LQD Options History — August 2024

In August 2024, LQD traded between $109.15 and $112.16. ATM implied volatility averaged 7.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.2% (HV 20d: 6.6%). Max pain ranged from $108.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.68.

Notable Days

  • 2024-08-07: Highest Volume — 169,340 contracts
  • 2024-08-05: Largest IV spike — 15.3% change
  • 2024-08-05: Highest IV Rank — 41.4%
  • 2024-08-05: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.89$109.15$112.16$109.56$111.22
Max Pain$109.00$108.00$110.00$108.00$110.00
ATM IV7.8%7.0%9.2%7.7%8.1%
Expected Move2.3%2.0%2.6%2.4%2.4%
HV 20d6.6%5.8%7.1%5.8%6.0%
HV 60d7.0%6.6%7.1%6.6%6.9%
IV Rank22.2%11.6%41.4%21.4%26.0%
IV Percentile25.2%5.6%63.1%22.6%36.1%
Term Structure0.1%-0.1%0.4%0.2%0.2%
VWIV8.1%7.0%10.4%8.5%8.2%
Skew 25d0.7%0.3%1.4%0.6%0.6%
Skew 10d2.1%0.5%4.6%1.7%3.3%
Call IV 25d7.5%6.9%9.1%7.4%7.6%
Put IV 25d8.2%7.2%9.7%8.0%8.2%
Bid-Ask Spread %14.6710.3222.9022.9015.07
Gamma HHI0.170.110.350.220.12
Net GEX360.0M80.7M690.1M400.5M80.7M
Net DEX-1.50B-2.55B-646.4M-1.26B-869.4M
Net VEX-8.1M-8.9M-7.1M-8.4M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.075.420.230.70
Total Volume57,676.3641,530169,34038,1732,469
Total OI991,203.5865,2231,118,132906,0661,009,744

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$109.56$108.007.7%2.4%5.8%21.4%8.5%0.6%0.2%400.5M-1.26B-8.4M0.2322.9031,0967,077417,001489,065
2024-08-02$110.60$108.008.0%2.4%6.3%24.6%8.3%0.3%0.2%499.3M-2.05B-8.5M1.6422.6023,79638,929432,511493,578
2024-08-05$110.37$109.009.2%2.6%6.4%41.4%10.4%0.7%-0.1%398.2M-1.78B-8.7M2.0019.878,26016,486435,359513,049
2024-08-06$109.72$109.007.9%2.2%6.8%23.8%8.2%0.9%-0.1%374.7M-1.21B-8.6M5.1116.2410,37152,949438,215518,042
2024-08-07$109.15$109.008.5%2.4%7.1%32.7%8.3%1.0%-0.1%258.4M-646.4M-8.9M0.0717.46157,69611,644436,860534,706
2024-08-08$109.15$109.008.2%2.4%6.9%27.8%8.9%0.8%0.1%308.9M-657.6M-8.7M0.9914.5810,77410,694485,368536,864
2024-08-09$109.66$109.008.0%2.3%6.9%25.7%8.6%1.1%-0.1%388.0M-1.13B-8.3M0.7513.8731,70823,704495,516537,586
2024-08-12$109.93$109.007.8%2.2%6.7%22.2%8.1%1.1%0.0%465.9M-1.37B-8.2M5.4213.666,05832,833518,548546,715
2024-08-13$110.65$109.007.8%2.2%6.8%22.3%8.0%0.6%0.1%657.0M-2.04B-8.0M0.3411.08101,20734,620518,155551,440
2024-08-14$111.19$109.007.5%2.2%7.0%18.0%7.7%0.5%0.2%690.1M-2.55B-8.9M0.3411.08112,68038,243542,958575,174
2024-08-15$110.90$109.007.3%2.1%6.9%15.8%7.6%0.5%0.2%578.1M-2.14B-8.4M0.7112.1257,99741,209520,220590,372
2024-08-16$111.16$109.007.1%2.1%6.6%12.9%7.4%0.7%0.2%594.8M-2.23B-7.8M0.2911.9880,32922,968471,051620,870
2024-08-19$111.47$109.007.0%2.0%6.6%11.6%7.0%0.3%-0.1%285.5M-1.41B-7.1M0.4712.8344,62720,770351,357513,866
2024-08-20$111.78$109.007.3%2.1%6.5%15.3%7.4%0.4%-0.1%250.7M-1.45B-7.8M2.4211.6123,74557,508371,534535,412
2024-08-21$112.05$109.007.5%2.2%6.1%18.5%7.6%0.5%-0.1%282.6M-1.62B-7.6M5.3013.005,28027,961374,855559,397
2024-08-22$111.50$109.007.6%2.2%6.6%19.7%7.8%0.7%-0.1%213.9M-1.22B-8.1M1.0611.1414,61015,487378,632572,534
2024-08-23$112.16$109.007.5%2.1%6.6%18.0%8.3%1.4%0.1%271.5M-1.47B-8.4M1.0810.3220,73022,420388,694580,197
2024-08-26$112.06$109.007.5%2.2%6.6%19.0%7.8%0.6%0.4%297.0M-1.70B-7.6M0.9911.415,0294,983397,012584,674
2024-08-27$111.95$109.008.3%2.5%6.7%29.1%8.6%0.6%0.1%238.1M-1.56B-7.5M4.7614.701,9849,436391,841586,964
2024-08-28$111.69$109.007.8%2.3%6.6%22.2%7.7%0.6%0.3%233.5M-1.43B-7.1M0.7218.2715,70911,274393,455587,898
2024-08-29$111.57$110.007.7%2.2%6.7%21.1%7.7%0.8%0.3%153.3M-1.22B-7.5M1.5216.89608922412,878596,310
2024-08-30$111.22$110.008.1%2.4%6.0%26.0%8.2%0.6%0.2%80.7M-869.4M-7.4M0.7015.071,4491,020413,220596,524