LQD Options History — March 2008

In March 2008, LQD traded between $102.90 and $105.83. ATM implied volatility averaged 7.7%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 2.3% (HV 20d: 10.0%). Max pain ranged from $102.00 to $106.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 4.28.

Notable Days

2008-03-03: Highest Volume — 553 contracts
2008-03-20: Largest IV spike — 134.0% change
2008-03-20: Highest IV Rank — 68.9%
2008-03-20: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.29	$102.90	$105.83	$105.83	$105.20
Max Pain	$103.90	$102.00	$106.00	$106.00	$104.00
ATM IV	7.7%	4.7%	15.3%	7.3%	4.7%
Expected Move	2.1%	1.3%	4.4%	2.1%	1.3%
HV 20d	10.0%	8.7%	11.0%	9.5%	9.7%
HV 60d	9.0%	8.7%	9.2%	9.0%	8.8%
IV Rank	28.2%	11.7%	68.9%	26.1%	11.7%
IV Percentile	85.4%	35.3%	99.2%	93.3%	35.3%
Term Structure	-1.0%	-15.2%	0.7%	-1.1%	0.6%
VWIV	7.7%	4.0%	11.3%	9.6%	6.2%
Skew 25d	2.4%	-0.8%	4.1%	2.2%	2.2%
Skew 10d	4.2%	-14.0%	9.2%	5.2%	1.1%
Call IV 25d	6.8%	4.6%	23.8%	6.4%	5.0%
Put IV 25d	9.2%	7.1%	23.0%	8.6%	7.2%
Bid-Ask Spread %	69.62	45.38	150.09	76.67	88.99
Gamma HHI	0.27	0.18	0.46	0.32	0.20
Net GEX	-406.2K	-1.3M	149.9K	113.6K	149.9K
Net DEX	1.5M	-589.3K	3.8M	-589.3K	-174.5K
Net VEX	-8.9K	-13.1K	-5.9K	-10.3K	-7.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.28	0.00	28.11	28.11	4.20
Total Volume	64.1	0	553	553	26
Total OI	1,094.95	411	1,454	924	466

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
2008-03-03	$105.83	$106.00	7.3%	2.1%	9.5%	26.1%	9.6%	2.2%	-1.1%	113.6K	-589.3K	-10.3K	28.11	76.67	19	534	452	472
2008-03-04	$105.21	$106.00	8.4%	2.4%	9.7%	31.7%	11.2%	4.1%	-2.1%	-246.7K	869.7K	-12.6K	3.24	60.11	25	81	467	912
2008-03-05	$104.47	$106.00	8.6%	2.5%	9.7%	32.9%	11.3%	3.0%	-1.9%	-501.7K	1.6M	-13.1K	2.56	61.45	9	23	479	939
2008-03-06	$104.33	$106.00	8.6%	2.5%	9.6%	33.0%	0.0%	3.9%	-1.9%	-454.0K	1.9M	-11.8K	0.00	63.93	23	0	483	916
2008-03-07	$104.11	$102.00	8.3%	2.0%	8.8%	31.0%	0.0%	3.3%	-0.2%	-614.5K	2.2M	-11.3K	0.00	64.90	0	0	506	916
2008-03-10	$104.09	$102.00	9.1%	2.0%	8.7%	35.5%	0.0%	2.6%	-0.4%	-566.6K	2.0M	-10.7K	0.00	57.18	0	33	506	916
2008-03-11	$102.90	$102.00	9.8%	2.0%	9.3%	39.2%	0.0%	2.9%	0.5%	-895.6K	3.3M	-10.2K	10.00	56.11	1	10	506	942
2008-03-12	$104.14	$102.00	9.0%	2.1%	10.5%	35.2%	0.0%	2.6%	-0.3%	-688.0K	2.1M	-10.1K	2.73	56.32	11	30	507	943
2008-03-13	$103.01	$102.00	7.6%	2.2%	10.6%	27.3%	4.8%	2.4%	-0.1%	-1.3M	3.2M	-8.4K	4.65	45.38	26	121	518	927
2008-03-14	$102.95	$104.00	7.9%	2.3%	10.6%	28.9%	0.0%	3.0%	-0.7%	-1.3M	3.8M	-8.4K	0.00	61.84	0	165	515	939
2008-03-17	$103.79	$104.00	7.0%	2.0%	11.0%	24.1%	0.0%	1.8%	-0.3%	-686.0K	2.1M	-7.3K	0.00	66.31	7	0	515	859
2008-03-18	$103.60	$104.00	5.5%	1.6%	10.5%	16.2%	0.0%	2.2%	0.0%	-776.5K	2.3M	-7.4K	5.00	68.70	4	20	517	859
2008-03-19	$104.05	$104.00	6.6%	1.9%	10.5%	21.9%	0.0%	2.8%	0.3%	-434.4K	2.1M	-8.3K	0.00	65.34	0	6	518	859
2008-03-20	$104.60	$104.00	15.3%	4.4%	10.4%	68.9%	0.0%	-0.8%	-15.2%	-310.3K	1.4M	-9.4K	1.67	150.09	6	10	518	854
2008-03-24	$104.40	$104.00	6.9%	2.0%	10.4%	23.7%	0.0%	1.6%	-0.1%	59.0K	389.8K	-5.9K	0.00	69.15	0	0	249	162
2008-03-25	$104.87	$104.00	5.9%	1.7%	10.2%	18.4%	6.6%	0.9%	0.3%	101.9K	180.7K	-6.3K	0.00	65.72	21	0	249	162
2008-03-26	$105.00	$104.00	5.9%	1.7%	9.9%	18.3%	4.0%	2.6%	0.6%	121.3K	83.1K	-6.8K	2.00	69.40	20	40	269	162
2008-03-27	$104.36	$104.00	6.4%	1.8%	10.1%	20.9%	0.0%	1.5%	0.4%	15.4K	509.1K	-6.5K	0.00	72.05	8	0	256	201
2008-03-28	$104.92	$104.00	5.9%	1.7%	10.0%	18.3%	0.0%	2.8%	0.7%	62.2K	315.1K	-6.7K	0.00	72.75	3	0	262	201
2008-03-31	$105.20	$104.00	4.7%	1.3%	9.7%	11.7%	6.2%	2.2%	0.6%	149.9K	-174.5K	-7.2K	4.20	88.99	5	21	265	201