LQD Options History — February 2007 In February 2007, LQD traded between $106.28 and $108.65. ATM implied volatility averaged 4.3%. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.4% (HV 20d: 3.9%). Max pain ranged from $105.00 to $108.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.25.
Notable Days 2007-02-13 : Highest Volume — 40 contracts2007-02-05 : Largest IV drop — 41.7% change2007-02-16 : Largest Expected Move — 1.9%Monthly Statistics Metric Avg Min Max Open Close Price $107.25 $106.28 $108.65 $106.28 $108.43 Max Pain $105.16 $105.00 $108.00 $108.00 $105.00 ATM IV 4.3% 3.2% 6.5% 5.0% 3.8% Expected Move 1.2% 1.0% 1.9% 1.4% 1.1% HV 20d 3.9% 3.3% 4.3% 4.3% 4.3% Term Structure -0.4% -2.8% 1.6% -0.8% -0.1% VWIV 4.3% 3.5% 4.9% 4.9% 3.8% Skew 25d 1.0% -0.1% 3.7% 0.7% 0.1% Skew 10d 1.3% -0.3% 2.8% -0.3% 0.5% Call IV 25d 3.4% 2.1% 4.5% 3.7% 4.5% Put IV 25d 4.5% 3.1% 5.9% 4.4% 4.6% Bid-Ask Spread % 95.99 53.30 127.63 94.95 98.28 Gamma HHI 0.27 0.21 0.36 0.27 0.34 Net GEX 974.0K -67.2K 1.7M 62.3K 1.6M Net DEX -2.2M -5.7M 1.0M 1.0M -5.1M Net VEX -21.7K -27.8K -17.5K -25.3K -17.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.25 0.00 2.00 0.00 0.00 Total Volume 14 0 40 0 12 Total OI 1,987.053 1,583 2,254 2,245 1,664
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-02-01 $106.28 $108.00 5.0% 1.4% 4.3% 0.0% 0.0% 0.7% -0.8% 62.3K 1.0M -25.3K 0.00 94.95 0 0 906 1,339 2007-02-02 $106.38 $105.00 5.5% 1.2% 3.3% 0.0% 0.0% 1.3% -0.5% 257.3K -133.4K -26.0K 0.00 99.85 15 0 906 1,262 2007-02-05 $106.52 $105.00 3.2% 1.2% 3.4% 0.0% 0.0% 0.6% -0.7% -67.2K -102.0K -27.8K 0.00 105.39 0 0 927 1,262 2007-02-06 $106.80 $105.00 4.5% 1.1% 3.5% 0.0% 0.0% 0.5% -0.3% 808.0K -1.0M -22.3K 0.00 93.44 26 0 921 1,262 2007-02-07 $106.95 $105.00 4.2% 1.2% 3.6% 0.0% 0.0% 1.3% -0.2% 1.2M -1.6M -22.7K 0.00 83.58 4 0 921 1,262 2007-02-08 $107.07 $105.00 4.9% 1.4% 3.6% 0.0% 4.9% 1.8% -0.6% 1.3M -1.8M -23.1K 0.00 88.50 7 0 925 1,262 2007-02-09 $106.62 $105.00 3.5% 1.0% 3.7% 0.0% 3.8% 0.9% 0.4% 555.9K -623.3K -22.5K 0.00 94.92 6 0 932 1,262 2007-02-12 $106.64 $105.00 3.7% 1.1% 3.7% 0.0% 0.0% -0.1% -0.1% 687.4K -640.3K -21.4K 0.00 94.14 5 0 937 1,252 2007-02-13 $106.57 $105.00 3.8% 1.1% 3.7% 0.0% 0.0% 0.2% 0.0% 789.0K -381.9K -20.3K 0.00 94.59 0 40 942 1,252 2007-02-14 $107.18 $105.00 5.0% 1.4% 4.2% 0.0% 4.8% 0.6% -0.9% 1.7M -1.8M -22.6K 0.00 91.48 10 0 942 1,292 2007-02-15 $107.38 $105.00 5.0% 1.4% 4.1% 0.0% 4.9% 1.8% -1.0% 1.5M -2.9M -21.1K 2.00 53.30 5 10 947 1,292 2007-02-16 $107.49 $105.00 6.5% 1.9% 4.1% 0.0% 0.0% 3.7% -2.8% 573.5K -3.3M -22.9K 0.00 127.63 19 0 952 1,302 2007-02-20 $107.66 $105.00 3.8% 1.1% 4.1% 0.0% 0.0% 1.0% -0.2% 1.2M -3.1M -19.9K 0.00 94.28 6 0 840 743 2007-02-21 $107.59 $105.00 3.5% 1.0% 4.0% 0.0% 0.0% 1.4% -0.1% 1.3M -3.2M -19.4K 0.00 93.45 12 0 846 743 2007-02-22 $107.44 $105.00 4.3% 1.2% 4.0% 0.0% 0.0% 2.0% -0.3% 1.3M -2.8M -20.3K 0.50 98.44 20 10 854 743 2007-02-23 $107.79 $105.00 3.8% 1.1% 3.9% 0.0% 0.0% 1.0% -0.6% 1.2M -3.6M -19.5K 0.00 99.80 15 0 854 753 2007-02-26 $108.23 $105.00 3.6% 1.0% 4.1% 0.0% 0.0% 0.3% -0.2% 1.4M -4.5M -19.1K 0.00 101.13 11 0 869 753 2007-02-27 $108.65 $105.00 3.6% 1.0% 4.2% 0.0% 3.5% 0.6% 1.6% 1.2M -5.7M -17.5K 1.54 116.73 13 20 880 753 2007-02-28 $108.43 $105.00 3.8% 1.1% 4.3% 0.0% 3.8% 0.1% -0.1% 1.6M -5.1M -17.9K 0.00 98.28 12 0 891 773
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