0%4.0%4.0%2.6%
Skew 10d6.3%4.1%9.5%7.5%4.6%
Call IV 25d16.2%14.8%18.7%15.9%14.9%
Put IV 25d19.3%17.0%21.4%19.9%17.5%
Bid-Ask Spread %56.6921.9584.6524.3549.98
Gamma HHI0.130.100.250.100.10
Net GEX-133.2M-334.6M21.5M-29.8M-27.6M
Net DEX1.55B315.0M2.71B1.05B646.6M
Net VEX-7.9M-9.7M-7.0M-9.4M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.186.040.861.25
Total Volume119,560.95248,762274,775136,43974,130
Total OI1,673,247.9051,274,3341,886,0311,754,1871,323,734

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$103.99$106.0016.7%5.0%15.1%97.1%17.2%4.0%-0.5%-29.8M1.05B-9.4M0.8624.3573,49862,941414,4981,339,689
2022-10-04$104.57$106.0015.6%4.3%14.7%86.6%16.4%3.7%-0.6%21.5M780.7M-9.3M0.5559.9344,56224,630435,7511,357,031
2022-10-05$103.71$106.0016.3%4.6%14.1%93.0%16.5%3.4%-0.7%-49.6M1.25B-9.7M0.7762.4365,80050,756440,1481,365,388
2022-10-06$103.53$104.0016.0%4.4%14.1%90.2%15.3%3.3%-0.2%-49.3M1.19B-8.7M0.2675.6948,69212,666470,1671,388,970
2022-10-07$102.43$104.0016.1%4.6%14.2%90.9%18.5%3.4%0.2%-154.4M1.69B-8.5M0.4273.3843,95018,421477,4331,389,395
2022-10-10$101.56$104.0016.8%4.7%14.4%97.6%17.4%3.6%-0.5%-234.2M2.11B-7.9M0.4932.9932,76515,997448,0641,347,683
2022-10-11$101.38$104.0017.4%4.9%14.3%100.0%16.9%3.6%-0.2%-208.9M2.01B-7.6M0.3325.2043,23814,193452,0351,347,610
2022-10-12$101.30$104.0017.9%5.0%14.1%100.0%20.2%3.8%-0.5%-205.8M2.01B-7.5M0.9561.7069,56366,241469,9311,344,928
2022-10-13$101.42$104.0018.5%5.2%14.2%100.0%17.0%3.6%-0.9%-189.7M1.97B-7.4M6.0476.3139,008235,767508,2361,377,795
2022-10-14$100.42$104.0018.6%5.2%14.4%100.0%19.7%3.5%-0.6%-228.8M2.39B-7.6M5.4384.6536,574198,772517,8591,355,981
2022-10-17$101.00$104.0018.1%5.1%14.7%96.2%19.6%3.5%-0.4%-164.9M2.02B-7.0M1.2336.7344,36254,438520,8061,219,482
2022-10-18$101.50$103.0016.6%4.7%14.7%83.3%17.3%2.2%-1.2%-136.0M1.87B-7.2M1.5682.2646,73872,811542,0981,253,135
2022-10-19$100.03$103.0017.4%5.0%15.1%90.3%17.9%2.5%-0.5%-275.6M2.54B-7.6M1.6479.0952,73286,460552,6271,278,942
2022-10-20$99.16$103.0018.7%5.4%14.7%100.0%18.2%2.6%-0.8%-293.0M2.71B-7.4M0.5284.5673,45238,506562,7701,265,523
2022-10-21$99.58$102.0018.7%5.4%14.9%99.8%18.6%2.0%-0.6%-334.6M2.43B-7.6M0.1875.51186,66632,861590,8021,262,420
2022-10-24$99.56$101.0018.8%5.6%13.9%100.0%19.5%3.1%-0.3%-118.4M1.43B-8.1M0.2446.9762,60915,296363,924923,186
2022-10-25$100.80$101.0016.8%5.1%13.9%83.9%18.6%3.0%-0.0%-69.1M942.6M-7.8M1.5634.0577,695121,328386,247926,514
2022-10-26$101.24$101.0015.8%4.8%12.4%76.4%16.7%2.9%0.5%-32.6M658.0M-7.3M0.4921.9560,30529,282413,296861,038
2022-10-27$101.65$101.0015.3%4.7%12.2%71.7%16.2%2.4%0.4%-6.7M474.5M-7.7M0.5841.9550,83429,637434,364875,104
2022-10-28$101.82$101.0015.4%4.6%12.2%72.1%16.9%2.3%-0.2%-10.0M315.0M-7.2M1.8960.7635,45067,154448,442885,160
2022-10-31$101.25$101.5015.6%4.8%11.2%73.6%17.9%2.6%0.2%-27.6M646.6M-7.0M1.2549.9832,87941,251444,842878,892