LQD Options History — February 2024

In February 2024, LQD traded between $107.03 and $110.60. ATM implied volatility averaged 8.7%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 0.8% (HV 20d: 7.9%). Max pain ranged from $107.00 to $108.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.72.

Notable Days

  • 2024-02-13: Highest Volume — 87,346 contracts
  • 2024-02-16: Largest IV spike — 11.2% change
  • 2024-02-05: Highest IV Rank — 24.0%
  • 2024-02-01: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.14$107.03$110.60$110.60$107.66
Max Pain$107.58$107.00$108.00$108.00$107.50
ATM IV8.7%8.1%9.4%9.4%8.2%
Expected Move2.5%2.3%2.7%2.7%2.3%
HV 20d7.9%6.9%8.3%6.9%7.7%
HV 60d8.8%8.1%9.3%9.0%8.1%
IV Rank16.0%9.3%24.0%23.6%9.6%
IV Percentile19.8%8.7%38.5%36.9%9.5%
Term Structure-0.0%-0.2%0.3%-0.2%-0.0%
VWIV8.7%7.7%9.6%9.6%8.1%
Skew 25d0.8%0.5%1.2%0.7%1.2%
Skew 10d2.1%1.0%3.9%1.6%3.2%
Call IV 25d8.4%7.5%9.0%9.0%7.5%
Put IV 25d9.2%8.7%9.7%9.7%8.7%
Bid-Ask Spread %79.2354.9292.5985.5578.48
Gamma HHI0.130.080.200.080.13
Net GEX-180.4M-509.8M121.3M121.3M-131.4M
Net DEX446.1M-948.2M1.50B-948.2M379.1M
Net VEX-8.3M-9.3M-7.3M-9.0M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.216.490.352.18
Total Volume49,416.755,03887,34678,49180,254
Total OI895,347.75736,1521,039,464877,671828,419

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$110.60$108.009.4%2.7%6.9%23.6%9.6%0.7%-0.2%121.3M-948.2M-9.0M0.3585.5558,16720,324344,533533,138
2024-02-02$109.59$108.008.9%2.6%7.4%18.6%9.2%0.6%-0.1%60.9M-431.0M-9.3M5.4088.012,61514,121401,105548,134
2024-02-05$108.56$108.009.4%2.6%8.1%24.0%9.2%0.6%-0.1%-149.0M366.1M-9.0M1.1688.2322,11725,580399,307540,309
2024-02-06$109.20$108.008.9%2.5%8.0%18.3%8.8%0.5%0.0%-4.3M-117.6M-9.1M1.6488.9425,38741,644409,070543,039
2024-02-07$108.93$108.009.0%2.6%8.0%19.7%9.4%0.5%-0.0%-64.2M150.6M-9.0M1.8692.5118,73534,910417,394546,548
2024-02-08$108.25$108.009.0%2.6%8.2%19.3%8.9%0.7%-0.1%-240.6M656.9M-8.5M1.2086.7027,25632,832418,318531,939
2024-02-09$108.10$108.008.8%2.5%7.8%16.9%8.8%0.6%-0.0%-359.5M760.3M-8.4M0.7972.0923,22818,358434,759539,691
2024-02-12$108.13$108.008.8%2.5%7.8%16.9%8.9%0.5%0.2%-334.1M787.6M-8.2M0.9591.1134,24632,449432,065534,240
2024-02-13$107.03$107.008.8%2.5%7.9%17.1%9.0%0.6%0.3%-414.2M1.50B-7.3M1.3092.5938,04549,301460,367532,607
2024-02-14$107.47$107.008.9%2.6%8.1%18.2%9.1%0.7%0.2%-452.0M1.14B-8.2M2.2183.3522,49449,730479,255553,625
2024-02-15$107.90$107.008.1%2.3%8.3%9.3%8.4%0.9%0.3%-509.8M857.3M-8.2M1.1882.599,93011,760463,172562,145
2024-02-16$107.50$107.009.0%2.6%8.3%20.0%8.6%1.1%-0.2%-399.8M1.11B-8.2M0.9783.5030,24329,479474,086565,378
2024-02-20$107.84$107.008.5%2.4%8.3%14.0%8.7%0.9%-0.1%-88.2M340.5M-8.3M1.3154.922,1812,857344,178396,317
2024-02-21$107.63$107.008.5%2.4%8.2%13.0%8.4%0.9%-0.1%-99.1M402.9M-7.8M0.2170.6612,1452,607345,783397,518
2024-02-22$107.69$107.008.4%2.3%8.2%12.7%8.2%1.1%-0.1%-114.6M372.4M-7.3M3.0770.1113,24840,677340,678395,474
2024-02-23$108.06$107.008.2%2.3%7.9%10.1%7.7%1.1%-0.0%-124.8M200.6M-8.2M0.7467.7436,20226,870352,381432,355
2024-02-26$107.66$108.008.5%2.4%8.0%13.4%8.2%1.2%-0.0%-84.2M407.2M-8.6M0.3968.1422,0958,658359,285442,483
2024-02-27$107.57$108.008.4%2.4%7.8%12.9%8.8%1.1%-0.0%-104.9M501.5M-7.9M6.4968.175,28834,328353,782444,292
2024-02-28$107.52$108.008.5%2.4%7.8%13.2%8.6%1.1%-0.0%-115.4M491.3M-8.1M0.9971.1314,09213,882354,591455,195
2024-02-29$107.66$107.508.2%2.3%7.7%9.6%8.1%1.2%-0.0%-131.4M379.1M-7.5M2.1878.4825,25355,001364,505463,914