LQD Options History — May 2023

In May 2023, LQD traded between $106.03 and $109.13. ATM implied volatility averaged 10.2%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.1% (HV 20d: 10.1%). Max pain ranged from $109.00 to $109.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.75.

Notable Days

  • 2023-05-02: Highest Volume — 131,478 contracts
  • 2023-05-05: Largest IV drop — 7.7% change
  • 2023-05-04: Highest IV Rank — 25.1%
  • 2023-05-04: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.61$106.03$109.13$107.81$107.65
Max Pain$109.00$109.00$109.00$109.00$109.00
ATM IV10.2%9.3%11.3%10.3%10.0%
Expected Move3.0%2.8%3.2%2.9%3.0%
HV 20d10.1%7.0%10.9%9.0%7.0%
HV 60d9.1%8.5%9.4%9.4%8.5%
IV Rank14.3%5.6%25.1%15.4%12.4%
IV Percentile9.5%2.4%25.4%6.3%8.7%
Term Structure0.1%-0.5%0.7%-0.1%-0.3%
VWIV10.9%9.4%13.7%9.7%10.4%
Skew 25d1.5%1.0%1.8%1.7%1.5%
Skew 10d3.1%2.6%3.5%3.5%2.9%
Call IV 25d9.7%8.6%10.9%9.8%9.4%
Put IV 25d11.2%10.1%12.4%11.5%10.9%
Bid-Ask Spread %10.936.0815.468.076.08
Gamma HHI0.130.100.210.110.12
Net GEX-282.8M-553.5M-153.7M-289.8M-195.9M
Net DEX1.02B475.9M1.60B1.13B646.5M
Net VEX-5.6M-6.6M-4.7M-6.6M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.168.611.335.51
Total Volume27,943.4091,766131,47811,28025,750
Total OI771,386.455680,579841,757756,830733,239

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$107.81$109.0010.3%2.9%9.0%15.4%9.7%1.7%-0.1%-289.8M1.13B-6.6M1.338.074,8426,438173,229583,601
2023-05-02$109.07$109.0010.4%2.9%10.0%16.4%10.9%1.3%-0.2%-191.4M595.9M-6.4M2.907.8833,70297,776173,593594,399
2023-05-03$109.13$109.0010.8%3.1%10.0%20.8%11.2%1.8%-0.5%-153.7M481.7M-6.1M3.947.035,62122,163184,785585,364
2023-05-04$108.91$109.0011.3%3.2%9.9%25.1%12.1%1.5%-0.3%-173.8M609.0M-6.4M2.5810.7414,75338,105189,866590,646
2023-05-05$108.59$109.0010.4%3.0%9.9%16.6%10.7%1.5%-0.2%-202.6M728.2M-6.6M0.1910.8816,4273,156198,231591,362
2023-05-08$107.68$109.0010.3%3.0%10.2%15.7%11.1%1.6%0.3%-307.6M1.12B-6.3M2.7310.5818,47250,501197,051584,374
2023-05-09$107.77$109.009.9%3.0%10.2%11.6%10.5%1.5%0.5%-306.0M1.04B-6.3M0.3610.421,300466204,788599,138
2023-05-10$108.48$109.009.3%2.9%10.5%5.6%10.5%1.5%0.7%-221.8M640.9M-5.6M8.6110.493,92633,790192,206599,492
2023-05-11$109.03$109.009.4%2.8%10.7%6.9%10.0%1.5%0.5%-158.2M475.9M-5.6M2.1813.4712,25426,755195,297616,950
2023-05-12$108.35$109.009.5%2.8%10.9%7.4%10.6%1.4%0.7%-238.4M831.6M-5.9M0.9412.463,3383,125205,556624,626
2023-05-15$107.69$109.0010.1%2.9%10.9%13.7%10.3%1.6%0.2%-387.8M1.15B-5.8M3.0013.612,7538,264202,974624,407
2023-05-16$107.19$109.0010.0%2.9%10.9%12.4%10.0%1.4%-0.0%-455.5M1.34B-5.6M8.5914.874,04934,773204,951616,819
2023-05-17$107.16$109.0010.2%2.9%10.8%14.1%9.7%1.3%-0.1%-454.0M1.31B-5.5M0.9815.466,4246,298207,739609,420
2023-05-18$106.77$109.009.8%2.8%10.8%10.5%9.4%1.5%-0.1%-553.5M1.56B-5.4M0.1614.9626,5534,366213,312606,936
2023-05-19$106.59$109.009.9%2.8%10.8%11.7%10.4%1.5%0.0%-342.4M1.60B-5.3M0.739.846,1474,465237,195604,562
2023-05-22$106.55$109.0010.2%3.0%10.5%14.9%9.8%1.6%-0.1%-277.7M1.21B-5.0M1.6012.011,8753,007174,237506,342
2023-05-23$106.81$109.0010.1%2.9%10.4%13.3%12.6%1.0%0.3%-271.3M1.15B-5.0M0.7010.144,1092,873177,044508,682
2023-05-24$106.50$109.0010.3%3.0%10.3%15.5%13.7%1.6%0.3%-266.7M1.19B-4.7M3.6612.471,0663,898183,643508,803
2023-05-25$106.03$109.0010.7%3.1%10.3%19.4%13.5%1.6%0.0%-326.2M1.46B-5.0M2.238.6110,73223,915186,188519,016
2023-05-26$106.47$109.0010.7%3.2%10.0%19.8%11.1%1.6%-0.1%-229.9M1.24B-5.2M3.6510.465,30719,354197,894541,833
2023-05-30$107.13$109.0010.4%3.1%8.1%16.0%11.6%1.5%-0.4%-217.4M846.3M-4.9M3.969.882,3929,475196,268524,444
2023-05-31$107.65$109.0010.0%3.0%7.0%12.4%10.4%1.5%-0.3%-195.9M646.5M-4.7M5.516.083,95521,795197,533535,706