LQD Options History — July 2007

In July 2007, LQD traded between $103.00 and $103.92. ATM implied volatility averaged 4.8%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 1.4% (HV 20d: 6.3%). Max pain ranged from $104.00 to $104.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2007-07-25: Highest Volume — 244 contracts
2007-07-26: Largest IV spike — 97.7% change
2007-07-26: Highest IV Rank — 51.0%
2007-07-26: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.53	$103.00	$103.92	$103.85	$103.25
Max Pain	$104.00	$104.00	$104.00	$104.00	$104.00
ATM IV	4.8%	3.7%	7.6%	5.1%	4.5%
Expected Move	1.4%	1.1%	2.2%	1.5%	1.3%
HV 20d	6.3%	5.2%	7.1%	6.9%	5.2%
HV 60d	5.4%	5.1%	5.5%	5.1%	5.4%
IV Rank	23.0%	12.0%	51.0%	23.3%	19.7%
IV Percentile	65.9%	25.4%	98.6%	79.4%	66.7%
Term Structure	-0.8%	-2.9%	0.1%	-0.5%	-2.9%
VWIV	5.7%	4.2%	7.6%	5.1%	5.7%
Skew 25d	1.0%	-1.1%	2.5%	0.4%	-1.1%
Skew 10d	0.6%	-1.1%	5.4%	0.7%	0.3%
Call IV 25d	4.4%	2.8%	6.4%	6.1%	5.7%
Put IV 25d	5.4%	4.6%	7.2%	6.5%	4.6%
Bid-Ask Spread %	90.91	63.58	117.88	98.31	99.32
Gamma HHI	0.44	0.24	0.62	0.49	0.47
Net GEX	519.9K	287.7K	1.1M	323.0K	639.9K
Net DEX	1.3M	-627.1K	2.4M	1.3M	576.8K
Net VEX	-15.8K	-22.9K	-12.8K	-15.1K	-21.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.00	7.60	0.55	0.00
Total Volume	47.286	0	244	73	5
Total OI	1,290.81	1,125	1,490	1,169	1,479

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
2007-07-02	$103.85	$104.00	5.1%	1.5%	6.9%	0.0%	5.1%	0.4%	-0.5%	323.0K	1.3M	-15.1K	0.55	98.31	47	26	651	518
2007-07-03	$103.87	$104.00	5.3%	1.5%	6.8%	0.0%	0.0%	0.5%	-0.8%	325.4K	1.1M	-15.6K	0.40	99.47	5	2	689	526
2007-07-05	$103.20	$104.00	4.8%	1.4%	7.1%	23.3%	0.0%	0.3%	-0.1%	355.5K	2.1M	-14.8K	0.83	93.42	6	5	694	528
2007-07-06	$103.00	$104.00	5.4%	1.4%	6.1%	28.6%	0.0%	0.9%	-2.0%	335.7K	2.4M	-13.5K	7.60	86.27	5	38	700	518
2007-07-09	$103.21	$104.00	5.0%	1.4%	6.1%	24.6%	5.2%	1.7%	-0.6%	423.8K	2.3M	-13.7K	0.00	83.62	15	0	703	519
2007-07-10	$103.92	$104.00	5.7%	1.1%	6.5%	32.0%	4.5%	0.6%	-1.0%	456.2K	1.1M	-15.6K	0.00	90.97	22	0	718	519
2007-07-11	$103.45	$104.00	5.3%	1.4%	6.4%	27.8%	0.0%	0.7%	-0.3%	501.1K	1.8M	-13.8K	0.00	81.66	14	0	731	519
2007-07-12	$103.04	$104.00	4.9%	1.4%	6.4%	23.7%	5.5%	1.6%	-1.9%	455.4K	2.3M	-12.8K	0.00	86.22	0	30	745	519
2007-07-13	$103.49	$104.00	5.6%	1.6%	6.6%	30.9%	4.7%	1.5%	-0.8%	484.3K	2.0M	-13.8K	0.00	89.98	50	0	745	521
2007-07-16	$103.76	$104.00	4.0%	1.1%	6.5%	15.1%	0.0%	0.6%	-0.4%	653.1K	1.3M	-14.5K	0.00	83.97	0	0	778	521
2007-07-17	$103.54	$104.00	3.8%	1.1%	6.6%	13.2%	0.0%	1.1%	-0.1%	540.6K	1.4M	-14.9K	0.00	86.88	6	0	778	521
2007-07-18	$103.84	$104.00	3.8%	1.1%	6.2%	13.3%	0.0%	1.4%	-0.5%	818.7K	807.2K	-15.4K	1.50	63.58	2	3	778	521
2007-07-19	$103.62	$104.00	3.9%	1.1%	6.0%	13.8%	0.0%	2.5%	-0.2%	554.3K	1.4M	-14.4K	0.00	93.97	0	0	780	524
2007-07-20	$103.91	$104.00	3.9%	1.1%	6.0%	13.9%	0.0%	0.9%	-0.4%	1.1M	756.9K	-14.7K	0.07	64.45	28	2	780	524
2007-07-23	$103.79	$104.00	3.7%	1.1%	6.0%	12.0%	4.2%	1.5%	0.1%	287.7K	1.5M	-13.6K	0.13	94.58	86	11	643	482
2007-07-24	$103.66	$104.00	4.1%	1.2%	6.0%	16.1%	0.0%	2.1%	-0.0%	510.6K	1.3M	-14.7K	0.00	75.16	62	0	729	493
2007-07-25	$103.74	$104.00	3.9%	1.1%	6.0%	13.7%	0.0%	0.7%	0.0%	556.1K	665.9K	-16.7K	0.54	104.53	158	86	790	493
2007-07-26	$103.52	$104.00	7.6%	2.2%	6.0%	51.0%	7.6%	1.9%	-2.4%	395.9K	-627.1K	-22.9K	0.00	117.88	82	0	936	554
2007-07-27	$103.14	$104.00	5.5%	1.6%	6.1%	30.3%	6.7%	-0.6%	-1.8%	600.4K	1.2M	-19.4K	1.57	114.39	63	99	902	554
2007-07-30	$103.30	$104.00	5.9%	1.7%	5.8%	33.4%	7.3%	0.8%	-0.8%	627.5K	1.4M	-21.8K	0.17	100.46	30	5	905	579
2007-07-31	$103.25	$104.00	4.5%	1.3%	5.2%	19.7%	5.7%	-1.1%	-2.9%	639.9K	576.8K	-21.0K	0.00	99.32	5	0	895	584