LQD Options History — September 2008

In September 2008, LQD traded between $81.80 and $101.63. ATM implied volatility averaged 14.8%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 5.6% (HV 20d: 20.4%). Max pain ranged from $88.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.30.

Notable Days

2008-09-22: Highest Volume — 139 contracts
2008-09-29: Largest IV spike — 196.9% change
2008-09-29: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$95.49	$81.80	$101.63	$100.98	$89.79
Max Pain	$98.76	$88.00	$105.00	$105.00	$88.00
ATM IV	14.8%	6.0%	36.1%	7.5%	31.4%
Expected Move	4.2%	1.9%	10.4%	2.1%	9.0%
HV 20d	20.4%	4.4%	58.6%	6.0%	58.6%
HV 60d	14.0%	6.4%	34.0%	6.7%	34.0%
IV Rank	35.6%	7.4%	100.0%	12.1%	85.4%
IV Percentile	82.3%	40.1%	100.0%	67.1%	99.2%
Term Structure	-4.4%	-19.1%	-0.0%	-0.2%	-13.2%
VWIV	18.3%	6.1%	37.5%	6.6%	16.1%
Skew 25d	-1.3%	-16.2%	1.9%	1.4%	-1.1%
Skew 10d	-2.5%	-24.6%	5.0%	0.1%	-9.6%
Call IV 25d	17.0%	5.9%	43.4%	6.3%	43.4%
Put IV 25d	15.7%	7.6%	42.3%	7.6%	42.3%
Bid-Ask Spread %	111.30	47.80	175.23	100.67	143.87
Gamma HHI	0.26	0.09	0.41	0.31	0.17
Net GEX	121.5K	3.5K	292.6K	180.8K	122.7K
Net DEX	280.8K	-362.5K	805.6K	634.6K	-315.4K
Net VEX	-3.2K	-5.1K	-345	-3.6K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.00	10.00	0.05	0.67
Total Volume	30.571	0	139	21	20
Total OI	390.857	142	536	427	536

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
2008-09-02	$100.98	$105.00	7.5%	2.1%	6.0%	12.1%	0.0%	1.4%	-0.2%	180.8K	634.6K	-3.6K	0.05	100.67	20	1	236	191
2008-09-03	$101.18	$103.00	7.3%	2.1%	5.8%	11.7%	0.0%	1.8%	-0.0%	210.3K	413.2K	-4.1K	0.00	104.03	0	0	255	182
2008-09-04	$101.21	$103.00	11.8%	3.4%	5.8%	26.3%	0.0%	0.5%	-3.5%	84.2K	271.0K	-4.8K	0.00	138.88	0	0	255	182
2008-09-05	$101.11	$102.00	7.0%	2.1%	5.0%	10.7%	0.0%	1.4%	-0.4%	224.0K	486.1K	-3.9K	0.00	47.80	2	0	255	182
2008-09-08	$101.28	$102.00	7.1%	2.1%	5.1%	10.9%	0.0%	1.7%	-0.5%	263.8K	356.9K	-3.8K	0.00	56.32	0	0	257	182
2008-09-09	$101.63	$102.00	9.4%	2.3%	4.9%	18.3%	0.0%	0.3%	-1.9%	270.2K	209.3K	-3.5K	0.00	151.13	4	0	257	182
2008-09-10	$101.59	$102.00	6.0%	1.9%	4.4%	7.4%	6.6%	1.8%	-0.0%	292.6K	243.4K	-3.7K	5.00	54.75	2	10	261	182
2008-09-11	$100.80	$102.00	7.2%	2.1%	4.9%	11.1%	0.0%	1.9%	-0.2%	247.5K	805.6K	-3.4K	0.00	48.37	0	60	261	192
2008-09-12	$100.03	$102.00	7.6%	2.2%	5.5%	12.5%	0.0%	1.8%	-0.4%	183.3K	494.2K	-3.1K	0.00	47.84	0	52	261	132
2008-09-15	$99.29	$102.00	20.6%	5.9%	5.9%	55.0%	0.0%	-6.6%	-9.3%	69.4K	-362.5K	-3.9K	0.00	175.23	0	0	261	111
2008-09-16	$92.99	$102.00	27.4%	7.8%	23.6%	77.1%	37.5%	-13.0%	-13.1%	36.5K	368.3K	-2.4K	0.44	128.40	27	12	261	101
2008-09-17	$88.73	$101.00	27.2%	7.8%	28.0%	76.3%	0.0%	-16.2%	-13.5%	10.2K	582.9K	-1.2K	10.00	128.40	2	20	286	79
2008-09-18	$89.94	$101.00	12.8%	3.7%	28.8%	29.7%	0.0%	-1.1%	-1.8%	3.5K	668.4K	-345	0.00	121.71	0	4	285	77
2008-09-19	$92.75	$101.00	10.8%	3.1%	31.6%	23.1%	0.0%	-1.2%	-1.9%	9.3K	649.0K	-805	0.00	127.32	0	0	285	78
2008-09-22	$93.30	$101.00	11.5%	3.3%	31.8%	25.4%	14.7%	0.4%	-1.0%	8.5K	254.4K	-705	0.40	126.62	99	40	108	34
2008-09-23	$92.34	$91.00	11.7%	3.4%	31.6%	25.9%	0.0%	1.9%	-1.6%	31.6K	97.8K	-3.4K	0.00	127.73	6	0	200	74
2008-09-24	$92.10	$91.00	26.6%	7.6%	31.6%	74.4%	6.1%	0.7%	-9.3%	38.5K	-48.6K	-4.3K	0.00	157.52	76	0	206	74
2008-09-25	$92.50	$91.00	12.1%	3.5%	31.7%	27.0%	13.8%	0.4%	-1.0%	114.6K	-191.6K	-4.2K	0.00	126.74	74	0	278	74
2008-09-26	$90.00	$91.00	12.2%	3.5%	32.7%	27.3%	15.7%	-2.1%	-0.4%	110.2K	26.1K	-3.8K	0.10	123.24	40	4	352	74
2008-09-29	$81.80	$91.00	36.1%	10.4%	45.5%	100.0%	36.1%	-2.6%	-19.1%	39.1K	252.8K	-3.2K	0.18	100.82	57	10	391	78
2008-09-30	$89.79	$88.00	31.4%	9.0%	58.6%	85.4%	16.1%	-1.1%	-13.2%	122.7K	-315.4K	-5.1K	0.67	143.87	12	8	448	88