LQD Options History — July 2024

In July 2024, LQD traded between $106.13 and $109.55. ATM implied volatility averaged 7.6%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.0% (HV 20d: 7.6%). Max pain ranged from $106.50 to $108.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.62.

Notable Days

  • 2024-07-11: Highest Volume — 185,710 contracts
  • 2024-07-24: Largest IV spike — 15.2% change
  • 2024-07-24: Highest IV Rank — 33.8%
  • 2024-07-24: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.33$106.13$109.55$106.13$109.55
Max Pain$107.14$106.50$108.00$107.00$108.00
ATM IV7.6%6.5%8.6%8.6%7.4%
Expected Move2.2%1.9%2.5%2.4%2.4%
HV 20d7.6%6.2%8.3%7.6%6.2%
HV 60d6.9%6.6%7.7%7.5%6.6%
IV Rank20.3%5.0%33.8%33.1%17.6%
IV Percentile18.8%0.8%42.9%39.7%15.9%
Term Structure-0.1%-0.4%0.3%-0.4%0.1%
VWIV7.9%6.6%9.4%8.5%9.4%
Skew 25d0.7%0.5%1.0%0.9%0.5%
Skew 10d1.7%0.7%3.3%1.9%0.7%
Call IV 25d7.3%6.2%8.3%8.3%7.3%
Put IV 25d8.0%6.9%9.1%9.1%7.8%
Bid-Ask Spread %16.878.1126.4114.5626.41
Gamma HHI0.220.110.410.110.19
Net GEX347.5M-41.9M899.7M-41.9M350.2M
Net DEX-719.4M-1.71B585.3M585.3M-1.05B
Net VEX-8.3M-9.3M-7.1M-8.0M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.1823.060.290.98
Total Volume38,490.0913,077185,71021,11818,145
Total OI922,825.045842,1331,059,767891,599896,370

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$106.13$107.008.6%2.4%7.6%33.1%8.5%0.9%-0.4%-41.9M585.3M-8.0M0.2914.5616,3344,784402,454489,145
2024-07-02$106.75$106.508.5%2.4%7.8%32.0%8.4%0.8%-0.3%75.7M29.0M-8.1M1.2216.1014,47417,717408,316482,881
2024-07-03$107.50$106.508.2%2.3%8.1%28.4%8.7%1.0%-0.4%189.0M-485.5M-8.4M23.0625.8044410,239413,528487,369
2024-07-05$108.13$107.007.7%2.1%8.3%20.7%7.3%0.8%-0.4%356.1M-941.4M-7.9M0.1813.8911,4602,052413,723497,548
2024-07-08$108.19$107.007.7%2.2%8.3%20.6%7.7%0.7%0.1%372.9M-1.03B-7.4M0.5711.9016,8239,520416,857495,991
2024-07-09$107.94$107.007.4%2.1%7.6%17.4%7.4%0.6%-0.0%312.9M-824.4M-7.1M0.518.112,3531,196410,014492,375
2024-07-10$108.16$107.007.6%2.2%7.6%20.1%7.7%0.8%0.2%354.5M-946.2M-7.2M0.9410.1323,69622,232410,574493,387
2024-07-11$108.75$107.007.0%2.0%7.7%11.7%7.7%0.7%-0.0%559.2M-1.57B-7.2M0.7811.50104,19381,517432,621506,297
2024-07-12$109.13$107.006.5%1.9%7.5%5.0%6.9%0.6%0.3%712.5M-1.68B-8.0M0.3814.0036,76213,897449,306525,418
2024-07-15$108.59$107.007.1%2.0%7.6%13.1%7.1%0.6%0.2%570.1M-996.3M-8.6M7.9814.341,82114,533447,983519,986
2024-07-16$109.18$107.007.0%2.0%7.8%11.2%6.6%0.7%-0.1%776.6M-1.68B-8.2M0.419.498,6973,595458,843534,181
2024-07-17$109.25$107.007.0%2.0%7.6%12.0%6.9%0.6%0.1%789.2M-1.71B-8.1M0.7612.8044,19633,420465,815539,644
2024-07-18$108.85$107.007.4%2.1%7.6%16.9%7.4%0.5%-0.1%899.7M-1.20B-8.8M0.2711.3162,61517,099479,202558,778
2024-07-19$108.34$107.007.7%2.2%7.7%21.7%7.7%0.5%-0.2%169.4M-668.9M-9.0M0.9413.369,4368,832500,290559,477
2024-07-22$108.34$107.007.6%2.2%7.7%19.3%8.1%0.6%0.0%176.2M-324.5M-8.9M4.0723.4619,45879,165408,517433,616
2024-07-23$108.25$107.007.5%2.2%7.7%18.1%7.6%0.6%0.1%157.5M-154.3M-8.7M0.2723.0312,5903,424398,449463,346
2024-07-24$107.75$107.008.6%2.5%7.8%33.8%8.7%0.7%-0.2%71.9M175.1M-9.0M2.6022.8410,45427,180402,432469,355
2024-07-25$108.00$107.508.0%2.4%7.6%25.7%8.4%0.7%-0.1%110.4M40.9M-8.8M1.3319.3419,23725,632410,067464,438
2024-07-26$108.63$107.508.0%2.4%7.8%25.1%8.5%0.6%-0.1%192.7M-311.4M-9.3M1.1923.165,1196,078420,569467,901
2024-07-29$108.84$108.007.7%2.3%7.5%21.7%8.3%0.5%-0.2%248.7M-581.5M-8.2M7.9822.162,59420,692411,414469,672
2024-07-30$108.94$108.007.7%2.3%6.2%21.7%8.2%0.5%-0.1%240.5M-496.0M-8.8M1.0123.511,5301,547413,444480,558
2024-07-31$109.55$108.007.4%2.4%6.2%17.6%9.4%0.5%0.1%350.2M-1.05B-8.1M0.9826.419,1578,988414,369482,001