LQD Options History — November 2007

In November 2007, LQD traded between $104.85 and $107.36. ATM implied volatility averaged 6.8%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.5% (HV 20d: 7.3%). Max pain ranged from $104.00 to $107.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.74.

Notable Days

2007-11-26: Highest Volume — 50 contracts
2007-11-09: Largest IV spike — 246.0% change
2007-11-09: Highest IV Rank — 100.0%
2007-11-21: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.80	$104.85	$107.36	$106.35	$106.62
Max Pain	$104.71	$104.00	$107.00	$107.00	$105.00
ATM IV	6.8%	4.0%	21.1%	5.1%	5.0%
Expected Move	1.5%	1.2%	2.0%	1.4%	1.4%
HV 20d	7.3%	6.0%	10.1%	6.2%	10.1%
HV 60d	7.1%	6.7%	7.9%	6.9%	7.9%
IV Rank	26.7%	8.4%	100.0%	25.5%	13.4%
IV Percentile	76.1%	32.9%	100.0%	72.9%	66.1%
Term Structure	-0.4%	-1.8%	1.2%	-0.4%	0.2%
VWIV	5.1%	2.8%	6.5%	3.5%	5.3%
Skew 25d	0.7%	-5.6%	4.3%	1.3%	0.8%
Skew 10d	2.0%	-6.3%	15.0%	-0.5%	0.8%
Call IV 25d	5.2%	3.0%	10.1%	3.8%	4.5%
Put IV 25d	5.9%	4.6%	10.7%	5.1%	5.3%
Bid-Ask Spread %	92.85	55.27	140.77	108.73	56.66
Gamma HHI	0.26	0.23	0.36	0.24	0.36
Net GEX	568.5K	320.9K	776.5K	434.6K	610.2K
Net DEX	-3.5M	-6.1M	-2.3M	-3.9M	-4.4M
Net VEX	-16.3K	-20.0K	-9.6K	-18.8K	-11.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	0.00	10.00	0.71	4.00
Total Volume	9.762	0	50	24	10
Total OI	1,245.381	1,205	1,285	1,205	1,285

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
2007-11-01	$106.35	$107.00	5.1%	1.4%	6.2%	25.5%	0.0%	1.3%	-0.4%	434.6K	-3.9M	-18.8K	0.71	108.73	14	10	748	457
2007-11-02	$105.69	$107.00	4.1%	1.2%	6.5%	16.4%	0.0%	-0.3%	-0.5%	533.6K	-3.4M	-19.2K	0.00	107.04	0	0	752	467
2007-11-05	$105.95	$104.00	4.9%	1.3%	6.4%	24.3%	3.5%	0.9%	-0.4%	544.1K	-3.6M	-17.9K	0.91	102.40	11	10	752	467
2007-11-06	$105.30	$104.00	5.3%	1.4%	6.6%	27.8%	0.0%	0.4%	-1.1%	580.2K	-3.0M	-20.0K	0.00	87.43	10	0	763	470
2007-11-07	$105.23	$104.00	6.2%	1.5%	6.5%	37.0%	5.3%	2.2%	-1.4%	460.4K	-3.6M	-15.0K	0.00	91.83	5	0	773	470
2007-11-08	$105.40	$104.00	6.1%	1.7%	6.5%	36.0%	0.0%	0.7%	0.5%	574.1K	-2.8M	-20.0K	0.00	94.28	0	0	778	470
2007-11-09	$105.87	$104.00	21.1%	1.7%	6.3%	100.0%	0.0%	4.3%	-1.8%	499.1K	-3.3M	-18.1K	0.00	140.77	0	10	778	470
2007-11-12	$105.83	$104.00	20.8%	1.8%	6.2%	98.0%	6.5%	1.9%	-1.2%	379.9K	-3.1M	-16.5K	10.00	133.73	2	20	778	480
2007-11-13	$105.30	$104.00	5.2%	1.5%	6.5%	14.4%	0.0%	-0.1%	-0.9%	647.0K	-2.6M	-18.6K	0.00	101.87	8	0	779	483
2007-11-14	$104.85	$104.00	5.2%	1.2%	6.4%	14.6%	0.0%	1.0%	-0.6%	700.1K	-2.3M	-18.7K	0.00	58.58	0	0	787	483
2007-11-15	$105.25	$104.00	5.4%	1.5%	6.6%	15.6%	0.0%	2.2%	-0.9%	671.8K	-2.8M	-16.1K	0.00	64.51	0	10	787	483
2007-11-16	$105.26	$104.00	5.0%	1.4%	6.0%	13.5%	5.3%	0.5%	-0.3%	776.5K	-2.7M	-18.4K	0.00	94.17	0	10	787	493
2007-11-19	$106.07	$105.00	5.3%	1.5%	6.7%	15.2%	0.0%	1.3%	-0.1%	620.0K	-3.5M	-17.8K	0.00	55.78	0	0	765	451
2007-11-20	$105.40	$105.00	5.3%	1.5%	6.8%	15.1%	0.0%	0.8%	0.4%	628.8K	-3.6M	-14.3K	0.00	55.27	0	0	765	451
2007-11-21	$106.14	$105.00	7.1%	2.0%	6.9%	24.6%	6.1%	-0.4%	1.2%	491.0K	-3.8M	-16.1K	0.00	124.83	1	0	765	451
2007-11-23	$105.61	$105.00	4.1%	1.2%	7.1%	8.5%	2.8%	2.9%	-0.1%	653.2K	-3.7M	-13.0K	0.00	64.82	4	0	766	451
2007-11-26	$107.36	$105.00	6.1%	1.8%	9.2%	19.5%	6.2%	-0.6%	-1.6%	320.9K	-6.1M	-9.6K	4.00	131.41	10	40	770	451
2007-11-27	$106.44	$105.00	5.9%	1.7%	9.8%	18.5%	0.0%	-5.6%	-0.4%	444.9K	-4.5M	-12.2K	0.00	136.14	0	0	780	491
2007-11-28	$105.70	$105.00	4.0%	1.2%	10.1%	8.4%	0.0%	0.3%	0.1%	694.9K	-3.0M	-15.0K	0.00	56.29	0	20	780	491
2007-11-29	$106.10	$105.00	5.1%	1.5%	10.0%	14.0%	0.0%	0.2%	0.2%	672.8K	-3.6M	-14.8K	0.00	83.25	0	0	780	505
2007-11-30	$106.62	$105.00	5.0%	1.4%	10.1%	13.4%	5.3%	0.8%	0.2%	610.2K	-4.4M	-11.8K	0.00	56.66	0	10	780	505