LQD Options History — July 2008

In July 2008, LQD traded between $99.17 and $101.81. ATM implied volatility averaged 11.1%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.7% (HV 20d: 6.3%). Max pain ranged from $99.00 to $103.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.16.

Notable Days

2008-07-08: Highest Volume — 70 contracts
2008-07-25: Largest IV spike — 130.1% change
2008-07-01: Highest IV Rank — 78.0%
2008-07-01: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.46	$99.17	$101.81	$100.92	$101.36
Max Pain	$99.91	$99.00	$103.00	$103.00	$99.00
ATM IV	11.1%	6.4%	27.4%	27.4%	6.9%
Expected Move	3.0%	1.7%	7.9%	7.9%	2.0%
HV 20d	6.3%	5.5%	8.0%	6.0%	8.0%
HV 60d	6.7%	6.4%	7.1%	6.4%	7.1%
IV Rank	26.7%	11.8%	78.0%	78.0%	13.4%
IV Percentile	84.6%	57.9%	99.6%	99.6%	65.5%
Term Structure	-2.1%	-9.9%	5.1%	-5.9%	1.1%
VWIV	6.8%	3.1%	10.2%	3.1%	6.9%
Skew 25d	0.1%	-8.5%	2.8%	-8.5%	1.2%
Skew 10d	-1.4%	-16.9%	5.0%	-14.8%	2.9%
Call IV 25d	12.1%	6.1%	35.9%	35.9%	7.0%
Put IV 25d	12.2%	3.3%	27.4%	27.4%	8.2%
Bid-Ask Spread %	111.24	38.78	187.28	162.99	73.32
Gamma HHI	0.25	0.20	0.31	0.31	0.26
Net GEX	40.6K	-15.5K	122.3K	-15.5K	122.3K
Net DEX	1.2M	491.4K	1.6M	803.3K	886.9K
Net VEX	-3.3K	-5.6K	-1.6K	-5.6K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	2.00	0.00	0.04
Total Volume	13.545	0	70	27	26
Total OI	380.136	317	419	374	412

Daily Data (22 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
2008-07-01	$100.92	$103.00	27.4%	7.9%	6.0%	78.0%	3.1%	-8.5%	-5.9%	-15.5K	803.3K	-5.6K	0.00	162.99	27	0	166	208
2008-07-02	$100.85	$101.00	7.7%	2.2%	6.0%	16.0%	0.0%	1.6%	0.2%	29.9K	1.2M	-3.4K	0.00	90.30	0	0	182	183
2008-07-03	$100.72	$101.00	11.8%	3.4%	5.8%	29.0%	0.0%	1.9%	-7.3%	31.3K	1.1M	-3.5K	0.00	139.09	0	0	182	183
2008-07-07	$101.19	$100.00	10.2%	1.7%	5.7%	23.9%	0.0%	0.4%	1.3%	35.9K	1.1M	-3.5K	0.00	149.16	0	0	182	183
2008-07-08	$101.74	$100.00	14.8%	2.2%	6.2%	38.3%	9.4%	2.5%	-1.8%	41.0K	912.5K	-4.0K	0.00	144.66	70	0	182	183
2008-07-09	$101.81	$100.00	21.5%	5.8%	5.9%	59.5%	0.0%	-0.5%	-9.4%	3.9K	491.4K	-5.5K	0.00	187.28	10	0	192	183
2008-07-10	$101.23	$100.00	8.1%	2.3%	6.2%	17.3%	0.0%	0.9%	-4.0%	54.5K	813.4K	-4.6K	0.00	150.64	0	0	202	183
2008-07-11	$100.45	$100.00	9.1%	2.6%	6.1%	20.4%	10.2%	0.9%	-4.9%	61.7K	833.8K	-4.6K	0.00	148.22	1	0	202	183
2008-07-14	$100.50	$100.00	8.5%	2.4%	5.8%	18.6%	0.0%	1.5%	-0.3%	16.4K	1.3M	-2.6K	0.00	60.98	3	0	202	183
2008-07-15	$100.48	$100.00	8.5%	2.4%	5.6%	18.6%	0.0%	-1.5%	-1.2%	81.7K	1.2M	-2.7K	0.00	150.38	0	0	205	183
2008-07-16	$99.69	$100.00	8.2%	2.4%	6.0%	17.7%	0.0%	1.2%	0.3%	27.8K	1.5M	-2.0K	0.00	62.67	0	2	205	183
2008-07-17	$99.35	$100.00	8.8%	2.5%	5.7%	19.5%	0.0%	1.1%	-0.2%	21.6K	1.6M	-1.8K	0.00	54.04	0	2	205	185
2008-07-18	$99.17	$100.00	9.0%	2.6%	5.5%	20.1%	0.0%	1.1%	-0.6%	26.4K	1.6M	-1.6K	0.00	56.71	0	0	205	185
2008-07-21	$99.28	$100.00	6.9%	2.0%	5.5%	13.6%	4.1%	-4.0%	-2.9%	35.0K	1.4M	-1.9K	0.00	168.93	1	0	145	172
2008-07-22	$99.92	$100.00	8.5%	2.4%	6.1%	18.6%	8.7%	2.0%	-0.8%	43.9K	1.4M	-2.1K	2.00	38.78	21	42	146	172
2008-07-23	$99.57	$99.00	8.3%	2.4%	6.2%	17.9%	8.3%	1.5%	-0.4%	7.7K	1.6M	-2.4K	0.00	43.68	7	0	165	211
2008-07-24	$100.45	$99.00	11.1%	3.2%	7.1%	26.7%	6.7%	2.2%	-3.4%	41.6K	1.3M	-2.9K	0.00	137.01	45	0	172	211
2008-07-25	$99.92	$99.00	25.5%	7.3%	7.3%	72.1%	0.0%	-7.0%	-9.9%	13.3K	765.1K	-5.2K	0.00	180.46	0	2	208	211
2008-07-28	$100.50	$99.00	8.4%	2.4%	7.6%	18.1%	4.1%	2.8%	-0.3%	103.7K	1.2M	-3.1K	0.00	44.97	21	0	208	211
2008-07-29	$100.25	$99.00	8.4%	2.4%	7.6%	18.2%	0.0%	2.0%	-0.4%	68.8K	1.3M	-2.9K	0.00	47.15	1	0	189	211
2008-07-30	$100.73	$99.00	6.4%	1.8%	7.7%	11.8%	0.0%	-0.9%	5.1%	40.1K	1.1M	-3.6K	0.00	155.79	17	0	188	211
2008-07-31	$101.36	$99.00	6.9%	2.0%	8.0%	13.4%	6.9%	1.2%	1.1%	122.3K	886.9K	-3.5K	0.04	73.32	25	1	201	211