LQD Options History — June 2024

In June 2024, LQD traded between $106.77 and $108.44. ATM implied volatility averaged 7.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 0.8% (HV 20d: 6.7%). Max pain ranged from $106.00 to $107.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.43.

Notable Days

  • 2024-06-14: Highest Volume — 150,670 contracts
  • 2024-06-12: Largest IV drop — 7.1% change
  • 2024-06-11: Highest IV Rank — 23.3%
  • 2024-06-28: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.80$106.77$108.44$107.20$107.27
Max Pain$106.47$106.00$107.00$107.00$107.00
ATM IV7.5%7.3%7.9%7.4%7.6%
Expected Move2.1%2.1%2.2%2.1%2.2%
HV 20d6.7%5.8%7.2%5.8%6.8%
HV 60d7.4%7.1%7.6%7.3%7.1%
IV Rank18.5%15.0%23.3%17.5%20.3%
IV Percentile11.5%6.3%19.0%9.1%15.5%
Term Structure0.1%-0.2%0.5%-0.1%0.4%
VWIV7.6%7.1%8.8%7.1%7.9%
Skew 25d0.5%0.2%0.9%0.9%0.5%
Skew 10d1.5%0.3%3.2%2.9%1.0%
Call IV 25d7.3%7.0%7.7%7.0%7.2%
Put IV 25d7.8%7.4%8.3%7.9%7.8%
Bid-Ask Spread %8.676.6918.206.6918.20
Gamma HHI0.160.100.250.110.15
Net GEX303.4M144.5M554.6M248.2M144.5M
Net DEX-1.02B-1.97B-56.4M-737.9M-56.4M
Net VEX-8.0M-8.7M-7.4M-8.2M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.025.030.060.92
Total Volume54,666.7376,263150,67033,59461,082
Total OI1,086,134.263804,8551,276,2021,087,007864,059

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-06-03$107.20$107.007.4%2.1%5.8%17.5%7.1%0.9%-0.1%248.2M-737.9M-8.2M0.066.6931,6181,976507,897579,110
2024-06-04$107.66$107.007.7%2.2%6.0%21.2%7.7%0.9%-0.0%317.0M-1.12B-8.0M0.138.9454,0826,779514,788579,848
2024-06-05$107.97$107.007.6%2.1%6.0%19.6%7.8%0.7%-0.0%358.1M-1.39B-7.8M0.947.8631,65729,810523,096580,901
2024-06-06$107.97$106.007.8%2.2%6.0%22.7%8.8%0.8%-0.0%300.6M-1.32B-8.5M2.569.658,05820,643527,509601,273
2024-06-07$107.00$106.007.8%2.2%6.9%23.1%7.7%0.6%-0.0%228.4M-410.5M-8.7M1.738.7715,24026,431535,216594,525
2024-06-10$106.77$106.007.8%2.2%6.8%22.6%8.2%0.5%-0.2%155.8M-251.9M-8.4M5.037.741,0385,225541,108600,224
2024-06-11$107.20$106.007.9%2.2%6.9%23.3%7.9%0.5%-0.1%245.3M-632.8M-8.1M0.927.8412,52511,522541,629605,185
2024-06-12$107.88$106.007.3%2.1%7.2%15.6%7.3%0.5%-0.1%409.0M-1.41B-7.5M0.609.4732,45819,461552,257616,325
2024-06-13$108.38$106.007.3%2.1%6.7%15.0%7.2%0.6%0.0%493.6M-1.86B-7.5M2.037.4011,73223,797568,112628,016
2024-06-14$108.41$106.007.4%2.1%6.7%17.6%7.3%0.5%-0.1%506.7M-1.97B-7.4M0.268.71119,99430,676578,447645,527
2024-06-17$107.91$106.007.6%2.2%6.9%19.2%7.7%0.5%-0.1%431.2M-1.37B-7.8M1.037.6065,41467,248622,684623,353
2024-06-18$108.44$106.007.3%2.1%7.1%16.2%7.2%0.4%-0.1%554.6M-1.79B-8.0M0.097.4159,2625,278634,914630,033
2024-06-20$108.09$106.007.4%2.1%7.2%17.2%7.5%0.4%-0.1%251.3M-1.34B-7.9M2.956.9911,41533,647621,127642,355
2024-06-21$108.15$107.007.3%2.1%7.2%15.4%7.3%0.2%-0.0%282.2M-1.43B-7.8M1.647.5231,79352,207626,011650,191
2024-06-24$108.20$107.007.3%2.1%6.9%16.4%7.5%0.3%0.4%227.5M-732.1M-8.1M2.897.905,89217,005357,378447,477
2024-06-25$108.22$107.007.3%2.1%6.9%16.2%7.5%0.3%0.5%234.2M-739.4M-8.0M2.968.414,72113,965362,971453,304
2024-06-26$107.59$107.007.3%2.2%6.8%15.8%7.5%0.3%0.5%145.2M-296.1M-7.8M0.028.1662,9801,091362,604462,097
2024-06-27$107.85$107.007.4%2.1%6.6%16.6%7.5%0.5%0.5%231.8M-569.1M-7.8M0.399.4436,68114,265392,013462,987
2024-06-28$107.27$107.007.6%2.2%6.8%20.3%7.9%0.5%0.4%144.5M-56.4M-7.8M0.9218.2031,77629,306389,717474,342