LQD Options History — June 2007 In June 2007, LQD traded between $103.00 and $105.20. ATM implied volatility averaged 5.3%. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 0.4% (HV 20d: 5.7%). Max pain ranged from $104.00 to $108.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 7.15.
Notable Days 2007-06-15 : Highest Volume — 200 contracts2007-06-21 : Largest IV spike — 168.6% change2007-06-21 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $104.09 $103.00 $105.20 $105.03 $104.58 Max Pain $104.52 $104.00 $108.00 $107.00 $104.00 ATM IV 5.3% 3.5% 12.6% 4.7% 3.5% Expected Move 1.4% 1.0% 3.6% 1.3% 1.0% HV 20d 5.7% 3.8% 6.8% 3.9% 6.5% HV 60d 4.5% 3.8% 5.0% 3.8% 5.0% Term Structure -1.5% -12.0% 0.7% 0.3% 0.7% VWIV 4.2% 3.2% 5.2% 3.7% 5.2% Skew 25d 0.1% -7.0% 2.8% -0.7% 0.7% Skew 10d -0.7% -11.4% 2.1% -0.7% -0.5% Call IV 25d 5.3% 3.4% 16.9% 4.9% 4.4% Put IV 25d 5.5% 3.1% 10.8% 4.2% 5.0% Bid-Ask Spread % 102.41 85.49 148.72 90.96 101.76 Gamma HHI 0.48 0.25 0.70 0.43 0.45 Net GEX -489.6K -2.0M 447.0K -505.0K 253.7K Net DEX 2.6M 217.4K 6.1M 2.9M 708.9K Net VEX -12.5K -16.4K -7.9K -13.2K -16.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.15 0.00 111.00 0.70 0.00 Total Volume 48.238 0 200 75 0 Total OI 1,417.905 792 1,831 1,810 1,170
Daily Data (21 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 2007-06-01 $105.03 $107.00 4.7% 1.3% 3.9% 0.0% 3.7% -0.7% 0.3% -505.0K 2.9M -13.2K 0.70 90.96 44 31 906 904 2007-06-04 $105.20 $105.00 4.0% 1.3% 3.8% 0.0% 3.7% 1.0% -0.6% -240.5K 2.2M -14.1K 0.00 93.83 32 0 868 877 2007-06-05 $104.86 $105.00 4.8% 1.0% 3.8% 0.0% 0.0% 1.0% -0.1% -445.3K 2.7M -12.0K 1.82 85.49 11 20 880 867 2007-06-06 $104.95 $105.00 4.8% 1.1% 3.9% 0.0% 0.0% 1.1% -0.3% -355.8K 2.5M -11.5K 0.00 86.39 14 0 877 852 2007-06-07 $103.83 $105.00 4.4% 1.0% 5.2% 0.0% 4.0% -1.1% 0.2% -1.7M 4.5M -10.6K 0.22 98.20 32 7 886 852 2007-06-08 $103.91 $104.00 6.7% 2.5% 5.2% 0.0% 0.0% 0.5% -4.3% -1.3M 3.9M -13.4K 0.00 121.88 0 9 914 837 2007-06-11 $103.56 $104.00 5.4% 1.1% 5.2% 0.0% 0.0% 1.3% 0.2% -1.7M 4.6M -10.6K 0.00 93.16 7 0 914 818 2007-06-12 $103.00 $104.00 7.2% 1.1% 5.4% 0.0% 0.0% -1.5% -1.0% -1.7M 6.1M -8.0K 7.50 93.82 2 15 921 818 2007-06-13 $103.45 $104.00 7.1% 1.5% 5.8% 0.0% 0.0% 1.6% -1.9% -1.6M 5.0M -7.9K 0.17 92.38 6 1 921 803 2007-06-14 $103.42 $104.00 4.4% 1.3% 5.7% 0.0% 4.8% 1.3% -1.1% -2.0M 5.0M -8.0K 3.23 101.28 31 100 929 802 2007-06-15 $103.83 $108.00 5.0% 1.4% 6.0% 0.0% 5.0% 1.2% -0.8% -1.7M 4.6M -9.6K 2.33 90.33 60 140 954 877 2007-06-18 $103.82 $104.00 7.9% 2.3% 6.0% 0.0% 0.0% 2.8% -7.1% 52.3K 1.9M -10.5K 0.10 136.29 148 15 421 371 2007-06-19 $104.49 $104.00 4.6% 1.3% 6.5% 0.0% 0.0% 1.7% -1.0% 408.4K 217.4K -13.6K 0.03 105.71 32 1 565 386 2007-06-20 $103.99 $104.00 4.7% 1.3% 6.6% 0.0% 3.2% 0.1% -0.9% 447.0K 938.9K -13.3K 1.04 102.15 27 28 585 388 2007-06-21 $103.72 $104.00 12.6% 3.6% 6.6% 0.0% 0.0% -7.0% -12.0% 270.3K 563.6K -15.8K 0.00 148.72 19 0 602 412 2007-06-22 $104.00 $104.00 3.9% 1.1% 6.7% 0.0% 0.0% 0.2% -0.4% 422.3K 906.2K -14.1K 111.00 98.64 1 111 620 412 2007-06-25 $104.12 $104.00 4.0% 1.2% 6.8% 0.0% 0.0% 0.1% -0.1% 225.8K 1.2M -15.4K 0.00 96.47 1 0 620 508 2007-06-26 $104.10 $104.00 4.0% 1.1% 6.8% 0.0% 5.2% -1.2% -0.4% 227.5K 1.3M -14.5K 0.00 106.02 0 10 620 508 2007-06-27 $104.10 $104.00 4.0% 1.1% 6.7% 0.0% 0.0% -0.2% -0.7% 233.6K 1.3M -15.0K 0.57 98.95 35 20 620 518 2007-06-28 $103.99 $104.00 4.1% 1.2% 6.7% 0.0% 0.0% -0.5% -0.6% 340.5K 1.6M -15.3K 0.00 108.27 3 0 655 518 2007-06-29 $104.58 $104.00 3.5% 1.0% 6.5% 0.0% 0.0% 0.7% 0.7% 253.7K 708.9K -16.4K 0.00 101.76 0 0 652 518
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