LQD Options History — November 2008

In November 2008, LQD traded between $87.93 and $90.88. ATM implied volatility averaged 14.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 4.2% (HV 20d: 19.0%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.69.

Notable Days

2008-11-25: Highest Volume — 210 contracts
2008-11-20: Largest IV spike — 176.5% change
2008-11-05: Highest IV Rank — 40.2%
2008-11-05: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.19	$87.93	$90.88	$87.93	$90.14
Max Pain	$87.42	$86.00	$88.00	$86.00	$88.00
ATM IV	14.8%	8.8%	32.2%	14.5%	15.3%
Expected Move	4.1%	2.5%	9.2%	4.1%	4.4%
HV 20d	19.0%	11.3%	35.1%	35.1%	11.3%
HV 60d	39.6%	39.2%	39.7%	39.2%	39.7%
IV Rank	15.3%	6.8%	40.2%	14.9%	15.9%
IV Percentile	80.1%	63.9%	96.4%	84.9%	85.3%
Term Structure	-0.7%	-11.7%	9.2%	-0.4%	0.1%
VWIV	16.9%	10.3%	32.8%	12.8%	10.3%
Skew 25d	3.3%	-8.4%	20.8%	0.4%	20.8%
Skew 10d	3.0%	-0.8%	7.8%	-0.2%	2.2%
Call IV 25d	16.7%	9.0%	42.8%	17.7%	15.9%
Put IV 25d	20.0%	11.9%	43.9%	18.1%	36.8%
Bid-Ask Spread %	111.39	37.42	170.45	131.98	144.58
Gamma HHI	0.17	0.11	0.27	0.15	0.20
Net GEX	344.4K	148.7K	481.9K	262.9K	318.8K
Net DEX	-2.2M	-3.1M	-1.1M	-1.1M	-2.2M
Net VEX	-16.0K	-17.4K	-13.5K	-13.5K	-15.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	0.00	9.00	0.19	1.82
Total Volume	52.474	0	210	69	31
Total OI	1,408.684	1,143	1,568	1,143	1,446

Daily Data (19 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
2008-11-03	$87.93	$86.00	14.5%	4.1%	35.1%	14.9%	12.8%	0.4%	-0.4%	262.9K	-1.1M	-13.5K	0.19	131.98	58	11	840	303
2008-11-04	$88.53	$86.00	12.2%	3.5%	34.5%	11.6%	17.5%	6.5%	-4.7%	286.5K	-1.4M	-13.7K	0.00	134.53	2	0	859	313
2008-11-05	$90.25	$86.00	32.2%	9.2%	35.1%	40.2%	26.0%	1.1%	-11.3%	231.2K	-2.5M	-15.7K	0.51	170.45	82	42	859	313
2008-11-06	$90.87	$87.00	13.2%	3.8%	33.6%	13.0%	20.4%	-8.4%	-3.8%	403.5K	-3.1M	-14.8K	0.65	133.03	100	65	918	341
2008-11-07	$90.23	$87.00	11.2%	3.1%	25.7%	10.2%	12.0%	2.2%	1.5%	481.9K	-2.5M	-16.1K	2.71	37.42	17	46	995	406
2008-11-10	$90.27	$87.00	15.3%	2.9%	18.1%	16.1%	10.4%	2.1%	3.6%	375.8K	-2.5M	-17.4K	0.00	120.37	62	0	994	452
2008-11-11	$90.56	$87.00	15.0%	2.9%	16.8%	15.7%	13.9%	3.6%	2.5%	438.8K	-2.8M	-17.2K	0.20	120.63	51	10	1,013	452
2008-11-12	$90.54	$87.00	10.3%	3.1%	16.8%	8.9%	11.1%	2.3%	1.3%	454.2K	-2.7M	-16.2K	7.80	40.15	5	39	1,028	462
2008-11-13	$89.92	$88.00	12.7%	3.6%	17.0%	12.3%	14.6%	3.2%	4.4%	346.6K	-1.9M	-17.4K	0.00	119.05	0	30	1,028	498
2008-11-14	$89.90	$88.00	9.6%	2.8%	16.5%	8.0%	20.6%	1.9%	2.6%	345.0K	-1.7M	-16.9K	0.33	120.96	30	10	1,028	518
2008-11-17	$90.55	$88.00	10.1%	2.9%	13.1%	8.7%	0.0%	2.5%	1.6%	410.9K	-2.4M	-15.7K	0.00	37.78	0	0	1,026	528
2008-11-18	$90.66	$88.00	9.1%	2.6%	12.8%	7.2%	0.0%	4.8%	3.8%	401.2K	-2.4M	-16.4K	0.00	122.04	4	0	1,026	528
2008-11-19	$90.80	$88.00	8.8%	2.5%	11.9%	6.8%	0.0%	4.7%	4.0%	369.4K	-2.4M	-16.2K	2.00	122.33	5	10	1,023	528
2008-11-20	$89.81	$88.00	24.3%	7.0%	12.6%	28.9%	20.0%	8.8%	-11.7%	238.1K	-1.9M	-16.9K	9.00	146.65	3	27	1,022	529
2008-11-21	$90.85	$88.00	10.4%	3.0%	13.1%	9.1%	11.4%	2.3%	9.2%	396.6K	-2.7M	-16.2K	3.60	62.73	5	18	1,019	549
2008-11-24	$90.45	$88.00	18.3%	5.2%	12.9%	20.3%	32.8%	0.7%	-7.2%	148.7K	-1.5M	-15.1K	0.00	144.40	19	0	798	435
2008-11-25	$90.88	$88.00	26.3%	7.5%	12.6%	31.8%	25.1%	0.5%	-8.0%	154.4K	-1.9M	-15.5K	0.00	146.61	210	0	807	435
2008-11-26	$90.40	$88.00	11.6%	3.3%	11.6%	10.8%	11.7%	2.4%	-0.5%	478.2K	-2.1M	-17.3K	0.00	60.70	5	0	1,011	435
2008-11-28	$90.14	$88.00	15.3%	4.4%	11.3%	15.9%	10.3%	20.8%	0.1%	318.8K	-2.2M	-15.9K	1.82	144.58	11	20	1,011	435