LQD Options History — June 2023

In June 2023, LQD traded between $106.30 and $108.15. ATM implied volatility averaged 8.3%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.5% (HV 20d: 6.9%). Max pain ranged from $107.00 to $109.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.87.

Notable Days

  • 2023-06-15: Highest Volume — 47,167 contracts
  • 2023-06-21: Largest IV drop — 6.1% change
  • 2023-06-01: Highest IV Rank — 11.5%
  • 2023-06-01: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.41$106.30$108.15$107.59$108.15
Max Pain$107.19$107.00$109.00$109.00$107.00
ATM IV8.3%7.3%9.9%9.9%7.3%
Expected Move2.4%2.1%3.0%3.0%2.1%
HV 20d6.9%6.2%7.6%7.0%7.6%
HV 60d8.3%7.9%8.6%8.5%8.2%
IV Rank2.0%0.0%11.5%11.5%0.0%
IV Percentile1.0%0.0%6.3%6.3%0.0%
Term Structure0.1%-0.2%0.3%0.0%0.3%
VWIV8.5%7.2%11.0%10.6%7.8%
Skew 25d1.2%0.7%1.5%1.4%1.1%
Skew 10d2.2%1.4%2.8%2.6%1.9%
Call IV 25d7.8%6.8%9.2%9.2%6.8%
Put IV 25d9.0%7.9%10.6%10.6%7.9%
Bid-Ask Spread %8.664.1813.917.648.93
Gamma HHI0.200.120.290.120.24
Net GEX-202.7M-355.7M-87.2M-167.7M-118.0M
Net DEX465.6M63.7M985.2M555.5M63.7M
Net VEX-3.8M-4.8M-3.2M-4.7M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.870.0411.801.226.50
Total Volume15,037.811,65547,1678,4419,794
Total OI650,219.952470,980820,667733,074523,816

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$107.59$109.009.9%3.0%7.0%11.5%10.6%1.4%0.0%-167.7M555.5M-4.7M1.227.643,7944,647198,275534,799
2023-06-02$107.34$109.009.4%2.8%7.0%6.5%11.0%1.5%0.2%-196.7M703.0M-4.8M0.8810.8714,69612,908200,264538,598
2023-06-05$107.18$107.009.1%2.7%7.0%4.0%9.0%1.4%-0.1%-245.1M640.6M-4.3M1.1211.3410,80412,086211,882541,261
2023-06-06$107.25$107.008.8%2.5%6.4%0.3%9.1%1.4%-0.0%-233.2M528.2M-4.1M1.559.2010,79916,788214,117533,953
2023-06-07$106.30$107.009.1%2.6%7.0%3.7%9.2%1.4%-0.1%-319.5M985.2M-4.4M1.119.78786869222,485545,849
2023-06-08$107.00$107.008.6%2.4%7.0%0.0%8.5%1.3%-0.1%-285.3M610.3M-4.1M0.5612.621,385769223,542556,747
2023-06-09$106.81$107.008.5%2.5%6.7%0.0%8.6%1.3%0.1%-301.1M720.9M-4.1M1.819.461,7973,254224,739551,262
2023-06-12$107.03$107.008.8%2.5%6.5%2.3%8.4%1.3%-0.1%-290.4M589.8M-3.8M0.9211.192,4742,277216,056548,764
2023-06-13$106.60$107.008.8%2.5%6.3%3.0%9.1%1.2%-0.2%-337.3M781.3M-3.7M7.104.185,03735,757217,178550,424
2023-06-14$106.91$107.008.5%2.4%6.2%0.0%8.4%1.2%0.0%-355.7M665.9M-3.7M0.048.564,178167217,736559,528
2023-06-15$107.81$107.008.1%2.3%6.9%0.0%8.3%1.0%0.0%-224.4M170.8M-3.4M10.444.514,12343,044219,736556,106
2023-06-16$107.69$107.008.0%2.3%6.8%0.0%9.3%1.1%-0.0%-87.2M353.2M-3.8M4.998.573,24716,214222,463598,204
2023-06-20$108.09$107.008.1%2.3%6.8%0.6%8.1%0.9%0.2%-105.0M232.3M-3.6M0.446.721,84780694,850376,130
2023-06-21$108.00$107.007.6%2.2%6.8%0.0%7.8%1.0%0.2%-102.3M240.9M-3.4M0.9910.202,5952,57896,201376,789
2023-06-22$107.38$107.008.0%2.3%7.2%3.4%8.2%1.1%-0.1%-142.0M429.0M-3.7M11.805.8187910,37398,619377,074
2023-06-23$107.73$107.007.7%2.2%7.1%1.2%7.6%0.7%0.1%-131.6M318.0M-3.5M0.956.5810,5049,97398,757385,728
2023-06-26$107.82$107.007.7%2.2%6.9%1.1%7.7%0.8%0.3%-134.8M269.9M-3.5M4.165.981,9998,321104,341392,258
2023-06-27$107.60$107.007.8%2.2%6.8%2.0%7.5%1.1%0.1%-162.2M321.8M-3.4M0.248.176,0731,453105,129396,493
2023-06-28$108.10$107.007.7%2.2%6.7%0.6%7.5%1.0%0.2%-113.2M145.9M-3.3M3.2513.916,43320,918110,968396,502
2023-06-29$107.28$107.007.7%2.1%7.1%0.8%7.2%1.0%0.3%-203.9M450.6M-3.5M0.167.528,0461,302116,517400,479
2023-06-30$108.15$107.007.3%2.1%7.6%0.0%7.8%1.1%0.3%-118.0M63.7M-3.2M6.508.931,3058,489122,587401,229