LQD Options History — March 2024

In March 2024, LQD traded between $107.66 and $109.07. ATM implied volatility averaged 7.6%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.2% (HV 20d: 5.4%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2024-03-07: Highest Volume — 103,182 contracts
  • 2024-03-15: Largest IV drop — 11.5% change
  • 2024-03-07: Highest IV Rank — 15.3%
  • 2024-03-05: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.39$107.66$109.07$107.97$109.00
Max Pain$108.95$108.00$109.00$108.00$109.00
ATM IV7.6%6.6%8.6%8.1%6.6%
Expected Move2.2%1.8%2.5%2.3%1.8%
HV 20d5.4%4.3%7.5%7.5%5.1%
HV 60d7.2%6.6%8.0%8.0%6.6%
IV Rank5.8%0.0%15.3%8.3%0.0%
IV Percentile5.5%0.0%19.8%6.7%0.0%
Term Structure0.1%-0.2%0.6%0.3%0.6%
VWIV7.5%6.2%8.6%8.3%6.2%
Skew 25d0.7%0.2%1.3%1.2%0.6%
Skew 10d1.5%0.5%3.0%3.0%2.7%
Call IV 25d7.4%6.2%8.5%7.5%6.2%
Put IV 25d8.0%6.8%9.5%8.7%6.8%
Bid-Ask Spread %47.1419.5388.2668.3523.11
Gamma HHI0.120.090.160.120.15
Net GEX74.5M-106.2M199.4M-28.6M199.4M
Net DEX-210.2M-966.3M434.9M26.3M-602.1M
Net VEX-8.0M-8.9M-6.5M-8.7M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.2810.340.550.89
Total Volume40,626.256,393103,18242,87534,101
Total OI893,661.85772,9521,076,658865,862846,264

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$107.97$108.008.1%2.3%7.5%8.3%8.3%1.2%0.3%-28.6M26.3M-8.7M0.5568.3527,66915,206375,812490,050
2024-03-04$107.80$109.008.5%2.4%6.9%14.0%8.2%1.3%-0.1%-1.8M114.0M-8.3M0.2883.8043,64112,049372,006480,759
2024-03-05$108.32$109.008.6%2.5%6.4%14.1%8.6%0.8%-0.0%43.1M-208.4M-8.4M0.6583.4937,79124,543370,306488,982
2024-03-06$108.57$109.008.5%2.3%6.1%13.0%8.3%0.8%-0.2%91.8M-490.6M-8.3M1.4084.2419,43627,303392,085506,328
2024-03-07$108.87$109.008.6%2.4%6.1%15.3%8.6%1.0%-0.1%120.3M-679.6M-8.5M0.7383.2959,62843,554400,329532,470
2024-03-08$108.97$109.008.3%2.3%5.7%11.0%8.0%0.8%-0.1%182.3M-875.3M-8.7M0.3686.2035,73212,901439,667566,961
2024-03-11$109.07$109.008.0%2.3%5.6%8.0%8.1%0.8%-0.1%197.6M-966.3M-8.6M1.2587.1410,99313,789453,104569,141
2024-03-12$108.69$109.007.7%2.2%5.8%3.8%7.6%0.7%-0.1%153.9M-665.7M-8.1M2.5988.264,91812,753453,209575,915
2024-03-13$108.60$109.007.4%2.1%4.3%0.8%7.3%0.9%-0.2%140.4M-549.6M-8.1M0.2922.024,9651,428455,465579,475
2024-03-14$107.73$109.008.0%2.3%5.1%8.9%8.1%0.9%-0.1%-106.2M434.9M-8.9M0.8923.7318,77616,658458,951600,312
2024-03-15$107.91$109.007.1%2.0%5.0%0.0%7.0%0.8%-0.0%196.4M207.3M-7.8M1.6224.5331,48551,159473,657603,001
2024-03-18$107.66$109.007.6%2.2%4.8%7.7%7.5%0.4%0.2%-32.0M399.7M-7.9M0.8923.7217,62715,708359,510413,442
2024-03-19$107.94$109.007.4%2.1%4.8%4.3%7.4%0.4%0.1%-21.6M213.4M-7.5M2.8922.064,11511,908361,206427,417
2024-03-20$108.16$109.007.3%2.1%4.8%3.4%7.3%0.3%0.1%-36.2M153.0M-7.8M0.4724.6930,46314,459361,147436,169
2024-03-21$108.31$109.007.1%2.0%4.8%1.5%7.1%0.3%0.1%4.2M-42.9M-7.5M0.5823.8929,07116,740369,261429,603
2024-03-22$108.69$109.006.9%2.0%4.8%0.0%6.9%0.2%0.2%137.6M-310.3M-7.7M1.5921.279,67015,384378,968428,287
2024-03-25$108.25$109.007.0%2.0%4.8%1.3%6.7%0.5%0.5%58.6M-15.4M-7.2M1.6819.532,5334,267378,135422,011
2024-03-26$108.31$109.006.9%2.0%4.8%0.0%6.7%0.4%0.5%67.1M-33.4M-7.1M1.2625.2615,10619,069379,850424,645
2024-03-27$108.88$109.006.8%1.9%5.1%0.0%6.5%0.6%0.5%124.5M-312.8M-7.3M10.3424.314,04941,878379,304440,033
2024-03-28$109.00$109.006.6%1.8%5.1%0.0%6.2%0.6%0.6%199.4M-602.1M-6.5M0.8923.1118,06416,037379,964466,300