LQD Options History — November 2022

In November 2022, LQD traded between $100.73 and $107.60. ATM implied volatility averaged 13.2%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.3% (HV 20d: 13.5%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2022-11-16: Highest Volume — 171,830 contracts
2022-11-10: Largest IV drop — 11.9% change
2022-11-01: Highest IV Rank — 73.4%
2022-11-02: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.44	$100.73	$107.60	$101.85	$107.53
Max Pain	$101.55	$101.00	$103.00	$101.50	$103.00
ATM IV	13.2%	11.7%	15.5%	15.5%	12.4%
Expected Move	3.9%	3.4%	4.8%	4.7%	3.9%
HV 20d	13.5%	10.1%	16.1%	11.2%	15.0%
HV 60d	13.5%	12.1%	14.3%	12.6%	13.9%
IV Rank	53.3%	40.6%	73.4%	73.4%	46.8%
IV Percentile	71.3%	52.0%	90.1%	90.1%	59.9%
Term Structure	-0.1%	-0.5%	1.1%	-0.4%	-0.5%
VWIV	14.0%	12.3%	17.5%	17.5%	13.7%
Skew 25d	2.0%	0.8%	3.0%	2.8%	1.3%
Skew 10d	3.3%	1.7%	5.7%	5.7%	2.3%
Call IV 25d	12.4%	10.6%	14.4%	14.4%	11.9%
Put IV 25d	14.4%	12.6%	17.4%	17.2%	13.2%
Bid-Ask Spread %	60.27	34.22	80.25	72.24	70.14
Gamma HHI	0.14	0.10	0.19	0.11	0.12
Net GEX	136.6M	-38.6M	404.3M	33.8M	127.0M
Net DEX	-737.0M	-2.43B	792.4M	246.5M	-987.4M
Net VEX	-4.9M	-7.3M	-3.0M	-6.7M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.10	1.59	0.83	0.32
Total Volume	83,756.476	6,765	171,830	66,644	24,353
Total OI	1,316,570.333	1,056,172	1,511,909	1,330,620	1,074,725

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
2022-11-01	$101.85	$101.50	15.5%	4.7%	11.2%	73.4%	17.5%	2.8%	-0.4%	33.8M	246.5M	-6.7M	0.83	72.24	36,474	30,170	449,782	880,838
2022-11-02	$101.38	$102.00	15.5%	4.8%	11.0%	72.8%	16.6%	3.0%	-0.3%	-3.1M	528.1M	-7.0M	1.02	80.25	72,309	74,085	449,053	881,919
2022-11-03	$100.99	$101.00	15.0%	4.3%	11.0%	69.2%	15.3%	2.6%	-0.3%	-17.9M	653.6M	-7.3M	0.49	63.74	65,727	32,352	502,049	885,199
2022-11-04	$101.11	$101.00	13.9%	4.1%	10.5%	60.4%	14.1%	2.2%	-0.3%	2.4M	595.2M	-5.9M	0.66	62.19	47,850	31,347	509,414	900,839
2022-11-07	$100.88	$101.00	13.9%	4.1%	10.1%	60.3%	14.1%	2.3%	0.1%	-38.6M	792.4M	-6.0M	0.22	66.34	101,271	22,757	499,762	894,767
2022-11-08	$101.29	$101.00	13.1%	4.0%	10.2%	52.1%	13.8%	2.5%	1.1%	73.4M	356.0M	-6.2M	0.34	62.97	72,029	24,715	554,878	889,107
2022-11-09	$100.73	$101.00	13.8%	4.0%	10.4%	57.9%	13.9%	2.6%	0.1%	-6.8M	652.1M	-6.2M	0.41	34.22	68,352	28,366	568,761	896,773
2022-11-10	$104.24	$101.00	12.1%	3.6%	16.1%	44.0%	13.7%	2.2%	0.4%	404.3M	-1.48B	-6.2M	0.61	38.24	73,871	45,225	570,796	909,577
2022-11-11	$104.51	$101.00	11.7%	3.4%	15.5%	40.6%	12.3%	2.1%	0.2%	371.0M	-1.60B	-5.4M	0.50	56.33	79,391	40,056	560,161	928,358
2022-11-14	$104.23	$101.00	12.7%	3.7%	15.5%	48.5%	12.8%	2.3%	-0.2%	312.7M	-1.20B	-4.9M	0.44	36.97	51,580	22,856	526,574	938,548
2022-11-15	$105.35	$101.00	12.6%	3.7%	15.8%	48.4%	12.9%	2.1%	-0.4%	336.1M	-1.91B	-4.6M	0.53	78.15	70,491	37,191	525,076	938,818
2022-11-16	$106.44	$101.00	13.2%	3.8%	14.8%	52.8%	12.7%	1.7%	-0.3%	265.7M	-2.43B	-4.4M	0.37	64.85	125,260	46,570	520,295	955,663
2022-11-17	$105.75	$101.00	13.1%	3.8%	14.6%	52.0%	14.4%	1.5%	-0.2%	305.0M	-2.10B	-4.5M	0.85	51.17	58,737	50,202	535,142	969,937
2022-11-18	$105.81	$102.00	13.1%	3.8%	14.6%	51.8%	13.9%	1.6%	-0.4%	47.7M	-2.15B	-4.4M	1.34	54.44	35,991	48,087	531,648	980,261
2022-11-21	$105.72	$102.00	13.1%	3.9%	14.7%	52.2%	14.1%	1.7%	-0.5%	56.1M	-516.9M	-4.3M	1.24	60.13	28,479	35,367	268,538	787,634
2022-11-22	$106.67	$102.00	12.6%	3.8%	14.4%	47.6%	13.3%	1.6%	-0.0%	103.9M	-910.9M	-3.6M	1.06	63.43	22,027	23,417	273,375	792,725
2022-11-23	$107.56	$102.00	12.1%	3.7%	14.5%	44.2%	13.2%	0.8%	-0.2%	127.5M	-1.18B	-3.4M	0.58	72.34	51,242	29,728	276,146	793,530
2022-11-25	$107.60	$102.00	12.3%	3.7%	14.6%	45.8%	13.0%	1.4%	-0.1%	135.1M	-1.16B	-3.4M	0.10	58.78	6,164	601	281,533	808,153
2022-11-28	$107.03	$102.00	12.7%	4.0%	14.8%	48.5%	13.8%	1.5%	0.3%	124.5M	-955.5M	-3.2M	0.43	64.17	21,852	9,371	275,665	796,676
2022-11-29	$106.48	$103.00	12.9%	4.0%	14.8%	50.2%	14.3%	1.7%	-0.2%	108.0M	-709.0M	-3.1M	1.59	54.54	5,006	7,967	266,330	798,952
2022-11-30	$107.53	$103.00	12.4%	3.9%	15.0%	46.8%	13.7%	1.3%	-0.5%	127.0M	-987.4M	-3.0M	0.32	70.14	18,487	5,866	268,992	805,733