LQD Options History — January 2008

In January 2008, LQD traded between $105.73 and $107.53. ATM implied volatility averaged 6.2%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded below realized volatility by 2.5% (HV 20d: 8.7%). Max pain ranged from $103.00 to $107.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.86.

Notable Days

2008-01-02: Highest Volume — 281 contracts
2008-01-24: Largest IV spike — 42.7% change
2008-01-24: Highest IV Rank — 37.0%
2008-01-24: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.65	$105.73	$107.53	$106.08	$107.53
Max Pain	$106.62	$103.00	$107.00	$103.00	$107.00
ATM IV	6.2%	4.8%	9.4%	6.2%	4.8%
Expected Move	1.8%	1.4%	2.7%	1.8%	1.4%
HV 20d	8.7%	7.1%	10.6%	10.2%	7.5%
HV 60d	9.0%	8.8%	9.3%	8.9%	9.1%
IV Rank	19.7%	12.4%	37.0%	20.0%	12.4%
IV Percentile	84.3%	50.4%	96.8%	90.0%	50.4%
Term Structure	-0.2%	-3.1%	2.0%	0.3%	0.5%
VWIV	6.7%	4.5%	11.7%	4.8%	4.5%
Skew 25d	1.7%	0.4%	5.8%	0.5%	1.0%
Skew 10d	1.1%	-1.0%	3.8%	0.4%	0.6%
Call IV 25d	5.0%	3.2%	8.0%	5.9%	5.1%
Put IV 25d	6.7%	5.6%	13.8%	6.4%	6.1%
Bid-Ask Spread %	75.84	49.52	148.59	67.06	69.39
Gamma HHI	0.21	0.17	0.30	0.22	0.22
Net GEX	176.8K	-58.0K	394.9K	113.1K	-58.0K
Net DEX	-2.2M	-3.0M	-1.4M	-1.8M	-2.7M
Net VEX	-10.7K	-12.8K	-8.3K	-9.7K	-8.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.00	10.00	0.33	4.00
Total Volume	23.619	0	281	281	22
Total OI	880.619	662	965	662	965

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
2008-01-02	$106.08	$103.00	6.2%	1.8%	10.2%	20.0%	4.8%	0.5%	0.3%	113.1K	-1.8M	-9.7K	0.33	67.06	211	70	383	279
2008-01-03	$105.73	$103.00	5.9%	1.7%	10.2%	18.3%	0.0%	0.9%	-0.1%	235.5K	-1.9M	-12.1K	0.00	60.42	0	0	524	333
2008-01-04	$106.60	$107.00	6.1%	1.7%	10.6%	19.2%	0.0%	1.4%	-0.4%	277.6K	-2.3M	-12.5K	0.00	49.52	0	0	524	333
2008-01-07	$106.47	$107.00	5.9%	1.8%	10.2%	18.5%	0.0%	1.3%	2.0%	321.7K	-2.1M	-12.8K	10.00	72.29	1	10	524	333
2008-01-08	$106.27	$107.00	6.7%	1.8%	9.6%	22.6%	0.0%	1.8%	-0.1%	238.6K	-2.3M	-11.5K	0.00	80.49	0	0	525	343
2008-01-09	$106.05	$107.00	6.4%	1.8%	9.7%	21.0%	6.3%	2.0%	-0.8%	201.5K	-1.9M	-11.3K	0.00	83.12	5	0	525	343
2008-01-10	$105.74	$107.00	5.8%	1.7%	9.2%	17.7%	0.0%	0.4%	-0.2%	198.7K	-1.4M	-12.4K	0.00	120.19	0	0	530	353
2008-01-11	$106.51	$107.00	4.9%	1.4%	9.4%	13.0%	0.0%	1.6%	-0.3%	277.1K	-2.4M	-10.9K	0.00	69.43	0	1	530	343
2008-01-14	$106.07	$107.00	6.2%	1.8%	9.3%	19.8%	7.7%	0.6%	0.0%	222.9K	-1.8M	-11.0K	2.40	106.92	10	24	530	344
2008-01-15	$106.64	$107.00	5.9%	1.7%	8.2%	18.2%	0.0%	1.5%	-0.2%	300.5K	-2.4M	-10.8K	0.00	59.78	0	0	540	368
2008-01-16	$106.48	$107.00	6.3%	1.8%	7.7%	20.6%	0.0%	2.4%	-0.2%	281.9K	-2.2M	-11.0K	0.00	57.93	2	0	540	368
2008-01-17	$106.98	$107.00	5.9%	1.7%	7.8%	18.4%	0.0%	1.5%	-0.2%	385.0K	-2.7M	-10.4K	0.00	62.72	10	0	540	368
2008-01-18	$106.80	$107.00	5.6%	1.6%	7.4%	16.9%	0.0%	2.4%	0.3%	394.9K	-2.4M	-10.7K	0.00	57.49	0	10	540	368
2008-01-22	$107.03	$107.00	5.6%	1.6%	7.1%	16.9%	0.0%	1.9%	0.2%	54.4K	-2.9M	-8.3K	0.00	51.13	0	20	468	378
2008-01-23	$107.17	$107.00	6.6%	1.9%	7.1%	22.0%	0.0%	2.4%	-1.0%	39.5K	-2.6M	-9.8K	0.00	74.52	9	0	468	398
2008-01-24	$106.26	$107.00	9.4%	2.7%	7.6%	37.0%	11.7%	5.8%	-3.1%	97.4K	-1.5M	-12.6K	0.00	148.59	10	0	477	398
2008-01-25	$107.41	$107.00	6.7%	1.9%	8.3%	22.4%	0.0%	2.2%	-0.4%	75.6K	-2.5M	-11.1K	0.00	112.14	0	21	487	398
2008-01-28	$107.38	$107.00	6.3%	1.8%	8.4%	20.6%	4.7%	1.3%	-0.5%	35.4K	-3.0M	-8.4K	4.00	51.70	10	40	487	418
2008-01-29	$107.20	$107.00	6.0%	1.7%	8.4%	18.7%	7.3%	2.3%	0.2%	33.6K	-2.2M	-9.3K	0.00	55.65	0	10	497	458
2008-01-30	$107.18	$107.00	6.1%	1.7%	8.4%	19.4%	0.0%	1.3%	0.0%	-14.7K	-2.3M	-8.9K	0.00	82.20	0	0	497	468
2008-01-31	$107.53	$107.00	4.8%	1.4%	7.5%	12.4%	4.5%	1.0%	0.5%	-58.0K	-2.7M	-8.6K	0.00	69.39	0	22	497	468