LQD Options History — October 2023

In October 2023, LQD traded between $98.32 and $101.84. ATM implied volatility averaged 11.8%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.9% (HV 20d: 10.9%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 4.66.

Notable Days

  • 2023-10-18: Highest Volume — 100,237 contracts
  • 2023-10-03: Largest IV spike — 17.1% change
  • 2023-10-03: Highest IV Rank — 53.0%
  • 2023-10-03: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.02$98.32$101.84$100.66$99.43
Max Pain$102.14$101.00$103.00$103.00$101.00
ATM IV11.8%10.8%13.4%11.5%11.3%
Expected Move3.4%3.1%4.0%3.2%3.2%
HV 20d10.9%8.2%12.2%8.2%10.6%
HV 60d9.9%9.5%10.2%9.6%9.6%
IV Rank40.7%29.9%53.0%36.0%46.3%
IV Percentile65.3%48.0%85.7%59.1%58.7%
Term Structure-0.1%-0.6%0.3%-0.1%-0.2%
VWIV12.1%11.0%14.4%11.6%11.5%
Skew 25d1.5%1.2%1.9%1.5%1.6%
Skew 10d3.0%2.2%3.6%2.2%3.0%
Call IV 25d11.4%10.3%12.9%11.1%10.8%
Put IV 25d12.9%11.9%14.8%12.6%12.4%
Bid-Ask Spread %2.951.757.254.663.06
Gamma HHI0.170.100.390.200.11
Net GEX-81.9M-285.4M15.9M-102.8M-26.0M
Net DEX941.6M427.1M1.52B1.05B822.6M
Net VEX-3.8M-4.3M-3.2M-3.7M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.660.0945.820.452.95
Total Volume39,394.3186,205100,23798,14010,848
Total OI495,215.364327,453615,234431,945394,580

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$100.66$103.0011.5%3.2%8.2%36.0%11.6%1.5%-0.1%-102.8M1.05B-3.7M0.454.6667,91430,226195,654236,291
2023-10-03$99.44$103.0013.4%4.0%8.8%53.0%14.4%1.9%-0.5%-77.9M1.20B-3.9M1.277.2533,11241,999260,189239,144
2023-10-04$100.38$103.0012.3%3.6%9.7%43.2%13.8%1.7%-0.4%-89.3M976.5M-4.2M3.734.064,37616,333270,187257,891
2023-10-05$100.30$103.0012.2%3.4%9.5%42.7%12.0%1.6%-0.4%-94.2M992.1M-4.2M6.763.336,53244,187273,191255,982
2023-10-06$100.06$103.0011.9%3.3%9.4%39.9%11.2%1.6%-0.4%-138.5M1.04B-4.0M1.142.735,2706,008276,835254,852
2023-10-09$101.19$103.0011.8%3.3%10.6%39.1%11.6%1.7%0.0%-28.3M633.6M-4.2M0.932.2010,72110,000273,224251,406
2023-10-10$101.28$103.0011.4%3.3%10.6%35.7%11.6%1.6%0.1%-17.5M592.0M-4.2M2.402.325,13012,330298,484257,662
2023-10-11$101.84$103.0010.8%3.1%10.8%29.9%11.0%1.5%-0.0%15.9M427.1M-4.1M3.682.3615,27956,232299,443264,793
2023-10-12$100.90$102.0011.1%3.2%11.2%32.8%11.8%1.4%-0.1%-90.9M844.1M-4.0M4.522.4712,30055,638301,965273,440
2023-10-13$101.32$102.0011.2%3.3%11.4%33.7%11.5%1.2%0.2%-60.8M666.0M-4.3M4.221.759,55840,368305,252294,180
2023-10-16$100.72$103.0011.6%3.3%11.4%37.4%12.0%1.6%-0.1%-157.3M1.01B-3.9M2.032.1411,63523,625300,974298,712
2023-10-17$99.87$102.0011.7%3.4%11.7%38.2%12.5%1.5%-0.3%-218.3M1.35B-3.6M2.692.5916,53344,404310,748290,355
2023-10-18$99.09$102.0012.3%3.5%11.7%43.3%12.9%1.6%-0.4%-285.4M1.52B-3.7M45.822.402,14198,096326,200289,034
2023-10-19$98.32$102.0012.7%3.7%11.4%46.3%12.6%1.5%-0.6%-170.9M1.47B-3.2M3.812.699,64436,728331,418244,720
2023-10-20$98.63$102.0012.1%3.5%11.1%41.3%12.9%1.7%-0.1%-72.9M1.32B-3.3M6.931.973,68125,512334,195236,874
2023-10-23$99.40$102.0011.9%3.5%11.3%40.1%12.2%1.4%0.1%-47.4M828.4M-3.4M0.332.6826,8458,787140,633186,820
2023-10-24$100.00$101.0011.2%3.3%11.6%34.0%11.3%1.4%0.2%-19.1M689.0M-3.8M1.472.792,5173,688165,956199,519
2023-10-25$99.05$101.0011.8%3.5%11.9%39.0%12.2%1.4%0.3%-40.9M890.7M-3.5M0.352.878,6502,998167,759197,748
2023-10-26$99.75$101.0011.4%3.3%12.2%42.9%11.5%1.4%0.3%-19.3M749.2M-3.7M0.413.009,6503,951172,595198,164
2023-10-27$99.53$101.0011.8%3.4%12.2%52.1%11.7%1.4%0.3%-16.0M773.8M-3.7M6.442.902,72217,531181,068202,330
2023-10-30$99.28$101.0011.6%3.4%11.4%49.5%11.7%1.8%-0.2%-44.5M874.0M-3.5M0.092.7211,9101,066180,802203,469
2023-10-31$99.43$101.0011.3%3.2%10.6%46.3%11.5%1.6%-0.2%-26.0M822.6M-3.4M2.953.062,7448,104190,667203,913