LQD Options History — January 2010

In January 2010, LQD traded between $104.70 and $105.76. ATM implied volatility averaged 5.7%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.4% (HV 20d: 5.4%). Max pain ranged from $104.00 to $105.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 6.43.

Notable Days

2010-01-27: Highest Volume — 2,374 contracts
2010-01-12: Largest IV spike — 24.4% change
2010-01-14: Highest IV Rank — 6.3%
2010-01-05: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.29	$104.70	$105.76	$104.70	$105.45
Max Pain	$104.42	$104.00	$105.00	$104.00	$105.00
ATM IV	5.7%	4.5%	7.1%	6.2%	5.3%
Expected Move	1.7%	1.5%	2.0%	1.9%	1.5%
HV 20d	5.4%	4.1%	6.6%	6.4%	4.8%
HV 60d	6.4%	5.6%	7.0%	7.0%	5.6%
IV Rank	3.4%	0.0%	6.3%	2.8%	2.7%
IV Percentile	7.8%	0.0%	31.3%	9.9%	2.8%
Term Structure	0.6%	0.0%	1.4%	1.4%	0.8%
VWIV	6.1%	4.5%	8.0%	7.5%	4.5%
Skew 25d	2.2%	1.0%	4.2%	3.3%	1.7%
Skew 10d	3.6%	-0.3%	6.5%	5.4%	3.1%
Call IV 25d	5.0%	3.6%	6.0%	5.6%	4.6%
Put IV 25d	7.1%	6.2%	9.0%	9.0%	6.3%
Bid-Ask Spread %	30.84	20.96	52.90	40.52	40.70
Gamma HHI	0.45	0.29	0.64	0.29	0.39
Net GEX	4.6M	-1.6M	8.0M	2.5M	605.6K
Net DEX	-12.0M	-20.2M	3.0M	-8.1M	-4.2M
Net VEX	-72.5K	-97.0K	-58.2K	-60.9K	-82.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.43	0.02	102.22	1.29	0.16
Total Volume	467.684	51	2,374	158	94
Total OI	20,545	18,853	22,449	19,240	22,447

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
2010-01-04	$104.70	$104.00	6.2%	1.9%	6.4%	2.8%	7.5%	3.3%	1.4%	2.5M	-8.1M	-60.9K	1.29	40.52	69	89	3,931	15,309
2010-01-05	$105.20	$104.00	7.1%	2.0%	6.6%	5.5%	5.9%	4.2%	0.7%	2.7M	-10.8M	-85.6K	0.04	27.86	1,259	55	3,965	15,340
2010-01-06	$104.89	$104.00	5.7%	1.8%	6.6%	1.6%	7.1%	1.9%	0.5%	5.0M	-12.2M	-91.6K	1.69	24.39	181	305	5,161	15,372
2010-01-07	$105.02	$104.00	5.6%	1.8%	6.4%	1.2%	7.2%	2.1%	0.7%	5.3M	-10.6M	-97.0K	0.19	23.89	649	122	5,254	15,657
2010-01-08	$105.25	$104.00	5.3%	1.7%	6.2%	0.4%	5.9%	1.8%	1.1%	7.9M	-18.3M	-68.1K	0.75	42.42	114	86	5,537	15,747
2010-01-11	$105.36	$104.00	4.5%	1.8%	6.2%	0.0%	7.2%	2.5%	0.7%	8.0M	-19.8M	-71.3K	1.73	26.06	22	38	5,519	15,805
2010-01-12	$105.56	$104.00	5.7%	1.7%	6.0%	3.6%	5.5%	1.7%	0.6%	6.2M	-20.2M	-75.9K	0.19	43.37	93	18	5,319	15,831
2010-01-13	$105.12	$104.00	5.7%	1.8%	5.8%	3.8%	6.2%	1.9%	1.2%	7.3M	-13.0M	-71.2K	0.24	52.90	244	58	5,152	15,837
2010-01-14	$105.50	$104.00	6.3%	1.8%	5.4%	6.3%	5.8%	2.0%	0.4%	7.0M	-17.9M	-64.2K	0.43	22.42	54	23	5,144	15,865
2010-01-15	$105.46	$104.00	6.3%	1.8%	5.2%	6.0%	5.7%	2.1%	0.6%	7.1M	-18.1M	-64.6K	0.59	29.31	165	97	5,146	15,880
2010-01-19	$105.55	$104.00	5.7%	1.6%	5.0%	4.0%	5.9%	2.6%	0.5%	3.5M	-11.1M	-58.2K	1.22	26.47	191	233	3,573	15,280
2010-01-20	$105.48	$105.00	6.0%	1.7%	5.0%	5.1%	5.1%	2.3%	0.0%	3.4M	-10.7M	-61.8K	0.19	20.96	955	183	3,708	15,444
2010-01-21	$105.76	$105.00	5.6%	1.6%	4.7%	3.7%	5.2%	2.7%	0.1%	4.7M	-14.8M	-70.3K	0.29	26.13	241	70	4,273	15,546
2010-01-22	$105.60	$105.00	5.3%	1.5%	4.5%	2.7%	8.0%	2.4%	0.1%	5.0M	-13.0M	-72.0K	1.71	31.15	59	101	4,452	15,601
2010-01-25	$105.59	$105.00	5.4%	1.6%	4.4%	3.1%	4.8%	2.2%	0.2%	5.2M	-12.5M	-70.8K	0.11	24.31	57	6	4,501	15,687
2010-01-26	$105.31	$105.00	5.8%	1.7%	4.1%	4.3%	5.2%	1.0%	0.2%	4.7M	-9.5M	-66.3K	0.02	25.57	520	10	4,540	15,688
2010-01-27	$104.93	$105.00	5.5%	1.6%	4.2%	3.4%	6.1%	1.2%	0.5%	3.6M	-6.8M	-61.9K	102.22	28.44	23	2,351	4,697	15,698
2010-01-28	$104.78	$105.00	5.6%	1.6%	4.2%	3.6%	6.2%	1.6%	0.6%	-1.6M	3.0M	-82.8K	9.20	29.09	5	46	4,638	17,811
2010-01-29	$105.45	$105.00	5.3%	1.5%	4.8%	2.7%	4.5%	1.7%	0.8%	605.6K	-4.2M	-82.8K	0.16	40.70	81	13	4,636	17,811