LQD Options History — July 2023

In July 2023, LQD traded between $105.55 and $108.43. ATM implied volatility averaged 8.4%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 0.7% (HV 20d: 9.1%). Max pain ranged from $107.00 to $110.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2023-07-06: Highest Volume — 92,045 contracts
  • 2023-07-05: Largest IV spike — 8.6% change
  • 2023-07-06: Highest IV Rank — 17.9%
  • 2023-07-11: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.34$105.55$108.43$107.53$107.80
Max Pain$107.50$107.00$110.00$107.00$107.00
ATM IV8.4%7.6%9.4%8.1%8.4%
Expected Move2.4%2.2%2.7%2.2%2.3%
HV 20d9.1%7.9%10.1%7.9%9.6%
HV 60d8.7%8.0%9.0%8.2%8.0%
IV Rank9.2%2.3%17.9%6.3%9.5%
IV Percentile6.5%0.8%11.5%4.0%9.1%
Term Structure0.2%-0.4%0.7%-0.1%-0.4%
VWIV8.3%7.5%9.1%7.7%7.8%
Skew 25d1.1%0.9%1.5%1.5%1.3%
Skew 10d2.2%1.4%2.8%2.3%2.3%
Call IV 25d7.9%7.2%8.7%7.5%8.1%
Put IV 25d9.0%8.1%10.1%8.9%9.4%
Bid-Ask Spread %7.832.3619.1219.124.74
Gamma HHI0.180.130.490.210.18
Net GEX-42.6M-236.4M307.4M-120.0M-63.0M
Net DEX153.1M-465.3M1.03B190.2M119.7M
Net VEX-3.5M-4.0M-3.0M-3.3M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.036.101.640.45
Total Volume25,300.51,77692,0451,77618,507
Total OI550,293.25416,217626,396523,039499,033

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$107.53$107.008.1%2.2%7.9%6.3%7.7%1.5%-0.1%-120.0M190.2M-3.3M1.6419.126731,103121,946401,093
2023-07-05$106.65$107.008.8%2.4%8.4%12.4%8.0%1.3%-0.2%-236.4M582.2M-3.4M1.335.333,6724,879122,256400,633
2023-07-06$105.68$110.009.4%2.6%9.0%17.9%8.8%1.5%-0.3%-224.0M1.03B-3.4M0.266.4272,78819,257122,715411,476
2023-07-07$105.55$110.009.1%2.5%8.4%15.6%8.8%1.4%-0.0%-167.4M806.2M-4.0M1.938.762,1664,190175,222398,449
2023-07-10$106.09$109.009.1%2.6%8.3%15.0%9.1%1.1%0.0%-146.2M586.5M-3.8M0.964.885,2575,052171,522396,968
2023-07-11$106.50$109.009.2%2.7%8.4%16.0%9.0%1.3%0.3%-91.2M382.1M-3.7M0.794.9618,88014,829176,288394,512
2023-07-12$107.59$107.008.8%2.5%9.2%12.3%8.8%1.1%-0.1%25.5M-124.1M-3.8M0.965.2323,27722,330187,449408,638
2023-07-13$108.23$107.008.1%2.3%9.2%6.1%8.0%1.1%0.1%92.4M-369.9M-3.7M0.655.1912,9768,394192,944424,417
2023-07-14$107.47$107.008.2%2.4%9.6%7.4%8.6%1.0%0.3%712.3K-36.2M-4.0M0.366.682,9241,056195,832429,584
2023-07-17$107.60$107.008.2%2.3%9.1%7.1%8.2%1.1%0.3%14.7M-100.4M-3.6M0.262.592,952777195,890430,275
2023-07-18$107.94$107.008.0%2.3%9.2%6.0%8.8%0.9%0.2%80.1M-281.2M-3.5M0.422.368,7423,693196,375430,021
2023-07-19$108.43$107.007.9%2.3%9.2%5.2%8.2%1.1%0.2%133.2M-465.3M-3.1M0.038.7426,453722190,772430,478
2023-07-20$107.77$107.007.6%2.2%9.5%2.3%7.5%1.3%0.3%8.0M-78.9M-3.3M0.443.3017,6487,704189,775430,711
2023-07-21$108.00$107.007.8%2.2%9.3%3.8%7.8%0.9%0.3%307.4M-275.5M-3.0M1.456.984,7776,919191,043430,000
2023-07-24$107.82$107.008.1%2.3%9.2%6.7%7.8%0.9%0.4%-39.3M103.1M-3.0M0.387.952,07579597,847318,370
2023-07-25$107.63$107.008.4%2.4%9.2%9.2%8.4%1.1%0.3%-57.2M178.1M-3.2M1.9712.8412,76925,17998,311320,031
2023-07-26$108.16$107.008.2%2.3%9.4%7.2%8.4%1.0%0.4%-28.2M30.5M-3.3M6.1018.208,42551,370108,666337,779
2023-07-27$106.91$107.008.5%2.4%10.1%10.1%8.5%1.1%0.7%-132.7M467.5M-3.6M4.1312.089,53639,395117,410366,582
2023-07-28$107.50$107.008.2%2.3%10.0%7.3%7.6%0.9%0.4%-208.9M314.6M-3.7M0.2910.3126,1587,711113,443381,109
2023-07-31$107.80$107.008.4%2.3%9.6%9.5%7.8%1.3%-0.4%-63.0M119.7M-3.5M0.454.7412,8015,706122,436376,597