LQD Options History — January 2024

In January 2024, LQD traded between $108.68 and $110.38. ATM implied volatility averaged 9.4%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.4% (HV 20d: 8.1%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.04.

Notable Days

  • 2024-01-04: Highest Volume — 119,623 contracts
  • 2024-01-19: Largest IV drop — 10.4% change
  • 2024-01-04: Highest IV Rank — 35.0%
  • 2024-01-08: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.41$108.68$110.38$109.87$110.03
Max Pain$108.57$108.00$109.00$109.00$109.00
ATM IV9.4%8.7%10.3%9.9%8.9%
Expected Move2.7%2.5%2.9%2.6%2.6%
HV 20d8.1%6.7%9.6%9.5%6.7%
HV 60d9.7%8.9%10.3%10.3%8.9%
IV Rank24.5%15.6%35.0%30.4%18.2%
IV Percentile35.7%14.7%56.0%48.4%21.0%
Term Structure-0.0%-0.3%0.5%-0.2%-0.2%
VWIV9.4%8.7%10.2%9.0%9.1%
Skew 25d0.7%0.4%1.0%0.8%0.7%
Skew 10d1.7%1.1%4.8%1.7%3.0%
Call IV 25d9.2%8.3%10.1%9.9%8.7%
Put IV 25d9.9%9.0%10.9%10.6%9.4%
Bid-Ask Spread %47.874.7186.706.2780.41
Gamma HHI0.150.090.250.190.09
Net GEX-80.0M-359.5M165.1M37.1M9.3M
Net DEX-299.5M-1.56B724.4M-772.8M-714.7M
Net VEX-8.4M-9.4M-6.7M-7.1M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.068.630.086.00
Total Volume50,086.57112,093119,62339,03019,548
Total OI929,595.286692,7571,215,559821,617874,923

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$109.87$109.009.9%2.6%9.5%30.4%9.0%0.8%-0.2%37.1M-772.8M-7.1M0.086.2736,0962,934321,210500,407
2024-01-03$109.68$109.0010.3%2.7%9.3%34.1%9.7%0.9%-0.2%-22.0M-632.2M-6.7M0.315.6739,39712,337293,505502,682
2024-01-04$109.10$108.0010.3%2.9%9.4%35.0%10.1%0.8%-0.2%-112.7M-105.7M-8.3M1.234.7153,56466,059329,839555,766
2024-01-05$108.68$108.0010.1%2.8%9.4%31.9%9.9%1.0%-0.3%-171.8M296.7M-8.5M0.465.628,2913,802365,064589,645
2024-01-08$109.35$108.0010.1%2.9%9.6%32.6%10.2%0.8%0.1%-71.5M-269.8M-8.0M0.165.5766,03410,520378,169597,213
2024-01-09$109.72$108.009.8%2.8%9.3%28.5%10.0%0.7%-0.1%9.2M-784.0M-8.7M2.805.2513,86338,811435,067601,464
2024-01-10$109.52$108.009.8%2.8%9.4%28.9%9.6%0.8%-0.1%-33.9M-567.6M-9.4M0.3713.7032,07511,731446,991625,043
2024-01-11$110.18$108.009.0%2.6%9.4%18.9%9.3%0.7%0.0%79.0M-1.26B-8.9M3.7910.5011,05641,923451,079637,372
2024-01-12$110.38$108.009.0%2.6%7.1%19.9%9.0%0.7%0.1%165.1M-1.56B-8.4M1.1212.1614,22115,976461,799645,508
2024-01-16$109.34$108.009.6%2.7%7.4%26.2%9.3%0.7%-0.3%-155.7M-133.3M-8.3M1.3482.8612,40916,636457,861666,488
2024-01-17$109.13$108.009.8%2.8%7.4%29.0%9.7%0.8%-0.2%-246.7M288.0M-8.3M1.1184.1125,35528,106456,164671,131
2024-01-18$108.88$109.009.7%2.8%7.3%27.5%9.7%0.4%-0.3%-344.3M556.5M-8.3M1.3685.3728,80539,134476,428696,949
2024-01-19$108.93$109.008.7%2.5%7.2%15.6%8.8%0.5%-0.0%-359.5M724.4M-8.4M1.0386.7026,93227,798494,965720,594
2024-01-22$109.31$109.008.7%2.5%7.3%15.9%8.7%0.7%0.4%-50.4M-180.5M-8.6M0.0677.3132,4112,022306,459398,452
2024-01-23$108.81$109.008.8%2.6%7.4%17.7%9.1%0.7%0.5%-113.4M89.4M-8.4M7.7879.732,87822,378290,890401,867
2024-01-24$108.69$109.009.0%2.6%7.4%19.5%9.2%0.7%0.4%-137.9M175.4M-8.4M1.6370.7830,06948,943293,219408,900
2024-01-25$109.38$109.009.4%2.8%7.7%24.5%9.7%0.7%0.3%-95.5M-175.4M-8.7M0.2270.9526,3725,855309,468452,439
2024-01-26$109.19$109.009.0%2.6%7.0%19.9%9.2%0.5%0.3%-98.3M-140.8M-8.9M1.6973.3829,01748,973334,139456,890
2024-01-29$109.59$109.009.0%2.6%7.2%19.5%9.1%0.8%-0.1%-2.2M-497.2M-8.8M1.6872.805,1268,592351,692452,861
2024-01-30$109.81$109.009.2%2.7%7.2%21.7%9.5%0.8%-0.1%35.2M-626.5M-8.6M8.6371.458,90776,862354,543456,356
2024-01-31$110.03$109.008.9%2.6%6.7%18.2%9.1%0.7%-0.2%9.3M-714.7M-8.6M6.0080.412,79316,755357,737517,186