LQD Options History — May 2009

Name: LQD Options Analytics - May 2009
Creator: Options Analysis Suite

In May 2009, LQD traded between $95.97 and $98.01. ATM implied volatility averaged 10.8%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.9% (HV 20d: 6.9%). Max pain ranged from $95.00 to $96.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.58.

Notable Days

2009-05-29: Highest Volume — 941 contracts
2009-05-11: Largest IV spike — 282.7% change
2009-05-11: Highest IV Rank — 36.9%
2009-05-15: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.88	$95.97	$98.01	$95.97	$97.95
Max Pain	$95.45	$95.00	$96.00	$96.00	$96.00
ATM IV	10.8%	7.0%	30.0%	7.6%	7.9%
Expected Move	2.7%	2.2%	3.6%	2.2%	2.3%
HV 20d	6.9%	5.8%	9.0%	7.5%	9.0%
HV 60d	11.3%	10.9%	11.5%	11.5%	11.3%
IV Rank	8.8%	2.9%	36.9%	4.9%	2.9%
IV Percentile	38.6%	9.1%	93.7%	17.1%	16.7%
Term Structure	0.6%	-3.7%	3.3%	2.6%	1.8%
VWIV	9.9%	6.8%	17.9%	7.7%	9.6%
Skew 25d	2.3%	-0.8%	7.8%	2.5%	5.0%
Skew 10d	2.8%	-4.7%	12.5%	0.9%	7.0%
Call IV 25d	7.7%	4.8%	9.8%	5.3%	5.8%
Put IV 25d	9.9%	5.8%	16.1%	7.7%	10.8%
Bid-Ask Spread %	105.03	49.56	140.34	128.51	95.63
Gamma HHI	0.26	0.14	0.44	0.15	0.21
Net GEX	1.5M	-363.3K	2.9M	-363.3K	2.3M
Net DEX	-9.8M	-18.0M	-3.1M	-3.1M	-14.1M
Net VEX	-50.3K	-65.0K	-35.8K	-42.6K	-63.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.01	3.03	0.26	0.08
Total Volume	299.85	11	941	175	941
Total OI	5,624.05	4,407	6,989	4,407	6,989

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
2009-05-01	$95.97	$96.00	7.6%	2.2%	7.5%	4.9%	7.7%	2.5%	2.6%	-363.3K	-3.1M	-42.6K	0.26	128.51	139	36	2,290	2,117
2009-05-04	$96.20	$95.00	8.3%	2.9%	6.9%	6.0%	10.1%	-0.0%	-0.1%	-255.2K	-4.1M	-42.0K	0.36	110.19	196	70	2,385	2,139
2009-05-05	$96.51	$95.00	12.3%	2.9%	6.9%	11.6%	10.7%	1.3%	0.1%	65.1K	-5.1M	-45.8K	0.16	114.33	183	29	2,549	2,206
2009-05-06	$96.94	$95.00	21.8%	2.3%	6.9%	25.2%	9.4%	2.3%	1.1%	-93.1K	-9.7M	-38.8K	0.07	115.34	83	6	2,671	2,212
2009-05-07	$96.01	$95.00	10.6%	2.8%	7.4%	9.1%	8.4%	-0.8%	0.8%	526.0K	-5.8M	-45.4K	0.16	110.43	426	70	2,740	2,218
2009-05-08	$96.62	$95.00	7.8%	2.6%	7.4%	5.2%	9.1%	0.3%	1.3%	791.4K	-9.5M	-45.2K	0.32	101.06	257	83	3,108	2,263
2009-05-11	$96.91	$95.00	30.0%	3.4%	6.7%	36.9%	8.5%	3.6%	3.3%	2.9M	-11.2M	-45.5K	0.10	136.50	10	1	3,365	2,342
2009-05-12	$97.18	$95.00	7.0%	2.8%	6.7%	4.1%	9.8%	0.4%	0.0%	2.0M	-13.6M	-46.6K	0.60	95.32	60	36	3,374	2,342
2009-05-13	$97.00	$95.00	8.2%	2.5%	6.3%	5.7%	9.0%	2.1%	0.3%	2.3M	-14.0M	-46.2K	0.35	99.51	85	30	3,419	2,367
2009-05-14	$97.22	$95.00	9.0%	2.6%	6.2%	6.8%	11.3%	4.3%	0.0%	2.2M	-14.4M	-46.9K	0.01	100.87	73	1	3,502	2,397
2009-05-15	$97.20	$95.00	12.7%	3.6%	6.1%	12.2%	17.9%	7.8%	-0.8%	1.1M	-10.8M	-53.6K	0.03	140.34	403	11	3,570	2,398
2009-05-18	$97.06	$95.00	8.9%	2.6%	5.8%	6.8%	9.3%	-0.4%	1.3%	2.0M	-10.9M	-44.7K	3.03	95.19	75	227	3,090	1,647
2009-05-19	$97.45	$96.00	8.7%	2.5%	5.9%	6.5%	8.9%	-0.1%	1.9%	1.9M	-10.5M	-49.5K	0.71	92.42	177	126	3,161	1,867
2009-05-20	$98.01	$96.00	9.9%	2.8%	6.0%	6.5%	6.8%	7.4%	0.4%	2.0M	-18.0M	-35.8K	0.08	122.42	789	65	3,335	1,993
2009-05-21	$97.01	$96.00	8.7%	2.5%	7.2%	4.7%	10.2%	2.3%	-0.5%	2.3M	-11.0M	-62.8K	1.17	96.49	167	195	4,116	2,023
2009-05-22	$96.88	$96.00	8.7%	2.5%	7.2%	4.7%	10.9%	1.9%	0.6%	2.1M	-8.9M	-65.0K	1.31	95.85	62	81	4,221	2,198
2009-05-26	$96.84	$96.00	7.9%	2.3%	7.2%	3.6%	9.5%	2.4%	0.8%	2.3M	-8.8M	-62.2K	0.29	96.05	63	18	4,239	2,279
2009-05-27	$96.17	$96.00	11.2%	3.2%	7.5%	7.8%	11.2%	1.0%	-3.7%	1.8M	-6.1M	-60.1K	1.85	104.53	78	144	4,276	2,295
2009-05-28	$96.53	$96.00	9.0%	2.6%	7.5%	4.6%	10.2%	1.7%	0.7%	2.0M	-6.3M	-63.2K	0.63	49.56	308	193	4,340	2,438
2009-05-29	$97.95	$96.00	7.9%	2.3%	9.0%	2.9%	9.6%	5.0%	1.8%	2.3M	-14.1M	-63.8K	0.08	95.63	873	68	4,420	2,569