LQD Options History — January 2023

In January 2023, LQD traded between $106.06 and $111.43. ATM implied volatility averaged 11.6%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.5% (HV 20d: 11.1%). Max pain ranged from $106.50 to $109.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.35.

Notable Days

  • 2023-01-10: Highest Volume — 158,516 contracts
  • 2023-01-19: Largest IV spike — 14.0% change
  • 2023-01-03: Highest IV Rank — 56.9%
  • 2023-01-03: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.68$106.06$111.43$106.06$110.63
Max Pain$108.28$106.50$109.00$107.00$109.00
ATM IV11.6%10.7%13.7%13.7%10.7%
Expected Move3.4%3.1%3.8%3.8%3.2%
HV 20d11.1%9.7%12.5%10.2%9.7%
HV 60d12.4%12.1%12.7%12.6%12.1%
IV Rank36.4%24.0%56.9%56.9%24.0%
IV Percentile35.1%13.5%81.0%81.0%13.5%
Term Structure-0.1%-0.5%0.4%-0.5%-0.3%
VWIV12.2%11.1%14.9%13.6%11.4%
Skew 25d1.2%0.5%1.9%1.8%1.0%
Skew 10d2.3%1.1%3.5%3.1%2.0%
Call IV 25d11.2%10.4%13.0%13.0%10.4%
Put IV 25d12.4%11.2%14.8%14.8%11.4%
Bid-Ask Spread %11.117.8813.927.8811.09
Gamma HHI0.110.080.140.090.14
Net GEX-99.6M-277.9M27.0M-120.3M-172.8M
Net DEX43.7M-410.1M561.9M395.3M220.8M
Net VEX-4.4M-5.4M-2.8M-4.2M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.350.2812.991.240.46
Total Volume46,861.351,910158,5167,96436,378
Total OI745,469.5544,751947,604552,157837,004

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$106.06$107.0013.7%3.8%10.2%56.9%13.6%1.8%-0.5%-120.3M395.3M-4.2M1.247.883,5574,407176,722375,435
2023-01-04$106.84$106.5013.1%3.6%10.4%52.2%12.5%1.9%-0.3%-88.6M179.2M-3.9M0.4411.4513,7556,080178,861376,571
2023-01-05$106.88$107.0012.7%3.6%10.3%48.4%12.5%1.9%-0.1%-83.0M154.2M-3.8M0.2811.216,2551,734184,140382,880
2023-01-06$108.66$107.0011.6%3.3%11.4%39.9%11.9%1.7%-0.2%14.2M-410.1M-3.2M1.0210.2014,26914,488186,685382,889
2023-01-09$108.93$107.0011.7%3.4%11.5%40.6%12.6%1.7%0.1%27.0M-380.3M-2.8M3.4110.422,0146,865174,430370,321
2023-01-10$108.63$107.0012.0%3.4%11.2%43.3%13.1%1.6%-0.0%-7.2M-257.7M-2.9M6.6710.0720,679137,837174,197377,154
2023-01-11$109.47$108.0011.9%3.5%11.6%42.3%12.9%1.3%0.4%-62.4M-175.4M-4.5M12.9913.9210,519136,642193,738588,346
2023-01-12$110.66$108.0011.2%3.2%11.9%36.4%12.3%1.4%-0.0%-18.2M-399.2M-4.6M10.8412.2311,262122,044196,054639,626
2023-01-13$110.34$109.0011.3%3.3%12.0%37.0%11.7%1.2%0.2%-87.0M-146.7M-5.4M0.6112.586,6984,081201,141740,205
2023-01-17$110.09$109.0011.5%3.3%11.9%37.1%12.0%1.0%-0.4%-117.5M216.8M-5.3M9.4211.124,54942,845185,765721,732
2023-01-18$111.43$109.0010.8%3.1%12.5%26.8%11.1%0.5%-0.1%25.7M-344.5M-4.7M0.4311.0022,1589,455189,054742,277
2023-01-19$111.16$109.0012.3%3.5%11.8%40.6%14.9%1.3%-0.4%449.1K-221.4M-5.0M3.1712.3817,28754,800197,993749,611
2023-01-20$110.50$109.0011.1%3.2%11.2%29.8%11.4%0.5%-0.4%-133.5M-20.9M-4.5M1.2012.5011,27013,515204,227724,056
2023-01-23$110.23$109.0011.3%3.3%11.2%31.5%12.2%0.8%0.3%-198.2M497.5M-4.9M0.959.79977933130,288544,307
2023-01-24$110.80$109.0010.9%3.2%11.3%28.2%11.4%0.8%0.1%-134.3M157.0M-4.1M2.379.735,40212,782130,597544,472
2023-01-25$110.77$109.0010.9%3.2%11.2%27.8%11.2%0.6%0.1%-145.7M126.4M-4.0M6.6912.3816,510110,490135,672547,721
2023-01-26$110.84$109.0011.0%3.3%10.0%28.4%12.3%0.7%0.1%-201.1M326.9M-5.1M2.9210.942,6027,587148,972657,217
2023-01-27$110.59$109.0010.9%3.3%9.9%27.8%11.6%0.8%0.1%-211.4M394.2M-4.9M0.5710.187,9334,517149,434660,708
2023-01-30$110.13$109.0011.1%3.3%10.1%29.3%11.7%1.2%-0.3%-277.9M561.9M-4.9M1.2611.1114,17117,880151,488657,400
2023-01-31$110.63$109.0010.7%3.2%9.7%24.0%11.4%1.0%-0.3%-172.8M220.8M-4.5M0.4611.0924,99711,381164,170672,834