LQD Options History — August 2023

In August 2023, LQD traded between $103.50 and $106.41. ATM implied volatility averaged 9.8%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 0.5% (HV 20d: 10.3%). Max pain ranged from $106.00 to $107.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 3.42.

Notable Days

  • 2023-08-03: Highest Volume — 87,549 contracts
  • 2023-08-02: Largest IV spike — 10.4% change
  • 2023-08-07: Highest IV Rank — 27.8%
  • 2023-08-07: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.16$103.50$106.41$106.41$106.32
Max Pain$106.57$106.00$107.00$107.00$106.00
ATM IV9.8%8.9%10.5%9.2%8.9%
Expected Move2.7%2.3%3.0%2.5%2.3%
HV 20d10.3%9.1%11.4%10.4%9.1%
HV 60d8.9%8.4%9.4%8.4%9.4%
IV Rank21.0%13.6%27.8%15.9%13.6%
IV Percentile23.4%13.9%32.9%16.3%13.9%
Term Structure0.0%-0.5%0.4%-0.3%0.2%
VWIV9.6%8.2%10.5%9.2%8.2%
Skew 25d1.2%1.0%1.5%1.3%1.0%
Skew 10d2.6%2.2%3.1%2.2%2.3%
Call IV 25d9.3%8.5%10.1%8.7%8.5%
Put IV 25d10.5%9.5%11.5%9.9%9.5%
Bid-Ask Spread %6.722.6114.104.295.75
Gamma HHI0.160.130.240.160.16
Net GEX-155.9M-355.0M27.5M-137.8M27.5M
Net DEX746.3M-68.7M1.58B553.7M-68.7M
Net VEX-3.6M-4.5M-2.9M-3.8M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.420.049.878.679.87
Total Volume29,940.4354,11887,54938,5224,588
Total OI496,053.348334,856621,302516,349350,494

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$106.41$107.009.2%2.5%10.4%15.9%9.2%1.3%-0.3%-137.8M553.7M-3.8M8.674.293,98334,539134,918381,431
2023-08-02$105.73$107.0010.1%2.8%10.3%24.2%9.5%1.5%-0.4%-211.8M839.7M-4.0M6.2514.1011,09369,302127,755396,836
2023-08-03$104.78$107.0010.5%2.9%10.3%27.2%10.5%1.4%-0.5%-222.8M1.12B-3.9M2.385.4425,90861,641134,336394,433
2023-08-04$106.02$107.0010.4%2.9%11.1%26.9%10.4%1.3%-0.5%-155.1M618.7M-4.5M2.906.0521,43462,129156,173427,379
2023-08-07$105.63$107.0010.5%3.0%11.1%27.8%10.4%1.4%0.0%-178.0M684.8M-4.3M0.5911.004,4512,629164,926436,673
2023-08-08$106.06$107.0010.0%2.9%11.1%23.3%10.0%1.3%0.1%-140.4M484.1M-4.1M1.265.0314,41018,212165,075433,933
2023-08-09$106.19$107.0010.0%2.8%10.4%23.2%9.9%1.3%-0.1%-149.4M476.5M-4.2M1.235.013,7224,583161,325449,618
2023-08-10$105.43$107.009.8%2.8%10.3%21.2%9.6%1.2%0.1%-241.3M863.2M-4.1M7.566.541,76013,299161,562448,744
2023-08-11$105.05$107.009.8%2.8%10.1%21.2%9.9%1.1%-0.1%-298.6M1.11B-4.1M4.0312.942,56410,332159,400454,350
2023-08-14$105.02$107.009.6%2.8%10.1%20.1%9.7%1.2%0.1%-347.0M1.15B-3.6M3.399.284,18914,219158,417455,038
2023-08-15$104.53$107.009.4%2.7%10.1%18.1%9.3%1.2%0.4%-355.0M1.42B-3.4M2.195.288,76419,199161,525455,264
2023-08-16$104.03$107.009.6%2.7%9.8%19.4%9.3%1.1%0.2%-296.9M1.57B-3.2M5.955.784,16024,752169,932446,938
2023-08-17$103.63$107.009.6%2.7%9.7%19.4%9.8%1.3%0.3%-214.3M1.58B-3.0M1.532.6130,13946,226172,352431,389
2023-08-18$104.10$106.009.5%2.7%9.9%18.9%9.4%1.2%0.1%-173.3M1.37B-3.4M2.9010.031,9045,528181,787439,515
2023-08-21$103.50$106.009.9%2.8%10.0%22.4%9.6%1.3%0.0%-162.0M994.8M-3.1M0.946.3032,59230,626109,675225,181
2023-08-22$103.75$106.009.9%2.8%10.1%22.5%9.4%1.1%-0.1%-153.3M925.7M-3.5M5.725.953,09917,740132,771233,942
2023-08-23$105.22$106.009.8%2.7%11.4%21.6%9.8%1.2%0.0%-49.9M315.5M-3.3M0.624.2514,7769,123137,260202,355
2023-08-24$104.91$106.0010.0%2.8%10.8%23.2%10.4%1.1%-0.0%-43.9M382.1M-3.4M6.584.963,54323,319148,854199,604
2023-08-25$104.95$106.009.6%2.6%10.5%19.8%9.2%1.1%0.1%-26.7M382.6M-3.4M0.096.443,789329151,273203,979
2023-08-28$105.31$106.009.6%2.6%10.5%19.9%10.2%1.2%0.1%-42.8M308.8M-3.3M3.785.331,2154,597148,087200,328
2023-08-29$106.09$106.009.6%2.6%10.0%19.4%9.0%1.0%0.1%-8.6M46.2M-3.2M0.265.716,0201,552149,223202,913
2023-08-30$105.97$106.008.9%2.4%9.7%14.0%8.5%1.0%0.2%-4.6M46.8M-3.0M0.046.466,418233150,982201,282
2023-08-31$106.32$106.008.9%2.3%9.1%13.6%8.2%1.0%0.2%27.5M-68.7M-2.9M9.875.754224,166149,074201,420