LQD Options History — August 2008

In August 2008, LQD traded between $100.10 and $101.42. ATM implied volatility averaged 8.8%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.0% (HV 20d: 7.8%). Max pain ranged from $101.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.27.

Notable Days

2008-08-15: Highest Volume — 62 contracts
2008-08-12: Largest IV spike — 260.2% change
2008-08-12: Highest IV Rank — 65.9%
2008-08-29: Largest Expected Move — 2.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.96	$100.10	$101.42	$100.53	$101.04
Max Pain	$104.81	$101.00	$105.00	$101.00	$105.00
ATM IV	8.8%	6.4%	23.6%	8.9%	10.1%
Expected Move	2.2%	2.1%	2.9%	2.6%	2.9%
HV 20d	7.8%	6.0%	8.6%	8.5%	6.0%
HV 60d	7.1%	6.8%	7.5%	7.2%	6.8%
IV Rank	19.1%	11.4%	65.9%	19.9%	20.7%
IV Percentile	72.7%	55.6%	98.4%	84.9%	89.3%
Term Structure	-0.9%	-3.2%	1.1%	1.1%	-3.2%
VWIV	8.5%	6.4%	10.9%	8.5%	10.9%
Skew 25d	2.5%	-1.7%	8.7%	3.1%	-1.7%
Skew 10d	1.8%	-4.3%	4.6%	-1.9%	0.2%
Call IV 25d	7.0%	3.6%	15.7%	11.9%	15.7%
Put IV 25d	9.5%	7.9%	15.1%	15.1%	14.1%
Bid-Ask Spread %	103.15	74.81	151.86	151.86	133.74
Gamma HHI	0.30	0.23	0.50	0.30	0.23
Net GEX	124.4K	38.8K	312.0K	75.3K	56.4K
Net DEX	940.9K	570.8K	1.2M	1.2M	570.8K
Net VEX	-3.2K	-4.1K	-2.5K	-3.2K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.00	17.00	0.00	0.40
Total Volume	10.476	0	62	18	35
Total OI	411.667	387	426	403	410

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
2008-08-01	$100.53	$101.00	8.9%	2.6%	8.5%	19.9%	8.5%	3.1%	1.1%	75.3K	1.2M	-3.2K	0.00	151.86	18	0	191	212
2008-08-04	$100.54	$105.00	14.5%	2.2%	8.4%	37.5%	0.0%	5.0%	-2.0%	54.5K	1.1M	-3.4K	0.00	131.43	1	0	199	212
2008-08-05	$100.10	$105.00	10.1%	2.2%	8.2%	23.5%	8.9%	4.6%	-0.8%	52.5K	1.1M	-3.3K	0.00	130.77	3	0	200	212
2008-08-06	$100.25	$105.00	8.3%	2.4%	8.2%	18.0%	0.0%	1.4%	-1.0%	107.7K	1.1M	-3.0K	0.00	88.22	0	0	203	212
2008-08-07	$101.08	$105.00	7.4%	2.2%	8.6%	15.2%	7.6%	1.6%	-0.8%	146.5K	853.5K	-3.2K	0.00	77.19	7	0	203	212
2008-08-08	$101.18	$105.00	6.4%	2.3%	8.1%	11.8%	0.0%	2.2%	-1.0%	238.9K	785.0K	-2.9K	0.00	74.81	2	0	210	212
2008-08-11	$100.72	$105.00	6.5%	2.2%	8.3%	12.4%	0.0%	1.7%	-1.0%	202.3K	1.0M	-2.8K	0.00	101.50	0	0	211	212
2008-08-12	$101.33	$105.00	23.6%	2.1%	8.5%	65.9%	0.0%	8.7%	-1.3%	74.0K	730.2K	-3.6K	0.00	116.71	0	0	211	212
2008-08-13	$100.80	$105.00	6.5%	2.2%	8.3%	12.3%	0.0%	1.7%	-0.8%	312.0K	1.0M	-2.5K	0.00	79.28	16	0	211	212
2008-08-14	$101.09	$105.00	7.8%	2.2%	8.2%	16.2%	0.0%	7.2%	-2.5%	46.8K	787.9K	-3.4K	0.00	130.08	0	0	207	212
2008-08-15	$101.32	$105.00	7.5%	2.2%	8.1%	15.5%	6.4%	2.0%	-1.1%	244.3K	764.2K	-2.7K	0.19	88.63	52	10	207	212
2008-08-18	$101.36	$105.00	7.5%	2.2%	8.1%	15.5%	7.6%	1.8%	-0.5%	77.0K	991.1K	-2.9K	0.00	89.25	1	0	189	200
2008-08-19	$101.20	$105.00	7.4%	2.1%	7.9%	15.2%	0.0%	2.7%	-0.5%	82.8K	1.0M	-2.8K	0.00	91.00	0	0	190	200
2008-08-20	$101.21	$105.00	7.4%	2.1%	7.7%	15.1%	7.9%	2.1%	-0.4%	99.2K	1.1M	-2.7K	0.00	83.08	0	13	190	200
2008-08-21	$100.61	$105.00	8.8%	2.5%	7.5%	19.4%	0.0%	-1.4%	-3.0%	38.8K	1.0M	-3.2K	0.00	131.97	12	0	190	197
2008-08-22	$100.65	$105.00	7.2%	2.1%	7.2%	14.6%	0.0%	2.1%	-0.2%	113.4K	1.1M	-2.8K	0.00	88.74	22	0	202	197
2008-08-25	$101.30	$105.00	7.4%	2.1%	7.3%	15.0%	0.0%	2.0%	-0.2%	137.5K	843.2K	-3.4K	0.00	94.76	1	0	224	197
2008-08-26	$101.42	$105.00	7.2%	2.1%	7.2%	14.4%	10.6%	2.2%	-0.0%	140.2K	814.2K	-3.5K	0.13	95.03	8	1	225	197
2008-08-27	$101.26	$105.00	7.3%	2.1%	7.1%	11.7%	0.0%	1.8%	-0.2%	151.1K	876.6K	-3.4K	0.00	93.52	0	0	228	198
2008-08-28	$101.24	$105.00	7.2%	2.1%	6.7%	11.4%	8.1%	1.8%	-0.2%	161.9K	899.4K	-3.3K	17.00	94.51	1	17	228	198
2008-08-29	$101.04	$105.00	10.1%	2.9%	6.0%	20.7%	10.9%	-1.7%	-3.2%	56.4K	570.8K	-4.1K	0.40	133.74	25	10	229	181