LQD Options History — March 2023

In March 2023, LQD traded between $104.84 and $109.55. ATM implied volatility averaged 13.0%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.6% (HV 20d: 9.4%). Max pain ranged from $107.00 to $110.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 3.92.

Notable Days

2023-03-02: Highest Volume — 488,603 contracts
2023-03-10: Largest IV spike — 11.7% change
2023-03-13: Highest IV Rank — 67.0%
2023-03-13: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.30	$104.84	$109.55	$104.84	$109.55
Max Pain	$107.13	$107.00	$110.00	$110.00	$107.00
ATM IV	13.0%	11.2%	15.9%	12.4%	11.2%
Expected Move	3.7%	3.2%	4.4%	3.7%	3.2%
HV 20d	9.4%	8.4%	10.3%	9.5%	8.4%
HV 60d	10.1%	9.7%	10.4%	10.2%	9.8%
IV Rank	35.0%	14.4%	67.0%	32.8%	14.4%
IV Percentile	61.2%	18.3%	91.3%	53.2%	18.3%
Term Structure	-0.0%	-0.6%	0.4%	0.1%	0.3%
VWIV	13.5%	11.2%	15.9%	12.6%	11.2%
Skew 25d	1.7%	0.9%	2.3%	1.6%	1.4%
Skew 10d	3.8%	2.3%	5.2%	3.3%	3.2%
Call IV 25d	12.5%	10.8%	15.6%	11.8%	10.8%
Put IV 25d	14.2%	12.2%	17.0%	13.5%	12.2%
Bid-Ask Spread %	13.25	9.51	25.82	9.51	10.15
Gamma HHI	0.11	0.08	0.15	0.15	0.10
Net GEX	-248.4M	-552.2M	28.5M	-532.5M	3.4M
Net DEX	1.06B	-393.8M	3.13B	3.13B	-393.8M
Net VEX	-8.8M	-11.8M	-5.7M	-9.3M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.92	0.38	23.36	14.73	0.38
Total Volume	64,977.043	4,998	488,603	35,219	23,932
Total OI	1,254,876.348	1,107,573	1,432,324	1,212,840	1,145,616

Daily Data (23 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
2023-03-01	$104.84	$110.00	12.4%	3.7%	9.5%	32.8%	12.6%	1.6%	0.1%	-532.5M	3.13B	-9.3M	14.73	9.51	2,239	32,980	366,986	845,854
2023-03-02	$104.91	$107.00	13.2%	4.0%	8.5%	36.4%	14.3%	1.7%	0.3%	-498.2M	2.56B	-9.4M	23.36	13.33	20,061	468,542	368,914	801,000
2023-03-03	$106.13	$107.00	12.2%	3.7%	9.9%	25.5%	13.7%	1.5%	-0.1%	-421.7M	1.93B	-11.8M	2.69	10.71	5,586	15,002	386,325	1,033,021
2023-03-06	$105.87	$107.00	12.4%	3.5%	9.4%	28.6%	13.4%	1.7%	0.2%	-449.2M	1.99B	-10.5M	3.81	12.46	12,398	47,294	378,530	916,657
2023-03-07	$105.66	$107.00	12.7%	3.5%	9.2%	31.4%	13.0%	1.6%	0.0%	-501.7M	2.25B	-10.7M	3.17	11.40	6,453	20,447	390,465	959,604
2023-03-08	$105.48	$107.00	13.1%	3.7%	9.1%	35.5%	12.7%	2.1%	0.0%	-552.2M	2.47B	-10.7M	3.22	11.98	7,035	22,670	387,297	966,931
2023-03-09	$105.44	$107.00	12.9%	3.7%	9.1%	33.2%	13.1%	1.9%	0.1%	-529.0M	2.51B	-10.5M	0.95	13.56	4,703	4,454	388,861	950,840
2023-03-10	$106.75	$107.00	14.4%	4.0%	10.2%	50.1%	13.7%	1.4%	0.1%	-297.7M	1.27B	-9.7M	1.80	13.96	31,463	56,669	388,662	942,583
2023-03-13	$106.84	$107.00	15.9%	4.4%	9.9%	67.0%	15.9%	1.4%	-0.6%	-363.7M	1.40B	-9.9M	1.36	14.96	62,981	85,500	374,314	944,590
2023-03-14	$106.72	$107.00	14.5%	4.1%	9.9%	51.2%	14.5%	0.9%	-0.3%	-386.1M	1.32B	-9.1M	1.36	11.02	33,054	44,893	416,849	975,898
2023-03-15	$107.59	$107.00	14.0%	3.9%	10.3%	46.1%	13.6%	2.0%	-0.5%	-238.7M	809.4M	-9.2M	1.19	18.27	34,307	40,765	421,576	982,645
2023-03-16	$107.56	$107.00	13.2%	3.6%	10.2%	37.0%	13.9%	1.8%	-0.6%	-171.1M	620.6M	-8.4M	0.91	18.59	16,865	15,318	440,310	992,014
2023-03-17	$108.22	$107.00	13.7%	3.9%	10.0%	42.3%	13.9%	2.3%	0.1%	7.5M	16.6M	-8.0M	7.68	14.39	13,376	102,777	456,617	963,308
2023-03-20	$107.78	$107.00	14.6%	4.2%	10.2%	52.4%	14.9%	2.2%	-0.3%	-150.0M	637.9M	-8.6M	3.12	11.60	10,681	33,288	284,447	823,126
2023-03-21	$108.18	$107.00	13.0%	3.7%	9.0%	34.7%	13.9%	1.9%	-0.2%	-127.1M	521.3M	-8.4M	1.17	11.13	5,492	6,417	291,678	850,653
2023-03-22	$108.75	$107.00	12.4%	3.6%	9.1%	27.8%	14.2%	1.7%	-0.1%	-58.7M	197.2M	-7.9M	0.58	13.76	11,880	6,903	296,850	854,927
2023-03-23	$109.16	$107.00	12.3%	3.5%	8.9%	26.6%	12.7%	1.8%	-0.2%	-15.6M	-13.3M	-7.5M	3.71	11.84	4,541	16,833	307,086	852,450
2023-03-24	$109.45	$107.00	13.2%	3.8%	8.4%	36.8%	14.1%	2.0%	-0.1%	28.5M	-107.3M	-7.7M	1.51	16.18	41,126	62,292	307,793	868,327
2023-03-27	$108.18	$107.00	13.0%	3.8%	9.6%	34.9%	13.7%	2.1%	0.3%	-130.2M	413.2M	-7.8M	0.56	25.82	13,789	7,762	269,391	859,525
2023-03-28	$107.95	$107.00	12.1%	3.4%	9.7%	24.1%	13.1%	1.7%	0.1%	-168.6M	513.6M	-7.5M	3.76	9.65	5,368	20,167	269,397	867,103
2023-03-29	$108.32	$107.00	11.4%	3.3%	8.8%	17.2%	12.5%	1.8%	0.4%	-107.5M	273.6M	-6.9M	8.47	10.59	528	4,470	268,525	867,205
2023-03-30	$108.68	$107.00	11.6%	3.3%	8.8%	18.7%	12.1%	1.4%	0.3%	-53.2M	108.7M	-6.4M	0.71	9.95	6,541	4,630	268,684	868,722
2023-03-31	$109.55	$107.00	11.2%	3.2%	8.4%	14.4%	11.2%	1.4%	0.3%	3.4M	-393.8M	-5.7M	0.38	10.15	17,287	6,645	272,889	872,727