LQD Options History — February 2009 In February 2009, LQD traded between $94.16 and $99.36. ATM implied volatility averaged 10.6%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 1.8% (HV 20d: 12.4%). Max pain ranged from $96.00 to $101.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 7.86.
Notable Days 2009-02-19 : Highest Volume — 1,315 contracts2009-02-09 : Largest IV drop — 25.0% change2009-02-27 : Highest IV Rank — 10.5%2009-02-27 : Largest Expected Move — 3.3%Monthly Statistics Metric Avg Min Max Open Close Price $97.78 $94.16 $99.36 $98.85 $94.16 Max Pain $97.11 $96.00 $101.00 $101.00 $96.00 ATM IV 10.6% 8.5% 11.6% 11.3% 11.6% Expected Move 3.1% 2.8% 3.3% 3.2% 3.3% HV 20d 12.4% 9.5% 13.9% 13.9% 9.5% HV 60d 13.3% 13.2% 13.7% 13.7% 13.5% IV Rank 9.2% 6.2% 10.5% 10.2% 10.5% IV Percentile 57.5% 42.9% 62.7% 61.9% 62.7% Term Structure 0.2% -0.7% 2.3% 0.4% -0.5% VWIV 10.6% 8.3% 13.5% 11.9% 9.2% Skew 25d 0.5% -4.5% 2.9% -4.5% 0.0% Skew 10d 0.8% -3.8% 4.1% -1.4% 1.2% Call IV 25d 10.3% 8.6% 13.9% 13.9% 10.5% Put IV 25d 10.8% 7.9% 12.7% 9.4% 10.5% Bid-Ask Spread % 111.89 103.79 136.09 105.05 104.66 Gamma HHI 0.41 0.14 0.79 0.15 0.67 Net GEX -1.4M -3.2M 228.5K 228.5K -2.2M Net DEX 4.0M -3.8M 18.6M -3.8M 18.6M Net VEX -39.9K -48.3K -28.6K -29.8K -34.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.86 0.00 68.21 2.31 0.67 Total Volume 245.526 0 1,315 86 180 Total OI 4,411.474 2,827 5,608 2,827 5,199
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 2009-02-02 $98.85 $101.00 11.3% 3.2% 13.9% 10.2% 11.9% -4.5% 0.4% 228.5K -3.8M -29.8K 2.31 105.05 26 60 1,590 1,237 2009-02-03 $98.52 $101.00 10.6% 3.0% 13.6% 9.2% 13.5% -1.1% 2.3% 147.3K -2.3M -28.6K 25.02 112.95 41 1,026 1,596 1,297 2009-02-04 $98.56 $101.00 9.8% 2.8% 13.5% 8.0% 0.0% -1.7% 1.7% -679.0K 295.0K -42.5K 2.55 136.09 22 56 1,598 2,286 2009-02-05 $97.70 $101.00 10.0% 2.9% 13.6% 8.3% 12.3% -0.1% 0.2% -843.2K 2.4M -42.3K 0.90 115.95 99 89 1,620 2,342 2009-02-06 $98.28 $96.00 11.3% 3.1% 13.5% 10.2% 10.5% 0.7% 0.7% -684.5K 735.4K -46.6K 0.03 116.07 33 1 1,694 2,391 2009-02-09 $98.46 $96.00 8.5% 3.1% 12.5% 6.2% 8.3% 1.3% 0.4% -812.5K 38.2K -42.9K 0.22 120.89 45 10 1,727 2,392 2009-02-10 $98.94 $96.00 10.5% 3.0% 12.7% 9.0% 12.0% 1.6% 0.4% -671.8K -944.6K -36.4K 25.88 104.86 17 440 1,708 2,392 2009-02-11 $99.28 $96.00 9.7% 3.1% 12.8% 7.9% 0.0% 1.0% 0.2% -644.7K -918.6K -40.8K 0.00 111.43 0 0 1,723 2,632 2009-02-12 $99.36 $96.00 10.9% 3.1% 12.8% 9.6% 8.9% 0.5% -0.4% -632.3K -1.3M -40.3K 0.00 108.88 42 0 1,723 2,632 2009-02-13 $98.60 $96.00 10.3% 3.0% 12.9% 8.7% 9.0% 1.1% 0.2% -1.1M 558.5K -36.7K 5.60 108.80 5 28 1,755 2,632 2009-02-17 $99.14 $96.00 10.8% 3.1% 13.2% 9.4% 10.0% 1.7% 0.1% -805.8K -398.9K -37.8K 0.00 110.12 27 0 1,757 2,640 2009-02-18 $98.65 $96.00 10.6% 3.0% 12.2% 9.2% 9.6% 0.4% -0.2% -1.3M 54.7K -35.1K 0.75 109.53 36 27 1,755 2,640 2009-02-19 $97.84 $96.00 10.8% 3.1% 12.4% 9.5% 13.0% 1.4% -0.5% -1.5M 3.3M -35.2K 68.21 107.77 19 1,296 1,758 2,636 2009-02-20 $97.43 $96.00 11.3% 3.2% 12.5% 10.2% 12.1% 2.2% -0.7% -2.6M 9.5M -48.3K 2.57 112.48 28 72 1,775 3,833 2009-02-23 $97.10 $96.00 10.4% 3.0% 12.3% 9.0% 10.3% 1.8% 0.7% -3.0M 8.7M -46.8K 0.43 115.56 37 16 1,499 3,608 2009-02-24 $96.75 $96.00 11.2% 3.2% 12.0% 10.0% 9.6% -2.0% -0.4% -2.8M 9.2M -47.1K 1.94 112.61 52 101 1,522 3,624 2009-02-25 $95.43 $97.00 11.5% 3.3% 10.5% 10.4% 10.6% 2.9% -0.5% -3.2M 14.5M -44.5K 4.11 103.79 104 427 1,546 3,659 2009-02-26 $94.82 $96.00 10.5% 3.0% 10.0% 9.0% 9.6% 2.1% -0.1% -3.1M 18.2M -41.8K 0.36 108.42 149 54 1,581 3,819 2009-02-27 $94.16 $96.00 11.6% 3.3% 9.5% 10.5% 9.2% 0.0% -0.5% -2.2M 18.6M -34.3K 0.67 104.66 108 72 1,705 3,494
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