LQD Options History — September 2007

In September 2007, LQD traded between $104.08 and $105.56. ATM implied volatility averaged 4.9%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 2.2% (HV 20d: 7.1%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2007-09-12: Highest Volume — 95 contracts
2007-09-18: Largest IV spike — 47.2% change
2007-09-18: Highest IV Rank — 34.8%
2007-09-18: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.85	$104.08	$105.56	$104.49	$105.49
Max Pain	$105.00	$105.00	$105.00	$105.00	$105.00
ATM IV	4.9%	3.7%	6.0%	5.6%	5.5%
Expected Move	1.4%	1.1%	1.7%	1.6%	1.6%
HV 20d	7.1%	6.2%	7.9%	7.5%	6.2%
HV 60d	6.2%	6.0%	6.4%	6.3%	6.0%
IV Rank	24.3%	12.5%	34.8%	31.0%	30.3%
IV Percentile	68.9%	22.7%	93.3%	88.1%	86.6%
Term Structure	-0.4%	-3.0%	2.1%	-0.9%	-0.2%
VWIV	4.9%	4.2%	6.1%	4.5%	5.7%
Skew 25d	1.0%	-0.8%	2.6%	0.6%	-0.4%
Skew 10d	0.4%	-0.4%	1.4%	-0.1%	0.4%
Call IV 25d	4.6%	3.6%	5.7%	4.8%	5.4%
Put IV 25d	5.5%	4.7%	6.9%	5.4%	5.0%
Bid-Ask Spread %	97.56	79.80	144.39	110.03	100.48
Gamma HHI	0.24	0.21	0.30	0.23	0.23
Net GEX	378.9K	256.1K	561.3K	304.6K	346.3K
Net DEX	-1.2M	-3.1M	593.2K	-503.9K	-3.1M
Net VEX	-23.4K	-25.3K	-20.5K	-20.5K	-25.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	5.00	0.00	3.33
Total Volume	28.526	0	95	12	65
Total OI	1,516.632	1,159	1,751	1,523	1,260

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
2007-09-04	$104.49	$105.00	5.6%	1.6%	7.5%	31.0%	0.0%	0.6%	-0.9%	304.6K	-503.9K	-20.5K	0.00	110.03	12	0	865	658
2007-09-05	$104.90	$105.00	5.1%	1.5%	7.5%	26.0%	0.0%	-0.2%	-0.0%	337.0K	-780.5K	-23.6K	0.30	109.27	10	3	873	658
2007-09-06	$104.66	$105.00	5.2%	1.5%	7.6%	26.9%	0.0%	-0.8%	-0.3%	316.6K	-549.1K	-24.0K	0.00	111.39	0	0	873	661
2007-09-07	$105.23	$105.00	5.0%	1.4%	7.8%	25.1%	4.5%	1.8%	-0.2%	488.3K	-1.6M	-21.2K	0.36	87.95	28	10	873	661
2007-09-10	$105.54	$105.00	3.7%	1.1%	7.5%	12.5%	4.4%	1.6%	0.3%	468.1K	-1.9M	-21.9K	0.33	91.84	3	1	900	671
2007-09-11	$104.93	$105.00	4.2%	1.1%	7.9%	17.4%	4.5%	1.2%	0.5%	439.7K	-1.7M	-21.5K	0.12	89.28	26	3	897	671
2007-09-12	$104.50	$105.00	5.7%	1.4%	7.8%	31.4%	5.2%	1.2%	-3.0%	561.3K	-906.6K	-22.2K	1.71	79.80	35	60	914	671
2007-09-13	$104.35	$105.00	5.1%	1.5%	7.7%	26.1%	0.0%	1.6%	-1.0%	276.5K	-217.1K	-24.6K	0.00	90.08	0	0	945	721
2007-09-14	$104.64	$105.00	4.9%	1.4%	6.8%	23.9%	0.0%	1.3%	0.5%	440.0K	-491.1K	-23.6K	0.00	89.34	10	0	945	721
2007-09-17	$104.60	$105.00	4.1%	1.2%	6.8%	15.8%	0.0%	1.5%	0.1%	451.4K	258.9K	-22.6K	0.00	93.10	10	0	955	721
2007-09-18	$104.85	$105.00	6.0%	1.7%	6.4%	34.8%	0.0%	-0.4%	-1.4%	375.9K	-566.0K	-23.5K	4.00	144.39	5	20	975	721
2007-09-19	$104.27	$105.00	5.1%	1.5%	6.7%	25.6%	0.0%	0.9%	-0.7%	350.7K	-38.2K	-23.1K	0.00	91.87	2	0	970	741
2007-09-20	$104.08	$105.00	5.5%	1.6%	6.7%	30.1%	0.0%	-0.4%	-0.0%	256.1K	593.2K	-23.8K	0.00	92.87	47	0	970	741
2007-09-21	$104.57	$105.00	3.8%	1.1%	6.9%	12.7%	0.0%	1.8%	2.1%	465.7K	-747.1K	-24.2K	0.00	93.83	67	0	1,010	741
2007-09-24	$105.09	$105.00	5.1%	1.5%	7.1%	25.9%	0.0%	1.5%	-0.4%	303.6K	-2.2M	-24.0K	0.43	96.50	35	15	730	429
2007-09-25	$105.03	$105.00	4.2%	1.2%	7.0%	16.6%	4.2%	1.9%	-0.8%	333.7K	-3.1M	-24.2K	0.44	96.16	34	15	760	444
2007-09-26	$105.29	$105.00	5.3%	1.5%	6.4%	28.4%	0.0%	2.6%	-1.2%	337.1K	-2.6M	-25.3K	0.00	93.98	0	2	784	450
2007-09-27	$105.56	$105.00	4.6%	1.3%	6.2%	21.3%	6.1%	1.2%	-0.9%	345.9K	-3.0M	-24.8K	5.00	91.51	4	20	784	452
2007-09-28	$105.49	$105.00	5.5%	1.6%	6.2%	30.3%	5.7%	-0.4%	-0.2%	346.3K	-3.1M	-25.0K	3.33	100.48	15	50	788	472