LQD Options History — November 2009

In November 2009, LQD traded between $104.56 and $107.25. ATM implied volatility averaged 6.7%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded below realized volatility by 0.8% (HV 20d: 7.5%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.99.

Notable Days

2009-11-24: Highest Volume — 1,651 contracts
2009-11-05: Largest IV spike — 22.7% change
2009-11-02: Highest IV Rank — 9.0%
2009-11-02: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.90	$104.56	$107.25	$105.04	$107.25
Max Pain	$105.00	$105.00	$105.00	$105.00	$105.00
ATM IV	6.7%	5.4%	8.4%	8.4%	5.7%
Expected Move	2.0%	1.6%	2.4%	2.4%	1.6%
HV 20d	7.5%	5.2%	9.0%	8.9%	5.2%
HV 60d	8.0%	7.5%	8.5%	8.5%	7.6%
IV Rank	4.2%	0.7%	9.0%	9.0%	1.6%
IV Percentile	15.2%	1.2%	41.3%	41.3%	2.8%
Term Structure	1.4%	-0.2%	2.5%	-0.0%	1.1%
VWIV	7.1%	5.5%	8.3%	8.3%	6.8%
Skew 25d	2.0%	0.8%	3.3%	0.8%	3.3%
Skew 10d	4.1%	1.3%	6.7%	4.5%	2.1%
Call IV 25d	6.0%	3.4%	7.6%	7.3%	3.4%
Put IV 25d	7.9%	6.2%	9.4%	8.1%	6.7%
Bid-Ask Spread %	51.36	23.49	102.38	85.19	29.29
Gamma HHI	0.30	0.19	0.43	0.19	0.34
Net GEX	9.8M	3.5M	14.9M	4.3M	11.2M
Net DEX	-21.9M	-44.5M	1.1M	-6.3M	-37.9M
Net VEX	-123.0K	-161.1K	-82.5K	-160.3K	-84.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.04	3.40	0.49	0.15
Total Volume	522	20	1,651	186	1,550
Total OI	24,691.3	20,856	26,894	23,977	22,544

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
2009-11-02	$105.04	$105.00	8.4%	2.4%	8.9%	9.0%	8.3%	0.8%	-0.0%	4.3M	-6.3M	-160.3K	0.49	85.19	125	61	7,286	16,691
2009-11-03	$104.56	$105.00	8.0%	2.3%	9.0%	7.9%	7.9%	1.8%	0.7%	3.5M	1.1M	-160.2K	1.02	52.89	409	416	7,369	16,710
2009-11-04	$104.97	$105.00	6.3%	1.8%	8.8%	3.2%	7.7%	3.3%	1.3%	5.2M	-5.0M	-151.5K	0.88	102.38	149	131	7,778	16,986
2009-11-05	$105.04	$105.00	7.7%	2.2%	8.6%	7.2%	7.7%	1.9%	0.5%	5.7M	-5.4M	-161.1K	2.60	53.11	53	138	7,907	17,041
2009-11-06	$105.32	$105.00	7.6%	2.2%	8.0%	6.8%	8.2%	2.2%	2.4%	7.4M	-13.8M	-122.5K	2.90	51.80	41	119	7,940	17,127
2009-11-09	$105.38	$105.00	7.0%	2.3%	7.9%	5.1%	7.3%	1.9%	1.8%	8.1M	-13.1M	-144.4K	0.21	76.89	206	44	7,950	17,231
2009-11-10	$105.31	$105.00	7.0%	2.2%	7.9%	5.0%	7.4%	1.7%	1.7%	9.0M	-15.2M	-142.0K	1.01	76.61	392	394	8,064	17,264
2009-11-11	$105.70	$105.00	5.8%	1.9%	7.7%	1.8%	7.5%	1.8%	1.9%	10.7M	-20.3M	-143.3K	2.32	55.78	130	302	8,258	17,282
2009-11-12	$105.70	$105.00	6.5%	1.9%	7.7%	3.9%	7.5%	1.7%	2.5%	10.5M	-20.7M	-138.6K	0.05	56.30	1,037	51	8,293	17,284
2009-11-13	$106.01	$105.00	7.1%	2.0%	7.8%	5.5%	7.2%	1.7%	1.7%	14.0M	-30.7M	-104.8K	0.50	49.07	111	56	9,294	17,272
2009-11-16	$106.51	$105.00	6.7%	1.9%	7.7%	4.3%	7.7%	2.7%	1.8%	14.9M	-42.1M	-87.0K	3.40	44.92	50	170	9,387	17,296
2009-11-17	$106.67	$105.00	6.6%	1.9%	7.5%	4.1%	6.2%	2.2%	2.1%	14.5M	-44.5M	-95.2K	0.23	35.37	525	122	9,396	17,376
2009-11-18	$106.32	$105.00	7.1%	2.0%	7.4%	5.3%	6.9%	2.4%	2.1%	13.8M	-33.1M	-129.2K	0.20	51.62	294	58	9,523	17,371
2009-11-19	$106.45	$105.00	6.6%	1.9%	7.1%	4.0%	7.1%	2.2%	2.4%	14.1M	-34.0M	-115.6K	0.78	23.49	49	38	9,251	17,403
2009-11-20	$105.95	$105.00	6.7%	1.9%	7.1%	4.4%	5.5%	1.6%	0.2%	14.4M	-26.5M	-112.2K	0.04	25.06	311	12	9,233	17,414
2009-11-23	$105.95	$105.00	6.0%	1.7%	6.8%	2.5%	6.6%	1.1%	-0.2%	6.1M	-11.4M	-115.3K	1.20	31.94	204	245	5,087	15,769
2009-11-24	$106.36	$105.00	5.8%	1.7%	6.3%	1.9%	5.7%	0.8%	0.9%	8.2M	-22.4M	-82.5K	0.19	42.26	1,389	262	5,220	15,858
2009-11-25	$106.75	$105.00	5.5%	1.6%	5.8%	0.9%	6.0%	2.2%	1.6%	9.8M	-29.6M	-93.1K	0.12	46.48	693	83	6,094	16,021
2009-11-27	$106.72	$105.00	5.4%	1.6%	5.8%	0.7%	7.3%	2.2%	1.5%	10.7M	-26.3M	-117.1K	1.50	36.73	8	12	6,479	16,077
2009-11-30	$107.25	$105.00	5.7%	1.6%	5.2%	1.6%	6.8%	3.3%	1.1%	11.2M	-37.9M	-84.5K	0.15	29.29	1,350	200	6,468	16,076