LQD Options History — December 2022

In December 2022, LQD traded between $105.40 and $109.88. ATM implied volatility averaged 12.4%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.6% (HV 20d: 11.9%). Max pain ranged from $105.00 to $107.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.38.

Notable Days

  • 2022-12-14: Highest Volume — 142,015 contracts
  • 2022-12-27: Largest IV spike — 10.9% change
  • 2022-12-27: Highest IV Rank — 55.6%
  • 2022-12-01: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.07$105.40$109.88$108.73$105.40
Max Pain$106.52$105.00$107.00$105.00$107.00
ATM IV12.4%11.3%13.5%11.9%13.0%
Expected Move3.6%3.2%3.9%3.9%3.6%
HV 20d11.9%9.5%15.2%15.0%10.0%
HV 60d13.5%12.5%14.1%13.8%12.5%
IV Rank46.6%37.0%55.6%42.3%51.3%
IV Percentile58.3%34.1%79.8%50.4%68.3%
Term Structure0.2%-0.3%0.9%-0.0%0.6%
VWIV13.0%11.7%14.6%14.1%13.2%
Skew 25d1.2%0.9%1.9%1.2%1.9%
Skew 10d2.2%1.4%2.9%2.7%2.8%
Call IV 25d12.1%11.0%13.3%11.7%12.1%
Put IV 25d13.3%12.1%14.5%13.0%14.0%
Bid-Ask Spread %41.318.3577.5262.338.69
Gamma HHI0.110.080.250.120.25
Net GEX6.3M-319.6M134.2M134.2M-319.6M
Net DEX-387.3M-1.17B624.1M-1.11B624.1M
Net VEX-3.5M-4.5M-2.8M-2.9M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.380.0619.082.507.79
Total Volume40,671.2385,098142,01538,22139,723
Total OI850,053.286364,4491,238,4141,056,656574,718

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$108.73$105.0011.9%3.9%15.0%42.3%14.1%1.2%-0.0%134.2M-1.11B-2.9M2.5062.3310,92227,299248,610808,046
2022-12-02$109.16$105.0011.7%3.8%14.8%40.6%13.7%1.2%-0.2%124.1M-1.16B-2.9M1.1867.9510,16112,014253,887829,304
2022-12-05$108.41$105.0012.1%3.5%15.2%43.6%12.8%1.2%0.3%121.0M-779.8M-3.0M0.6677.049,9266,575258,310821,133
2022-12-06$108.75$105.0012.4%3.5%15.1%46.3%12.4%0.9%0.1%108.9M-856.3M-2.8M0.9271.5415,23714,074251,613822,305
2022-12-07$109.88$105.0013.3%3.7%15.2%53.7%14.6%1.0%-0.1%111.6M-1.17B-2.8M2.3168.7430,66870,804257,470833,659
2022-12-08$109.75$107.0013.4%3.7%15.0%54.5%13.5%0.9%0.0%87.3M-960.3M-3.6M0.9271.572,6602,438260,453890,899
2022-12-09$109.00$107.0012.8%3.6%10.5%50.1%12.8%0.9%0.1%86.9M-791.9M-3.3M0.3974.847,4142,858262,351892,160
2022-12-12$108.78$107.0013.3%3.7%10.6%53.8%12.9%1.0%-0.3%87.4M-727.9M-3.1M0.0775.2836,6502,432260,388893,089
2022-12-13$109.53$107.0012.4%3.5%10.6%46.1%12.3%0.9%-0.2%107.1M-1.02B-3.3M1.3271.0329,91339,520289,051894,709
2022-12-14$109.82$107.0011.7%3.4%10.1%40.6%12.4%0.9%-0.0%70.3M-836.6M-3.3M0.0677.52134,2677,748306,622931,792
2022-12-15$109.50$107.0011.6%3.4%9.8%39.4%12.2%1.1%0.2%47.0M-354.5M-3.4M2.4361.7111,91628,958272,316933,458
2022-12-16$109.07$107.0011.3%3.2%9.5%37.0%11.7%1.2%-0.1%-78.4M-288.6M-3.3M1.879.525,96511,183279,066926,678
2022-12-19$107.91$107.0011.3%3.2%10.5%37.4%11.9%1.1%0.2%13.5M-139.1M-3.2M0.778.4218,75314,366156,149208,300
2022-12-20$106.73$107.0012.6%3.6%11.3%47.7%12.8%1.1%-0.1%-21.3M56.2M-3.6M5.768.5610,77262,041174,270217,016
2022-12-21$107.34$107.0012.2%3.5%11.0%44.4%12.6%1.3%0.2%-10.9M-62.8M-3.7M2.638.353,5769,389182,996247,132
2022-12-22$107.41$107.0012.1%3.5%10.6%43.9%13.2%1.3%0.1%-11.5M-56.3M-3.8M19.088.451,27424,313186,037256,123
2022-12-23$107.00$107.0012.2%3.5%10.7%44.6%12.1%1.3%0.3%-64.8M106.5M-4.0M1.709.342,6314,462186,583279,600
2022-12-27$105.75$107.0013.5%3.9%11.3%55.6%13.7%1.9%0.9%-124.4M402.1M-3.9M5.688.461,85410,527185,141280,186
2022-12-28$105.47$107.0013.3%3.8%11.2%54.0%13.5%1.6%0.5%-159.4M533.3M-3.8M12.268.357,78395,443185,778285,529
2022-12-29$106.03$107.0013.1%3.7%10.8%52.5%13.8%1.7%0.7%-176.2M456.2M-4.5M0.649.929,4906,097192,043376,149
2022-12-30$105.40$107.0013.0%3.6%10.0%51.3%13.2%1.9%0.6%-319.6M624.1M-4.3M7.798.694,51935,204196,702378,016