LQD Options History — April 2009

In April 2009, LQD traded between $92.82 and $96.69. ATM implied volatility averaged 8.9%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 1.9% (HV 20d: 10.8%). Max pain ranged from $93.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.96.

Notable Days

2009-04-20: Highest Volume — 603 contracts
2009-04-17: Largest IV spike — 43.6% change
2009-04-17: Highest IV Rank — 12.4%
2009-04-17: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$95.20	$92.82	$96.69	$93.46	$96.20
Max Pain	$94.00	$93.00	$95.00	$93.00	$95.00
ATM IV	8.9%	5.9%	12.8%	10.5%	7.5%
Expected Move	2.6%	1.7%	3.7%	3.0%	2.1%
HV 20d	10.8%	7.3%	16.1%	16.0%	7.3%
HV 60d	12.5%	11.5%	13.1%	13.0%	11.5%
IV Rank	6.7%	2.4%	12.4%	9.0%	4.7%
IV Percentile	31.8%	2.4%	67.9%	50.0%	15.1%
Term Structure	2.1%	-0.1%	8.9%	1.3%	4.7%
VWIV	9.1%	5.6%	16.3%	8.5%	5.6%
Skew 25d	2.1%	0.4%	4.5%	2.0%	1.6%
Skew 10d	3.6%	-0.4%	7.5%	3.9%	7.5%
Call IV 25d	7.8%	4.4%	10.5%	9.1%	7.3%
Put IV 25d	10.0%	8.6%	12.6%	11.1%	8.9%
Bid-Ask Spread %	98.25	73.89	157.40	120.25	116.93
Gamma HHI	0.24	0.11	0.62	0.23	0.11
Net GEX	777.2K	45.3K	2.8M	696.1K	187.8K
Net DEX	-5.0M	-10.7M	259.9K	-1.4M	-4.3M
Net VEX	-33.5K	-48.6K	-27.3K	-30.1K	-45.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	0.00	14.09	1.13	0.21
Total Volume	181.667	17	603	17	94
Total OI	3,813.381	3,165	4,660	3,180	4,660

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
2009-04-01	$93.46	$93.00	10.5%	3.0%	16.0%	9.0%	8.5%	2.0%	1.3%	696.1K	-1.4M	-30.1K	1.13	120.25	8	9	2,058	1,122
2009-04-02	$93.49	$93.00	10.3%	2.9%	16.0%	8.7%	8.9%	0.4%	0.8%	761.1K	-2.1M	-27.3K	0.20	109.50	71	14	2,059	1,106
2009-04-03	$92.91	$94.00	9.6%	3.3%	16.1%	7.7%	11.6%	1.1%	-0.1%	715.6K	-1.2M	-27.3K	3.04	73.89	52	158	2,124	1,114
2009-04-06	$92.86	$94.00	9.1%	2.8%	12.3%	7.0%	9.6%	2.9%	1.7%	485.8K	222.8K	-30.1K	0.32	76.54	124	40	2,174	1,272
2009-04-07	$92.82	$93.00	8.8%	2.7%	11.3%	6.7%	9.4%	1.7%	1.7%	434.2K	259.9K	-29.8K	5.08	79.85	12	61	2,221	1,311
2009-04-08	$93.75	$93.00	7.8%	2.9%	11.8%	5.2%	8.9%	2.5%	0.1%	669.4K	-2.3M	-29.1K	0.71	85.74	101	72	2,232	1,362
2009-04-09	$94.38	$93.00	10.2%	2.9%	12.0%	8.5%	9.7%	1.3%	0.7%	978.0K	-4.4M	-31.1K	1.67	95.12	72	120	2,288	1,415
2009-04-13	$95.29	$93.00	9.7%	2.8%	12.0%	7.9%	9.5%	1.9%	0.7%	1.3M	-7.2M	-30.6K	0.24	84.92	130	31	2,336	1,492
2009-04-14	$95.54	$93.00	8.8%	2.5%	12.0%	6.6%	9.4%	1.3%	1.2%	2.8M	-8.6M	-29.5K	0.77	89.44	87	67	2,384	1,475
2009-04-15	$96.28	$93.00	9.4%	2.7%	12.1%	7.4%	9.8%	2.6%	1.6%	1.1M	-10.5M	-29.0K	0.63	89.38	132	83	2,415	1,509
2009-04-16	$96.69	$94.00	8.9%	2.6%	9.8%	6.8%	9.6%	0.6%	2.5%	948.8K	-10.7M	-27.4K	0.29	97.23	314	91	2,334	1,473
2009-04-17	$96.57	$94.00	12.8%	3.7%	9.9%	12.4%	7.4%	4.5%	4.1%	732.9K	-8.6M	-35.9K	0.00	155.98	189	0	2,494	1,554
2009-04-20	$96.04	$94.00	9.6%	2.8%	9.3%	7.8%	9.8%	2.2%	1.0%	688.1K	-5.0M	-30.7K	1.41	94.23	250	353	1,978	1,286
2009-04-21	$96.34	$95.00	9.4%	2.7%	9.3%	7.5%	8.1%	1.8%	1.4%	616.0K	-5.7M	-35.0K	0.12	78.10	98	12	2,218	1,578
2009-04-22	$96.10	$95.00	8.5%	2.4%	8.4%	6.2%	7.8%	0.9%	2.5%	713.2K	-5.9M	-35.3K	0.88	94.46	81	71	2,295	1,580
2009-04-23	$96.02	$95.00	8.7%	2.5%	8.1%	6.5%	8.0%	2.0%	1.0%	655.9K	-5.3M	-38.7K	0.28	91.41	39	11	2,359	1,611
2009-04-24	$96.23	$95.00	7.6%	2.2%	8.0%	4.9%	7.4%	1.7%	1.9%	771.5K	-6.3M	-35.1K	0.64	89.42	70	45	2,384	1,617
2009-04-27	$96.11	$95.00	7.9%	2.3%	8.1%	5.3%	9.1%	3.2%	2.2%	829.7K	-5.7M	-37.3K	14.09	97.86	32	451	2,443	1,657
2009-04-28	$95.80	$95.00	6.0%	1.7%	8.2%	2.7%	7.7%	4.5%	3.0%	186.1K	-4.7M	-40.1K	9.43	85.57	7	66	2,471	2,042
2009-04-29	$96.26	$95.00	5.9%	1.7%	7.9%	2.4%	16.3%	3.8%	8.9%	45.3K	-6.0M	-48.6K	0.01	157.40	96	1	2,477	2,101
2009-04-30	$96.20	$95.00	7.5%	2.1%	7.3%	4.7%	5.6%	1.6%	4.7%	187.8K	-4.3M	-45.8K	0.21	116.93	78	16	2,558	2,102