LQD Options History — December 2007

In December 2007, LQD traded between $103.14 and $106.25. ATM implied volatility averaged 6.8%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 3.9% (HV 20d: 10.6%). Max pain ranged from $103.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.57.

Notable Days

2007-12-10: Highest Volume — 35 contracts
2007-12-26: Largest IV spike — 69.4% change
2007-12-31: Highest IV Rank — 42.7%
2007-12-31: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.74	$103.14	$106.25	$106.20	$104.84
Max Pain	$103.50	$103.00	$105.00	$105.00	$103.00
ATM IV	6.8%	4.2%	10.4%	6.9%	10.4%
Expected Move	1.9%	1.2%	3.0%	2.0%	3.0%
HV 20d	10.6%	9.2%	12.2%	9.9%	9.2%
HV 60d	8.5%	7.8%	9.0%	7.9%	8.6%
IV Rank	23.0%	9.1%	42.7%	23.5%	42.7%
IV Percentile	82.8%	40.4%	98.8%	95.7%	98.8%
Term Structure	-0.9%	-5.7%	4.7%	4.7%	-3.5%
VWIV	4.4%	2.5%	5.5%	2.5%	5.5%
Skew 25d	0.5%	-2.0%	2.3%	0.1%	0.2%
Skew 10d	1.0%	-4.4%	13.2%	0.7%	0.6%
Call IV 25d	7.9%	3.3%	14.8%	14.8%	14.1%
Put IV 25d	8.4%	3.6%	14.8%	14.8%	14.3%
Bid-Ask Spread %	112.32	52.67	158.09	141.50	149.54
Gamma HHI	0.29	0.19	0.52	0.30	0.20
Net GEX	340.8K	88.4K	727.5K	238.0K	137.9K
Net DEX	-939.3K	-3.3M	421.6K	-2.7M	-849.8K
Net VEX	-12.6K	-15.7K	-10.2K	-15.7K	-11.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.00	10.67	0.00	2.50
Total Volume	6	0	35	14	0
Total OI	1,049.55	653	1,195	1,172	662

Daily Data (20 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
2007-12-03	$106.20	$105.00	6.9%	2.0%	9.9%	23.5%	2.5%	0.1%	4.7%	238.0K	-2.7M	-15.7K	0.00	141.50	14	0	667	505
2007-12-04	$106.25	$105.00	5.2%	1.5%	9.9%	14.5%	0.0%	-0.1%	-0.2%	510.0K	-3.3M	-14.0K	0.00	52.67	10	0	674	505
2007-12-05	$105.85	$105.00	4.8%	1.4%	9.7%	12.2%	0.0%	-2.0%	0.4%	688.8K	-2.8M	-12.9K	0.00	124.38	0	0	684	493
2007-12-06	$105.07	$105.00	5.4%	1.5%	10.1%	15.6%	0.0%	1.1%	-0.3%	551.8K	-1.5M	-14.5K	0.00	88.33	0	0	684	493
2007-12-07	$104.17	$0.00	5.2%	1.6%	10.5%	14.5%	0.0%	1.1%	-0.2%	356.4K	-166.6K	-13.6K	0.00	70.59	1	0	684	493
2007-12-10	$104.24	$0.00	6.3%	1.7%	10.4%	20.2%	0.0%	2.1%	-0.4%	291.1K	212.3K	-13.1K	10.67	65.40	3	32	683	493
2007-12-11	$105.25	$0.00	10.2%	2.1%	11.0%	41.5%	0.0%	0.1%	-2.1%	317.6K	-1.9M	-13.9K	0.00	156.55	0	0	686	509
2007-12-12	$104.92	$0.00	5.6%	1.5%	10.9%	16.5%	5.1%	1.6%	-0.4%	505.5K	-854.5K	-13.0K	0.00	117.98	1	0	686	499
2007-12-13	$104.32	$103.00	7.5%	2.1%	11.0%	26.8%	0.0%	0.0%	-2.6%	269.3K	217.0K	-12.7K	0.00	154.60	0	0	687	499
2007-12-14	$103.14	$103.00	4.2%	1.2%	11.6%	9.1%	0.0%	-0.9%	-1.1%	303.7K	421.6K	-10.2K	0.00	73.75	0	10	687	499
2007-12-17	$104.15	$103.00	5.5%	1.6%	12.2%	16.5%	0.0%	1.6%	-0.2%	301.7K	338.3K	-11.3K	0.00	87.23	0	0	687	489
2007-12-18	$104.46	$103.00	5.6%	1.6%	11.9%	16.5%	4.5%	2.3%	-0.0%	395.3K	-358.2K	-11.6K	0.00	81.28	2	0	687	479
2007-12-19	$105.28	$103.00	5.1%	1.5%	12.0%	14.0%	0.0%	-0.1%	0.0%	727.5K	-1.6M	-11.2K	0.00	111.54	24	0	687	479
2007-12-20	$104.77	$103.00	8.3%	2.4%	11.9%	31.0%	0.0%	0.1%	-5.7%	422.7K	-1.2M	-14.2K	2.50	158.09	4	10	711	479
2007-12-21	$104.66	$103.00	4.7%	1.3%	11.7%	11.7%	0.0%	1.7%	-0.5%	248.1K	-321.9K	-11.4K	0.00	73.20	0	0	711	481
2007-12-24	$104.13	$103.00	5.5%	1.6%	10.0%	16.3%	5.5%	0.7%	0.1%	183.3K	-593.5K	-10.6K	0.00	75.34	1	0	380	273
2007-12-26	$104.16	$103.00	9.4%	2.7%	9.7%	36.9%	0.0%	0.0%	-2.8%	138.8K	-563.7K	-11.7K	2.50	156.48	2	5	381	273
2007-12-27	$104.31	$103.00	9.5%	2.7%	9.4%	37.7%	0.0%	0.3%	-0.8%	140.9K	-490.6K	-11.6K	0.00	155.92	0	0	383	278
2007-12-28	$104.64	$103.00	10.3%	3.0%	9.4%	41.9%	0.0%	0.2%	-3.2%	88.4K	-878.1K	-12.6K	0.00	152.01	0	1	383	278
2007-12-31	$104.84	$103.00	10.4%	3.0%	9.2%	42.7%	0.0%	0.2%	-3.5%	137.9K	-849.8K	-11.2K	0.00	149.54	0	0	383	279