LQD Options History — September 2024

In September 2024, LQD traded between $111.10 and $113.75. ATM implied volatility averaged 7.5%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 2.5% (HV 20d: 5.0%). Max pain ranged from $110.00 to $111.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 4.15.

Notable Days

  • 2024-09-17: Highest Volume — 165,946 contracts
  • 2024-09-27: Largest IV spike — 7.6% change
  • 2024-09-03: Highest IV Rank — 32.9%
  • 2024-09-03: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.92$111.10$113.75$111.10$112.97
Max Pain$110.80$110.00$111.00$110.00$111.00
ATM IV7.5%6.6%8.6%8.6%7.3%
Expected Move2.1%1.9%2.5%2.5%2.1%
HV 20d5.0%4.2%5.9%5.9%4.6%
HV 60d6.4%5.6%6.9%6.9%5.6%
IV Rank18.3%5.7%32.9%32.9%15.1%
IV Percentile19.8%1.6%49.6%49.6%12.3%
Term Structure0.0%-0.2%0.7%-0.0%0.7%
VWIV7.5%6.8%9.1%8.7%7.1%
Skew 25d0.6%0.2%1.1%0.9%0.8%
Skew 10d1.5%-2.3%3.4%3.2%2.0%
Call IV 25d7.3%6.3%8.2%8.2%7.0%
Put IV 25d7.9%6.6%9.1%9.1%7.8%
Bid-Ask Spread %18.2713.3828.5319.2720.77
Gamma HHI0.150.120.200.130.12
Net GEX404.5M225.5M583.3M304.0M398.9M
Net DEX-2.09B-3.06B-883.8M-1.24B-1.18B
Net VEX-6.4M-8.0M-5.2M-6.8M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.0445.230.403.87
Total Volume49,801.97,703165,94629,7268,130
Total OI1,031,467.3782,3681,220,176982,121833,535

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$111.10$110.008.6%2.5%5.9%32.9%8.7%0.9%-0.0%304.0M-1.24B-6.8M0.4019.2721,2388,488407,119575,002
2024-09-04$111.84$110.008.5%2.5%5.9%31.5%9.1%1.0%-0.2%433.5M-1.80B-6.9M0.6716.4359,02039,588428,283575,051
2024-09-05$112.38$110.008.1%2.2%5.5%27.2%7.7%1.1%-0.2%497.0M-2.20B-7.0M1.5018.5238,43957,546454,656580,049
2024-09-06$112.31$110.008.3%2.3%5.6%28.7%8.2%1.0%-0.2%431.4M-1.98B-8.0M5.6615.746,72038,065482,927640,418
2024-09-09$112.63$111.007.7%2.1%5.5%20.7%7.1%0.9%-0.2%511.2M-2.30B-7.0M0.9316.946,1315,696473,556626,249
2024-09-10$112.88$111.007.4%2.1%5.4%17.7%7.5%0.8%-0.1%583.3M-2.57B-6.8M5.5315.531,83710,167479,206630,336
2024-09-11$112.90$111.007.6%2.2%5.1%19.6%7.4%0.6%-0.0%578.0M-2.65B-6.3M0.3417.7347,15716,152473,081635,259
2024-09-12$112.90$111.007.4%2.1%4.9%17.6%7.4%0.5%-0.1%556.3M-2.57B-6.9M0.1815.6065,66011,945486,567649,680
2024-09-13$113.23$111.007.7%2.2%4.8%20.6%7.5%0.5%-0.1%567.9M-2.86B-6.5M2.9517.4518,78155,328492,675660,165
2024-09-16$113.75$111.007.6%2.2%4.9%19.8%7.6%0.2%-0.2%466.0M-2.99B-6.5M1.7614.5931,53455,473482,498651,752
2024-09-17$113.69$111.007.7%2.2%4.9%21.4%7.7%0.4%-0.0%461.0M-3.06B-6.2M0.3815.88120,30545,641497,740652,418
2024-09-18$113.38$111.007.3%2.1%5.0%15.8%7.4%0.6%-0.2%329.3M-2.66B-6.6M2.6214.126,46916,957514,919680,350
2024-09-19$113.31$111.007.0%2.0%5.0%12.2%6.9%0.5%-0.1%268.2M-2.80B-6.0M0.0916.2220,9631,928523,617685,250
2024-09-20$113.44$111.007.2%2.1%4.6%14.1%7.4%0.8%-0.1%269.5M-2.98B-5.9M0.1813.3825,4764,514534,941685,235
2024-09-23$113.32$111.007.0%2.0%4.2%11.0%7.3%0.5%0.4%359.7M-1.42B-5.8M45.2319.211,49467,569385,193397,175
2024-09-24$113.50$111.007.0%2.0%4.2%11.2%7.2%0.5%0.4%342.2M-1.43B-6.0M4.1820.581,4866,217386,043438,383
2024-09-25$112.82$111.006.9%2.0%4.8%10.5%6.8%0.3%0.5%225.5M-883.8M-6.1M0.0428.5339,4851,471387,723441,484
2024-09-26$112.80$111.006.6%1.9%4.7%5.7%6.9%0.3%0.4%238.4M-1.00B-5.5M6.1323.323,44521,110405,546442,314
2024-09-27$113.16$111.007.1%2.1%4.8%12.6%7.2%0.5%0.3%268.9M-1.26B-5.7M0.2825.626,5651,848403,716449,235
2024-09-30$112.97$111.007.3%2.1%4.6%15.1%7.1%0.8%0.7%398.9M-1.18B-5.2M3.8720.771,6716,459404,535429,000