LQD Options History — February 2023

In February 2023, LQD traded between $105.63 and $111.75. ATM implied volatility averaged 11.2%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.0% (HV 20d: 9.3%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 3.44.

Notable Days

  • 2023-02-16: Highest Volume — 682,941 contracts
  • 2023-02-21: Largest IV spike — 10.3% change
  • 2023-02-27: Highest IV Rank — 35.2%
  • 2023-02-27: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.99$105.63$111.75$111.69$105.91
Max Pain$109.42$109.00$110.00$110.00$109.00
ATM IV11.2%10.3%12.4%10.4%11.7%
Expected Move3.2%2.9%3.7%3.1%3.4%
HV 20d9.3%7.8%10.9%10.0%9.4%
HV 60d11.0%10.2%12.6%12.2%10.3%
IV Rank25.8%19.3%35.2%21.9%26.8%
IV Percentile26.1%9.9%54.0%11.1%36.9%
Term Structure-0.0%-0.4%0.3%-0.2%-0.1%
VWIV11.9%10.9%13.2%11.4%12.0%
Skew 25d1.2%1.0%1.5%1.1%1.5%
Skew 10d2.6%1.7%3.5%1.7%3.5%
Call IV 25d10.8%9.9%11.9%9.9%11.2%
Put IV 25d12.1%11.0%13.3%11.0%12.6%
Bid-Ask Spread %11.568.8317.8410.8811.24
Gamma HHI0.170.110.420.130.17
Net GEX-594.0M-1.39B-16.9M-16.9M-505.6M
Net DEX1.75B-303.2M3.38B-303.2M2.37B
Net VEX-6.7M-9.6M-3.7M-3.7M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.440.427.900.970.74
Total Volume124,498.94715,355682,94115,35588,201
Total OI1,051,040.421818,8191,328,974833,5341,143,954

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$111.69$110.0010.4%3.1%10.0%21.9%11.4%1.1%-0.2%-16.9M-303.2M-3.7M0.9710.887,8147,541151,909681,625
2023-02-02$111.75$109.0010.5%2.9%9.8%22.3%13.2%1.1%-0.4%-31.2M-236.6M-4.2M2.0510.3415,30731,388155,545682,412
2023-02-03$110.52$109.0010.3%2.9%10.9%21.1%10.9%1.1%-0.2%-165.7M246.9M-4.5M2.9114.286,16917,950163,058680,764
2023-02-06$109.69$110.0011.1%3.1%9.9%27.3%11.2%1.2%-0.0%-303.5M697.9M-5.0M2.8011.8710,77530,150149,479669,340
2023-02-07$109.38$110.0010.9%3.2%9.9%26.1%11.3%1.0%0.3%-362.0M865.4M-5.3M7.9012.0132,333255,311157,294686,808
2023-02-08$109.37$110.0010.7%3.2%9.8%23.9%11.8%1.1%0.3%-491.1M1.02B-6.0M5.5912.448,38046,817178,045863,155
2023-02-09$108.59$110.0011.1%3.2%9.8%27.8%12.0%1.2%0.0%-662.0M1.57B-6.2M2.1810.8715,14733,087182,030882,034
2023-02-10$107.82$109.0011.4%3.3%9.1%29.2%12.0%1.1%0.0%-839.6M2.31B-6.8M2.7311.5912,35833,781188,481909,471
2023-02-13$108.07$109.0012.0%3.4%9.2%30.9%12.7%1.3%0.1%-819.7M2.05B-6.0M2.0910.9976,982161,262177,396921,078
2023-02-14$107.94$109.0010.9%3.1%9.2%19.8%11.3%1.2%0.1%-874.6M1.94B-6.3M3.7510.5424,60992,250248,555952,973
2023-02-15$107.50$110.0010.8%3.1%7.8%19.3%11.4%1.3%0.2%-972.7M2.55B-5.9M2.5210.6417,70844,628265,509944,058
2023-02-16$106.68$110.0011.0%3.1%8.1%20.5%11.8%1.1%0.3%-1.09B3.38B-5.5M5.5110.79104,913578,028280,584933,327
2023-02-17$106.95$109.0010.9%3.1%8.1%19.5%11.1%1.0%0.3%-1.39B2.54B-8.7M6.879.8714,976102,816367,860961,114
2023-02-21$105.63$109.0012.0%3.4%8.9%30.8%12.2%1.4%-0.2%-596.4M2.81B-9.0M5.2817.8417,41391,871248,346787,254
2023-02-22$105.81$109.0011.9%3.4%8.6%30.4%11.7%1.4%-0.3%-560.1M2.54B-9.0M2.9411.667,40121,750263,448779,859
2023-02-23$106.63$109.0011.7%3.3%9.3%27.6%12.2%1.4%-0.2%-514.9M1.96B-8.7M2.8711.339,79528,079268,635797,836
2023-02-24$105.97$109.0011.8%3.4%9.4%29.5%12.6%1.4%-0.2%-606.1M2.47B-8.8M5.258.8345,989241,340275,295806,228
2023-02-27$105.90$110.0012.4%3.7%9.4%35.2%12.8%1.4%-0.1%-489.0M2.51B-9.6M0.4211.5721,9519,210307,241857,768
2023-02-28$105.91$109.0011.7%3.4%9.4%26.8%12.0%1.5%-0.1%-505.6M2.37B-8.8M0.7411.2450,79537,406322,597821,357