LQD Options History — February 2008

In February 2008, LQD traded between $104.20 and $107.57. ATM implied volatility averaged 5.7%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded below realized volatility by 2.6% (HV 20d: 8.3%). Max pain ranged from $104.00 to $107.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.31.

Notable Days

2008-02-26: Highest Volume — 200 contracts
2008-02-13: Largest IV spike — 48.5% change
2008-02-13: Highest IV Rank — 27.2%
2008-02-15: Largest Expected Move — 2.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.73	$104.20	$107.57	$107.49	$106.28
Max Pain	$104.15	$104.00	$107.00	$107.00	$104.00
ATM IV	5.7%	4.3%	7.6%	6.1%	5.1%
Expected Move	1.7%	1.2%	2.1%	1.8%	1.5%
HV 20d	8.3%	6.9%	9.4%	7.3%	9.4%
HV 60d	9.2%	8.8%	9.6%	9.1%	9.0%
IV Rank	17.5%	10.0%	27.2%	19.5%	14.1%
IV Percentile	72.5%	38.1%	94.4%	86.1%	57.1%
Term Structure	-0.1%	-1.1%	1.3%	-0.2%	0.8%
VWIV	5.6%	4.3%	7.6%	5.6%	5.1%
Skew 25d	1.3%	-0.1%	3.3%	1.2%	1.3%
Skew 10d	1.6%	-2.2%	4.2%	2.1%	0.3%
Call IV 25d	5.1%	3.5%	6.3%	4.5%	3.5%
Put IV 25d	6.4%	4.8%	7.5%	5.7%	4.8%
Bid-Ask Spread %	59.34	38.95	101.56	101.56	63.69
Gamma HHI	0.29	0.20	0.39	0.36	0.37
Net GEX	15.9K	-245.6K	531.6K	-245.6K	531.6K
Net DEX	-471.2K	-2.5M	934.1K	-2.0M	-2.5M
Net VEX	-8.2K	-10.2K	-6.7K	-7.7K	-9.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.31	0.00	25.00	2.00	0.07
Total Volume	35.1	0	200	45	43
Total OI	939.9	772	1,118	869	1,118

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
2008-02-01	$107.49	$107.00	6.1%	1.8%	7.3%	19.5%	5.6%	1.2%	-0.2%	-245.6K	-2.0M	-7.7K	2.00	101.56	15	30	379	490
2008-02-04	$107.20	$104.00	5.6%	1.8%	6.9%	16.8%	5.7%	1.2%	-0.6%	-198.8K	-1.4M	-8.3K	0.67	48.13	3	2	394	520
2008-02-05	$107.57	$104.00	5.0%	1.6%	7.0%	13.5%	0.0%	0.8%	-0.4%	-239.4K	-1.7M	-7.3K	0.00	54.13	0	0	397	521
2008-02-06	$106.99	$104.00	5.6%	1.7%	7.2%	16.8%	0.0%	1.1%	-0.7%	-156.3K	-1.1M	-8.1K	0.00	49.98	0	20	397	521
2008-02-07	$105.76	$104.00	6.1%	1.9%	8.3%	19.5%	4.3%	0.7%	-0.8%	-140.1K	575.3K	-7.9K	0.08	52.79	12	1	397	541
2008-02-08	$106.16	$104.00	5.9%	1.8%	8.4%	18.5%	0.0%	1.2%	-0.6%	-129.0K	-127.9K	-7.8K	0.00	45.96	0	2	409	531
2008-02-11	$106.48	$104.00	4.9%	1.8%	8.0%	12.7%	6.1%	1.0%	-0.3%	-120.4K	-470.1K	-7.3K	0.00	46.12	10	0	409	530
2008-02-12	$106.33	$104.00	5.1%	1.8%	7.9%	14.0%	0.0%	0.9%	-0.5%	-100.1K	-272.8K	-7.1K	0.00	54.58	0	0	419	530
2008-02-13	$105.26	$104.00	7.6%	1.9%	8.4%	27.2%	7.6%	1.6%	-0.8%	-112.8K	562.6K	-7.3K	0.00	44.80	0	1	419	530
2008-02-14	$105.03	$104.00	6.7%	1.9%	8.5%	22.4%	5.3%	2.0%	-0.9%	-89.5K	934.1K	-7.2K	0.00	68.16	4	0	419	529
2008-02-15	$105.37	$104.00	7.4%	2.1%	8.3%	26.4%	0.0%	1.3%	-1.1%	-114.2K	859.1K	-7.7K	1.30	99.91	40	52	423	529
2008-02-19	$104.33	$104.00	6.7%	1.9%	9.0%	22.8%	5.7%	1.4%	-0.4%	-82.7K	318.5K	-7.9K	0.60	38.95	25	15	335	437
2008-02-20	$104.56	$104.00	6.3%	1.8%	9.0%	20.4%	6.1%	1.1%	-0.2%	-84.7K	237.2K	-8.2K	25.00	45.03	1	25	358	450
2008-02-21	$105.28	$104.00	5.3%	1.5%	9.4%	15.1%	5.2%	1.1%	0.7%	-69.1K	-477.2K	-6.7K	0.19	49.12	147	28	357	437
2008-02-22	$104.87	$104.00	4.3%	1.2%	9.0%	10.0%	0.0%	3.3%	1.1%	218.3K	-430.8K	-9.7K	0.00	79.23	0	0	482	465
2008-02-25	$104.20	$104.00	5.3%	1.5%	8.1%	15.4%	0.0%	1.5%	0.6%	234.6K	72.9K	-8.6K	0.00	52.66	10	0	482	465
2008-02-26	$104.95	$104.00	5.2%	1.5%	8.7%	14.5%	5.5%	-0.1%	1.3%	271.5K	-442.0K	-8.3K	0.05	58.50	190	10	487	465
2008-02-27	$104.85	$104.00	5.4%	1.5%	8.7%	15.6%	0.0%	2.0%	0.5%	424.4K	-574.0K	-10.0K	0.00	81.48	0	0	638	475
2008-02-28	$105.61	$104.00	5.2%	1.5%	9.2%	14.6%	4.9%	1.1%	0.6%	519.2K	-1.5M	-10.2K	0.00	52.06	16	0	638	475
2008-02-29	$106.28	$104.00	5.1%	1.5%	9.4%	14.1%	5.1%	1.3%	0.8%	531.6K	-2.5M	-9.8K	0.07	63.69	40	3	643	475