LQD Options History — December 2023

In December 2023, LQD traded between $106.66 and $111.27. ATM implied volatility averaged 9.0%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 0.8% (HV 20d: 9.8%). Max pain ranged from $104.00 to $109.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 3.22.

Notable Days

  • 2023-12-13: Highest Volume — 285,257 contracts
  • 2023-12-12: Largest IV drop — 5.2% change
  • 2023-12-04: Highest IV Rank — 26.2%
  • 2023-12-01: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.23$106.66$111.27$107.20$110.72
Max Pain$106.75$104.00$109.00$105.00$109.00
ATM IV9.0%8.6%9.6%9.2%8.9%
Expected Move2.6%2.4%3.0%3.0%2.4%
HV 20d9.8%9.3%10.5%10.2%9.3%
HV 60d10.9%10.1%11.5%10.6%10.1%
IV Rank19.9%14.9%26.2%21.5%18.5%
IV Percentile21.9%14.3%32.5%23.4%21.0%
Term Structure0.2%-0.1%0.9%-0.1%0.9%
VWIV9.1%8.3%10.9%10.9%8.3%
Skew 25d0.7%0.5%0.9%0.9%0.5%
Skew 10d1.8%1.0%2.6%2.0%1.0%
Call IV 25d8.7%8.4%9.2%8.8%8.4%
Put IV 25d9.5%9.0%10.0%9.7%9.0%
Bid-Ask Spread %4.133.145.373.184.12
Gamma HHI0.230.160.500.200.22
Net GEX221.8M78.4M499.8M249.1M164.5M
Net DEX-1.37B-2.49B-713.1M-1.03B-1.42B
Net VEX-6.1M-7.8M-5.0M-5.3M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.1030.670.286.06
Total Volume71,386.252,222285,25778,89822,639
Total OI761,654.3567,828873,432660,792837,531

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$107.20$105.009.2%3.0%10.2%21.5%10.9%0.9%-0.1%249.1M-1.03B-5.3M0.283.1861,46317,435321,294339,498
2023-12-04$106.66$104.009.6%2.7%10.5%26.2%9.2%0.8%0.2%214.8M-745.7M-5.9M0.405.3726,31010,466356,517347,538
2023-12-05$107.40$104.009.1%2.6%10.2%20.6%8.9%0.9%0.2%335.1M-1.30B-5.6M1.514.3339,59259,971375,963348,255
2023-12-06$107.94$105.009.1%2.6%10.1%20.2%9.3%0.9%0.2%366.7M-1.54B-5.9M30.674.292,42874,457389,362389,524
2023-12-07$107.98$105.009.5%2.7%10.1%25.5%9.5%0.8%0.1%312.0M-1.44B-6.2M8.354.794,59238,337389,122402,001
2023-12-08$107.38$105.009.2%2.7%9.5%21.6%9.0%0.8%0.2%209.1M-862.6M-6.8M0.263.9996,64825,162392,996440,093
2023-12-11$107.28$106.009.4%2.7%9.5%24.1%8.9%0.9%-0.0%184.8M-713.1M-6.1M0.545.0338,79121,040403,244451,200
2023-12-12$107.88$106.008.9%2.5%9.5%18.4%9.7%0.8%-0.1%334.7M-1.05B-6.1M1.634.3621,15434,578405,909467,523
2023-12-13$109.81$106.009.2%2.6%10.0%21.2%9.3%0.6%-0.1%499.8M-2.49B-5.8M0.104.55258,61126,646401,068465,639
2023-12-14$110.60$106.008.9%2.5%9.6%18.4%8.9%0.7%-0.1%224.3M-2.07B-5.0M0.114.7096,14710,669295,834463,894
2023-12-15$110.35$106.008.9%2.5%9.6%18.6%8.8%0.7%-0.0%228.9M-2.06B-5.2M1.385.0019,40426,852309,387470,528
2023-12-18$109.88$106.009.0%2.6%10.0%19.3%9.0%0.5%0.1%162.5M-1.27B-5.2M0.483.7246,83622,687249,236318,592
2023-12-19$110.03$108.009.3%2.7%10.0%22.4%9.3%0.7%0.0%171.7M-1.30B-5.4M1.433.4933,04247,382261,957337,545
2023-12-20$110.40$109.008.9%2.5%9.9%17.9%9.3%0.9%-0.0%148.4M-1.38B-5.6M2.753.9712,59534,695267,268378,997
2023-12-21$110.27$109.008.8%2.5%10.0%17.1%8.8%0.7%0.0%144.1M-1.29B-6.0M0.433.4598,85342,739276,441401,270
2023-12-22$110.09$109.008.7%2.5%9.7%16.4%9.0%0.8%0.2%93.9M-963.2M-7.8M4.624.143,81717,626311,144496,848
2023-12-26$110.34$109.009.0%2.6%9.5%19.6%9.0%0.7%0.7%78.4M-1.15B-7.5M0.633.271,367855312,597508,219
2023-12-27$111.27$109.008.6%2.4%9.8%14.9%9.2%0.5%0.9%155.0M-1.68B-6.7M1.623.143,4545,598313,461508,462
2023-12-28$111.09$109.008.8%2.4%9.6%16.5%8.7%0.6%0.8%157.9M-1.62B-6.5M1.093.7610,90811,879314,802512,327
2023-12-29$110.72$109.008.9%2.4%9.3%18.5%8.3%0.5%0.9%164.5M-1.42B-6.9M6.064.123,20719,432321,324516,207