LQD Options History — January 2009

In January 2009, LQD traded between $97.69 and $102.60. ATM implied volatility averaged 17.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 4.0% (HV 20d: 13.7%). Max pain ranged from $99.00 to $101.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.14.

Notable Days

2009-01-05: Highest Volume — 590 contracts
2009-01-06: Largest IV spike — 226.8% change
2009-01-09: Highest IV Rank — 52.8%
2009-01-02: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.52	$97.69	$102.60	$100.61	$99.82
Max Pain	$100.75	$99.00	$101.00	$100.00	$101.00
ATM IV	17.7%	7.9%	41.1%	30.6%	9.6%
Expected Move	3.7%	2.3%	8.8%	8.8%	2.7%
HV 20d	13.7%	10.6%	15.9%	14.9%	13.9%
HV 60d	15.1%	12.9%	22.5%	22.5%	13.5%
IV Rank	19.3%	5.4%	52.8%	37.8%	7.7%
IV Percentile	72.8%	42.9%	98.0%	95.6%	54.4%
Term Structure	-0.1%	-12.3%	12.0%	-12.3%	-1.2%
VWIV	11.7%	8.5%	16.4%	8.5%	9.4%
Skew 25d	1.7%	-11.8%	21.6%	3.7%	1.4%
Skew 10d	0.2%	-23.6%	27.3%	-23.6%	1.0%
Call IV 25d	14.1%	4.1%	23.3%	11.9%	9.9%
Put IV 25d	15.8%	8.8%	25.8%	15.7%	11.3%
Bid-Ask Spread %	131.23	92.41	156.36	134.17	112.23
Gamma HHI	0.21	0.15	0.37	0.17	0.15
Net GEX	354.1K	-35.1K	926.0K	251.7K	274.0K
Net DEX	-6.3M	-11.8M	-1.5M	-6.4M	-5.3M
Net VEX	-17.3K	-26.3K	-12.6K	-15.3K	-26.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.00	7.05	0.22	0.50
Total Volume	194.8	5	590	210	227
Total OI	2,495.75	1,659	3,214	2,081	2,649

Daily Data (20 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
2009-01-02	$100.61	$100.00	30.6%	8.8%	14.9%	37.8%	8.5%	3.7%	-12.3%	251.7K	-6.4M	-15.3K	0.22	134.17	172	38	1,184	897
2009-01-05	$101.30	$99.00	11.3%	3.3%	14.8%	10.1%	15.2%	-1.5%	-3.9%	330.5K	-7.5M	-13.6K	0.67	138.83	353	237	1,245	918
2009-01-06	$101.47	$100.00	36.8%	4.9%	14.3%	46.6%	16.4%	6.5%	-4.3%	442.2K	-7.9M	-17.1K	0.16	152.49	103	16	1,566	1,088
2009-01-07	$100.62	$101.00	10.8%	4.1%	14.9%	9.4%	12.0%	4.4%	6.4%	732.3K	-7.5M	-16.8K	3.23	135.42	106	342	1,623	1,104
2009-01-08	$101.34	$101.00	16.1%	2.9%	14.9%	17.1%	9.4%	-3.3%	-0.6%	602.6K	-9.0M	-17.0K	7.05	151.52	20	141	1,719	1,281
2009-01-09	$102.60	$101.00	41.1%	3.3%	15.1%	52.8%	0.0%	5.1%	0.2%	607.9K	-11.8M	-14.7K	0.29	139.44	215	62	1,733	1,412
2009-01-12	$102.07	$101.00	31.2%	3.2%	15.5%	38.7%	0.0%	-0.6%	3.3%	899.7K	-10.3M	-14.7K	0.00	149.34	56	0	1,592	1,472
2009-01-13	$101.85	$101.00	35.0%	3.0%	15.7%	44.1%	0.0%	-2.7%	12.0%	758.0K	-9.4M	-15.5K	0.25	142.46	4	1	1,570	1,472
2009-01-14	$101.40	$101.00	17.8%	5.5%	15.9%	19.5%	0.0%	-6.2%	-5.3%	552.3K	-7.2M	-17.3K	1.46	145.71	24	35	1,573	1,471
2009-01-15	$101.60	$101.00	7.9%	2.3%	14.6%	5.4%	11.2%	-11.8%	8.5%	926.0K	-9.1M	-13.9K	1.93	132.69	75	145	1,565	1,506
2009-01-16	$101.60	$101.00	12.5%	3.6%	13.9%	11.9%	9.7%	21.6%	6.2%	483.7K	-7.7M	-16.1K	0.00	156.36	246	0	1,571	1,643
2009-01-20	$100.10	$101.00	10.4%	3.0%	12.5%	8.9%	11.8%	12.4%	-3.0%	-35.1K	-3.5M	-15.0K	0.04	154.05	28	1	754	905
2009-01-21	$99.60	$101.00	9.9%	2.8%	11.4%	8.2%	11.2%	1.3%	1.6%	-16.4K	-3.5M	-12.6K	0.75	129.61	164	123	766	906
2009-01-22	$99.23	$101.00	13.1%	3.7%	10.6%	12.7%	13.2%	1.2%	-1.0%	-11.4K	-3.2M	-16.5K	0.84	101.82	86	72	926	1,019
2009-01-23	$98.57	$101.00	13.6%	3.9%	10.7%	13.5%	13.9%	1.7%	-2.9%	58.0K	-2.7M	-19.8K	1.05	105.16	37	39	991	1,014
2009-01-26	$97.69	$101.00	12.2%	3.5%	11.0%	11.5%	10.8%	2.3%	-0.7%	-28.9K	-1.5M	-23.8K	3.03	92.41	32	97	1,023	1,043
2009-01-27	$99.53	$101.00	11.4%	3.3%	13.1%	10.3%	12.0%	-0.8%	-4.8%	45.4K	-3.6M	-21.6K	0.95	142.46	42	40	1,045	1,117
2009-01-28	$100.32	$101.00	11.7%	3.3%	13.4%	10.7%	12.0%	-0.7%	0.4%	59.5K	-4.6M	-18.2K	0.18	106.29	152	28	1,081	1,138
2009-01-29	$99.12	$100.00	11.0%	3.2%	13.6%	9.8%	10.2%	-0.8%	0.2%	150.3K	-3.8M	-21.1K	0.13	102.14	299	38	1,205	1,128
2009-01-30	$99.82	$101.00	9.6%	2.7%	13.9%	7.7%	9.4%	1.4%	-1.2%	274.0K	-5.3M	-26.3K	0.50	112.23	151	76	1,483	1,166