LQD Options History — May 2008

In May 2008, LQD traded between $102.79 and $106.15. ATM implied volatility averaged 10.1%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 3.6% (HV 20d: 6.5%). Max pain ranged from $103.00 to $105.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.50.

Notable Days

2008-05-07: Highest Volume — 71 contracts
2008-05-13: Largest IV spike — 293.9% change
2008-05-06: Highest IV Rank — 100.0%
2008-05-02: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.00	$102.79	$106.15	$106.15	$103.20
Max Pain	$104.33	$103.00	$105.00	$105.00	$105.00
ATM IV	10.1%	4.2%	34.4%	8.4%	7.6%
Expected Move	2.1%	1.2%	3.5%	2.4%	2.2%
HV 20d	6.5%	5.8%	7.6%	6.9%	7.5%
HV 60d	8.2%	7.8%	8.7%	8.7%	8.0%
IV Rank	26.6%	5.3%	100.0%	31.9%	15.9%
IV Percentile	77.2%	16.3%	100.0%	92.5%	85.3%
Term Structure	-1.6%	-6.4%	2.4%	1.2%	-3.7%
VWIV	7.8%	4.2%	13.1%	13.1%	8.7%
Skew 25d	1.0%	-14.9%	6.3%	2.7%	-3.4%
Skew 10d	1.2%	-18.1%	7.8%	6.9%	-2.7%
Call IV 25d	8.3%	3.7%	19.6%	13.3%	9.2%
Put IV 25d	9.3%	4.7%	16.8%	16.1%	5.8%
Bid-Ask Spread %	125.56	63.09	191.02	141.78	136.64
Gamma HHI	0.36	0.22	0.65	0.39	0.22
Net GEX	251.5K	-141.6K	965.6K	318.4K	-85.2K
Net DEX	-21.6K	-990.5K	1.4M	-990.5K	1.3M
Net VEX	-7.2K	-8.9K	-4.4K	-8.6K	-4.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	3.00	0.00	0.00
Total Volume	9.762	0	71	5	55
Total OI	581.762	451	718	632	461

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
2008-05-01	$106.15	$105.00	8.4%	2.4%	6.9%	31.9%	0.0%	2.7%	1.2%	318.4K	-990.5K	-8.6K	0.00	141.78	5	0	371	261
2008-05-02	$105.53	$105.00	12.2%	3.5%	5.8%	52.1%	13.1%	2.4%	-4.6%	271.9K	-875.4K	-8.8K	0.00	145.97	3	0	376	261
2008-05-05	$105.68	$103.00	13.7%	2.0%	5.8%	60.1%	0.0%	0.5%	-1.9%	248.8K	-780.4K	-8.6K	0.00	147.53	0	0	376	261
2008-05-06	$105.00	$103.00	34.4%	3.4%	6.1%	100.0%	0.0%	-14.9%	-6.4%	310.2K	-364.6K	-8.3K	0.00	191.02	0	0	376	261
2008-05-07	$105.28	$103.00	14.2%	1.8%	6.1%	36.6%	7.3%	-0.0%	1.1%	528.1K	-337.6K	-7.5K	1.29	116.92	31	40	376	261
2008-05-08	$105.75	$104.00	9.9%	2.0%	6.3%	23.2%	11.2%	-0.6%	-3.3%	673.7K	-806.5K	-8.8K	0.00	138.49	11	0	397	301
2008-05-09	$105.75	$104.00	12.7%	2.0%	6.3%	32.0%	0.0%	1.7%	-3.2%	405.5K	-827.5K	-8.9K	0.00	149.68	4	0	407	301
2008-05-12	$105.65	$104.00	5.8%	1.7%	5.9%	10.3%	0.0%	1.7%	-0.1%	919.7K	-773.1K	-8.1K	0.00	73.32	5	0	407	301
2008-05-13	$105.05	$104.00	22.8%	2.0%	6.2%	63.6%	0.0%	0.2%	-3.2%	136.9K	-162.4K	-8.2K	0.00	142.87	0	5	402	301
2008-05-14	$105.11	$104.00	4.8%	1.9%	5.8%	7.2%	6.4%	2.3%	0.1%	406.7K	116.0K	-7.1K	0.00	73.55	10	0	402	306
2008-05-15	$105.81	$104.00	5.9%	1.7%	6.2%	10.8%	0.0%	1.7%	0.3%	965.6K	-822.9K	-7.5K	0.00	63.09	0	12	402	306
2008-05-16	$105.67	$104.00	7.8%	2.2%	6.0%	16.5%	0.0%	5.5%	-4.4%	198.3K	-564.6K	-8.1K	0.00	143.74	0	0	402	316
2008-05-19	$105.69	$104.00	4.2%	1.2%	5.9%	5.3%	4.2%	1.5%	2.3%	169.3K	-13.6K	-6.9K	1.25	139.42	4	5	241	210
2008-05-20	$105.73	$105.00	6.0%	1.7%	5.8%	11.0%	0.0%	1.8%	2.4%	178.9K	-140.3K	-6.8K	0.00	132.79	0	0	237	215
2008-05-21	$105.27	$105.00	5.8%	1.7%	6.0%	10.0%	0.0%	6.2%	-2.0%	69.2K	255.0K	-7.0K	0.00	143.88	0	0	237	215
2008-05-22	$104.11	$105.00	6.3%	1.8%	7.2%	11.5%	4.2%	3.5%	-1.4%	-19.9K	811.2K	-6.2K	0.00	127.31	0	1	237	215
2008-05-23	$104.59	$105.00	5.5%	1.6%	7.4%	8.9%	0.0%	6.3%	-1.1%	-53.1K	782.5K	-5.9K	0.00	136.81	1	0	237	215
2008-05-27	$103.96	$105.00	6.8%	2.0%	7.5%	13.2%	0.0%	1.9%	-0.2%	-80.0K	1.0M	-5.3K	3.00	80.18	1	3	238	215
2008-05-28	$103.30	$105.00	7.7%	2.2%	7.6%	15.9%	7.1%	1.3%	-0.3%	-140.0K	1.3M	-4.8K	0.67	92.04	3	2	238	218
2008-05-29	$102.79	$105.00	9.7%	2.8%	7.3%	22.3%	0.0%	-1.9%	-5.8%	-141.6K	1.4M	-4.4K	0.33	119.66	3	1	238	219
2008-05-30	$103.20	$105.00	7.6%	2.2%	7.5%	15.9%	8.7%	-3.4%	-3.7%	-85.2K	1.3M	-4.9K	0.00	136.64	55	0	241	220