LQD Options History — September 2023

In September 2023, LQD traded between $101.98 and $105.06. ATM implied volatility averaged 9.2%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.5% (HV 20d: 8.6%). Max pain ranged from $104.00 to $107.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 6.44.

Notable Days

  • 2023-09-13: Highest Volume — 98,014 contracts
  • 2023-09-15: Largest IV drop — 13.7% change
  • 2023-09-29: Highest IV Rank — 30.9%
  • 2023-09-27: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.88$101.98$105.06$105.06$102.00
Max Pain$106.05$104.00$107.00$106.00$104.00
ATM IV9.2%7.3%10.9%8.9%10.9%
Expected Move2.6%2.1%3.1%2.3%3.1%
HV 20d8.6%7.7%9.4%9.2%7.9%
HV 60d9.4%9.2%9.6%9.5%9.2%
IV Rank15.9%0.0%30.9%13.9%30.9%
IV Percentile21.3%0.0%50.4%14.3%50.4%
Term Structure0.1%-0.1%0.4%0.3%0.4%
VWIV9.1%6.9%11.7%8.4%11.7%
Skew 25d1.0%0.6%1.4%1.2%0.8%
Skew 10d2.3%1.8%2.9%2.1%1.8%
Call IV 25d8.7%6.9%10.7%8.3%10.7%
Put IV 25d9.7%7.6%11.5%9.5%11.4%
Bid-Ask Spread %5.794.2612.514.736.86
Gamma HHI0.150.120.230.140.15
Net GEX-84.5M-156.6M-43.2M-45.7M-104.8M
Net DEX592.3M323.3M824.5M328.4M752.1M
Net VEX-2.8M-3.7M-2.4M-2.9M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.440.0442.476.900.73
Total Volume33,865.551,94198,0149,94467,484
Total OI319,039.95202,394418,758353,934377,516

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$105.06$106.008.9%2.3%9.2%13.9%8.4%1.2%0.3%-45.7M328.4M-2.9M6.904.731,2588,686148,576205,358
2023-09-05$104.37$107.009.5%2.7%9.4%18.9%9.2%1.4%-0.0%-91.9M617.1M-2.7M2.214.362,8126,201145,247210,184
2023-09-06$104.18$107.009.8%2.7%9.2%21.4%9.6%1.4%-0.1%-106.0M690.7M-2.7M15.256.525,50483,920145,491210,253
2023-09-07$104.59$107.009.4%2.6%9.4%18.3%9.3%1.3%-0.1%-79.8M564.6M-2.7M19.486.3470313,693148,760211,173
2023-09-08$104.78$107.009.2%2.6%9.1%16.2%9.3%1.1%-0.1%-57.2M506.4M-2.6M11.225.444615,173149,093214,169
2023-09-11$104.53$107.009.7%2.7%9.0%20.2%9.3%1.1%-0.1%-83.3M596.4M-2.5M0.284.651,515426149,019216,300
2023-09-12$104.50$107.009.6%2.7%9.0%19.3%9.2%1.0%0.2%-90.9M627.4M-2.4M6.644.335,69937,868148,908216,398
2023-09-13$104.68$107.008.9%2.5%8.9%13.9%8.8%0.8%-0.0%-85.6M670.6M-2.8M42.475.942,25595,759153,920251,451
2023-09-14$104.56$107.008.7%2.5%8.7%11.7%8.4%0.9%-0.1%-127.9M739.6M-2.7M3.084.5810,08231,011155,400252,594
2023-09-15$104.38$106.007.5%2.2%8.6%1.3%7.3%0.7%0.2%-76.2M764.4M-2.6M0.724.269,3196,754164,877253,881
2023-09-18$104.55$106.007.3%2.1%8.5%0.0%6.9%0.7%0.3%-68.5M349.0M-2.5M0.044.3727,1661,18469,579132,815
2023-09-19$104.25$106.008.1%2.3%8.3%6.6%7.8%0.6%-0.0%-55.5M363.6M-2.7M0.865.867,3766,35886,866133,568
2023-09-20$104.48$106.007.7%2.2%8.3%3.3%7.5%0.6%0.1%-43.2M323.3M-2.8M2.457.011,7704,33593,075140,386
2023-09-21$103.25$106.008.5%2.4%7.7%10.2%8.3%0.8%0.1%-156.6M588.5M-2.7M1.2012.5115,04318,09994,314143,432
2023-09-22$103.87$105.008.5%2.4%8.0%10.1%8.2%0.8%0.1%-55.5M442.0M-3.0M0.404.4315,6396,235107,140152,518
2023-09-25$102.81$105.009.7%2.8%8.7%20.2%10.5%0.9%0.3%-61.8M600.8M-2.9M4.835.863,03014,627112,284145,467
2023-09-26$102.56$105.009.9%2.9%8.6%22.5%10.4%1.3%0.3%-86.7M699.2M-2.8M7.374.923,15023,220106,477157,049
2023-09-27$101.98$105.0010.8%3.1%8.1%30.0%10.9%1.2%0.2%-100.4M824.5M-2.9M1.685.6014,46224,305109,414169,168
2023-09-28$102.16$105.0010.7%3.0%8.2%29.1%11.0%1.3%0.3%-112.2M798.2M-3.0M0.927.1349,45745,272120,110178,569
2023-09-29$102.00$104.0010.9%3.1%7.9%30.9%11.7%0.8%0.4%-104.8M752.1M-3.7M0.736.8638,90828,576158,035219,481