LQD Options History — November 2023

In November 2023, LQD traded between $100.22 and $106.88. ATM implied volatility averaged 9.8%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.9% (HV 20d: 10.7%). Max pain ranged from $101.00 to $104.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.88.

Notable Days

  • 2023-11-30: Highest Volume — 168,484 contracts
  • 2023-11-09: Largest IV spike — 9.0% change
  • 2023-11-01: Highest IV Rank — 43.7%
  • 2023-11-09: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.60$100.22$106.88$100.22$106.22
Max Pain$102.69$101.00$104.00$101.00$104.00
ATM IV9.8%8.3%11.1%11.1%9.0%
Expected Move2.9%2.6%3.2%3.1%2.9%
HV 20d10.7%9.8%11.6%10.4%10.4%
HV 60d10.4%9.7%10.8%9.7%10.5%
IV Rank29.3%11.1%43.7%43.7%19.2%
IV Percentile34.2%10.3%54.8%54.8%19.8%
Term Structure-0.0%-0.6%0.6%-0.2%-0.1%
VWIV10.5%9.5%11.7%9.8%10.0%
Skew 25d1.3%0.7%1.8%1.8%0.7%
Skew 10d2.6%1.1%4.1%4.1%1.1%
Call IV 25d9.3%8.1%10.2%10.2%8.7%
Put IV 25d10.6%8.8%12.0%12.0%9.3%
Bid-Ask Spread %3.002.095.922.454.91
Gamma HHI0.160.110.200.120.14
Net GEX113.3M24.5M157.9M24.5M154.2M
Net DEX-442.5M-1.18B520.6M520.6M-798.2M
Net VEX-4.5M-5.4M-3.8M-3.8M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.0020.6518.740.31
Total Volume43,915.47611,993168,48459,112168,484
Total OI495,776.143401,127586,494401,246586,494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$100.22$101.0011.1%3.1%10.4%43.7%9.8%1.8%-0.2%24.5M520.6M-3.8M18.742.452,99556,117192,187209,059
2023-11-02$101.41$102.0010.6%3.2%11.2%38.7%11.0%1.7%-0.2%65.7M104.6M-3.9M2.492.228,16520,322192,671208,456
2023-11-03$101.91$102.0010.4%3.1%11.3%36.4%10.6%1.2%-0.2%75.6M-56.6M-4.0M0.302.6251,09015,525193,602219,003
2023-11-06$101.37$102.0010.6%3.2%10.8%37.9%10.5%1.5%0.6%78.8M163.4M-4.1M1.954.244,0637,930217,526219,633
2023-11-07$102.16$102.0010.2%3.1%11.1%33.3%10.1%1.5%0.5%103.9M-135.9M-4.1M0.002.5666,511273221,125227,079
2023-11-08$102.68$102.0010.0%3.0%11.1%31.4%11.7%1.4%0.3%156.4M-537.3M-4.9M6.522.384,97232,398274,447224,529
2023-11-09$101.68$102.0010.9%3.2%11.2%41.9%11.3%1.7%0.3%117.8M-43.6M-5.1M3.005.927,79623,358275,104248,043
2023-11-10$102.23$102.0010.7%3.2%11.2%38.9%11.0%1.6%0.5%150.6M-195.4M-5.4M0.502.9020,85610,525274,625270,720
2023-11-13$102.22$102.0010.8%3.1%11.0%40.4%11.2%1.7%-0.3%157.2M-226.0M-5.2M0.912.6014,66113,406287,506275,212
2023-11-14$103.82$102.009.9%2.9%11.6%30.2%10.3%1.5%-0.1%135.8M-1.03B-4.8M0.922.0913,84912,739286,850270,383
2023-11-15$103.28$102.0010.2%2.9%11.3%33.8%10.6%1.4%-0.6%157.9M-676.0M-4.9M0.912.3614,78313,458277,831280,847
2023-11-16$104.09$103.0010.0%2.9%10.9%31.3%9.7%1.5%-0.2%105.5M-1.06B-4.8M0.212.6123,3394,889285,882277,817
2023-11-17$104.38$103.009.9%2.9%10.9%30.3%11.2%1.5%-0.6%108.7M-1.18B-4.8M0.582.3016,7109,629292,424279,755
2023-11-20$104.87$103.009.4%2.8%10.8%23.9%10.8%1.4%-0.0%97.3M-591.0M-4.4M0.142.9911,7911,596210,794212,269
2023-11-21$104.78$103.009.2%2.8%10.7%22.1%11.6%1.2%0.0%111.5M-583.5M-4.4M1.302.7418,93924,647217,546212,825
2023-11-22$105.22$103.509.0%2.7%9.8%19.9%9.9%1.1%-0.2%139.2M-615.9M-4.2M0.962.6334,36333,039235,675232,334
2023-11-24$104.73$104.009.3%2.8%10.0%22.8%9.5%0.7%-0.2%50.4M-206.2M-4.6M0.003.6028,82854214,707262,624
2023-11-27$105.53$104.008.7%2.7%10.0%16.0%9.5%0.8%-0.0%100.9M-495.0M-4.4M0.052.7513,542635234,556257,942
2023-11-28$105.98$104.008.3%2.6%9.8%11.1%9.7%0.8%0.1%138.3M-688.8M-4.3M20.652.722,25546,571247,644258,193
2023-11-29$106.88$104.008.4%2.7%10.0%12.8%9.8%0.7%0.0%148.8M-967.2M-4.2M0.053.3964,0143,108248,179297,201
2023-11-30$106.22$104.009.0%2.9%10.4%19.2%10.0%0.7%-0.1%154.2M-798.2M-4.9M0.314.91128,41440,070286,923299,571