LQD Options History — June 2008

In June 2008, LQD traded between $101.00 and $103.48. ATM implied volatility averaged 10.3%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.1% (HV 20d: 7.2%). Max pain ranged from $101.00 to $105.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.35.

Notable Days

2008-06-20: Highest Volume — 58 contracts
2008-06-27: Largest IV spike — 206.9% change
2008-06-27: Highest IV Rank — 72.0%
2008-06-27: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.11	$101.00	$103.48	$103.08	$101.40
Max Pain	$102.62	$101.00	$105.00	$105.00	$103.00
ATM IV	10.3%	6.0%	25.5%	8.3%	11.2%
Expected Move	2.7%	1.7%	7.3%	2.4%	3.2%
HV 20d	7.2%	6.1%	8.1%	7.3%	6.1%
HV 60d	7.2%	6.4%	8.0%	8.0%	6.4%
IV Rank	24.3%	10.6%	72.0%	18.0%	26.9%
IV Percentile	84.8%	57.9%	99.6%	88.5%	94.4%
Term Structure	-1.6%	-19.4%	3.5%	-1.1%	-2.8%
VWIV	8.9%	4.2%	21.9%	5.9%	4.2%
Skew 25d	1.4%	-7.1%	15.4%	2.1%	5.4%
Skew 10d	-0.9%	-10.1%	4.0%	3.3%	-8.0%
Call IV 25d	9.5%	4.8%	34.5%	7.0%	6.2%
Put IV 25d	10.9%	7.3%	27.5%	9.1%	11.6%
Bid-Ask Spread %	106.18	47.18	180.94	47.18	138.63
Gamma HHI	0.27	0.22	0.33	0.25	0.32
Net GEX	-36.9K	-127.5K	45.1K	-58.5K	-18.0K
Net DEX	1.2M	189.7K	1.9M	1.1M	1.3M
Net VEX	-4.2K	-6.5K	-2.2K	-5.2K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.00	2.50	0.00	0.00
Total Volume	13.429	0	58	10	0
Total OI	466.667	319	530	510	374

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
2008-06-02	$103.08	$105.00	8.3%	2.4%	7.3%	18.0%	0.0%	2.1%	-1.1%	-58.5K	1.1M	-5.2K	0.00	47.18	10	0	290	220
2008-06-03	$103.48	$105.00	7.3%	2.1%	7.5%	14.8%	5.9%	1.2%	-0.0%	-96.7K	891.2K	-5.5K	0.00	56.19	12	0	300	215
2008-06-04	$103.16	$104.00	17.2%	4.9%	7.3%	45.8%	21.9%	15.4%	-19.4%	-111.3K	749.2K	-5.9K	0.00	172.28	33	0	314	215
2008-06-05	$102.61	$104.00	6.4%	1.8%	7.3%	11.9%	0.0%	2.1%	0.2%	-127.5K	1.1M	-4.7K	0.00	87.57	0	0	285	215
2008-06-06	$103.12	$102.00	8.5%	2.1%	7.4%	18.5%	0.0%	1.7%	-0.4%	-62.3K	892.8K	-5.1K	0.00	75.59	21	0	282	214
2008-06-09	$103.03	$102.00	20.5%	3.8%	7.3%	56.2%	0.0%	-5.2%	3.5%	45.1K	189.7K	-6.5K	0.00	180.94	0	2	293	214
2008-06-10	$102.44	$102.00	14.0%	2.2%	7.5%	36.0%	0.0%	-3.1%	-0.4%	41.2K	901.1K	-4.9K	0.00	140.50	0	0	293	212
2008-06-11	$102.40	$102.00	14.7%	2.4%	7.3%	38.2%	0.0%	-2.8%	-1.5%	21.4K	1.1M	-4.5K	0.00	139.05	0	10	293	212
2008-06-12	$101.53	$102.00	7.9%	2.3%	7.7%	16.7%	0.0%	0.6%	-0.7%	-74.2K	1.7M	-3.1K	0.67	56.49	3	2	293	222
2008-06-13	$101.00	$102.00	8.1%	2.3%	7.2%	17.3%	0.0%	1.2%	-0.5%	-20.5K	1.9M	-2.2K	0.00	63.04	0	10	293	222
2008-06-16	$101.36	$102.00	8.2%	2.4%	7.5%	17.6%	0.0%	-3.8%	-0.9%	-9.9K	1.5M	-3.2K	2.50	140.30	4	10	293	216
2008-06-17	$101.69	$102.00	7.8%	2.2%	7.7%	16.2%	8.2%	1.3%	-0.6%	-28.1K	1.8M	-2.5K	1.00	56.06	10	10	289	216
2008-06-18	$102.20	$101.00	7.5%	2.2%	8.0%	15.5%	0.0%	2.1%	-0.3%	-51.4K	1.7M	-3.4K	0.00	55.59	5	0	299	226
2008-06-19	$101.67	$101.00	9.6%	2.7%	8.1%	21.9%	0.0%	-0.1%	-3.0%	7.3K	1.4M	-3.7K	0.00	135.14	0	0	304	226
2008-06-20	$101.73	$101.00	6.7%	1.9%	7.3%	12.9%	5.4%	2.6%	-0.0%	-17.8K	1.8M	-2.9K	0.00	84.34	0	58	304	226
2008-06-23	$101.69	$103.00	7.3%	2.1%	7.0%	14.6%	8.0%	2.6%	0.3%	-28.5K	1.4M	-2.8K	0.00	57.07	0	40	134	185
2008-06-24	$101.63	$103.00	6.2%	1.8%	6.8%	11.3%	0.0%	2.7%	-0.2%	-54.6K	1.5M	-3.4K	0.00	94.87	5	0	134	208
2008-06-25	$101.71	$103.00	6.0%	1.7%	6.5%	10.6%	0.0%	3.5%	3.3%	-53.7K	1.4M	-3.7K	0.00	143.55	24	0	139	208
2008-06-26	$101.79	$103.00	8.3%	2.4%	6.3%	17.9%	4.2%	6.5%	-0.6%	-47.9K	1.2M	-4.6K	0.00	135.29	8	0	153	208
2008-06-27	$101.69	$103.00	25.5%	7.3%	6.1%	72.0%	0.0%	-7.1%	-8.5%	-29.3K	754.0K	-5.8K	0.00	170.15	5	0	153	208
2008-06-30	$101.40	$103.00	11.2%	3.2%	6.1%	26.9%	0.0%	5.4%	-2.8%	-18.0K	1.3M	-3.9K	0.00	138.63	0	0	166	208