LQD Options History — February 2010

In February 2010, LQD traded between $103.47 and $105.53. ATM implied volatility averaged 6.2%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.5% (HV 20d: 5.7%). Max pain ranged from $104.00 to $105.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.01.

Notable Days

2010-02-18: Highest Volume — 2,076 contracts
2010-02-09: Largest IV spike — 35.8% change
2010-02-10: Highest IV Rank — 12.2%
2010-02-16: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.39	$103.47	$105.53	$104.53	$105.53
Max Pain	$104.53	$104.00	$105.00	$105.00	$104.00
ATM IV	6.2%	4.7%	8.0%	5.4%	4.7%
Expected Move	1.8%	1.4%	2.2%	1.5%	1.4%
HV 20d	5.7%	5.2%	6.5%	5.8%	6.5%
HV 60d	5.9%	5.8%	6.0%	5.8%	6.0%
IV Rank	6.0%	0.6%	12.2%	2.9%	0.6%
IV Percentile	23.1%	0.4%	63.5%	3.2%	0.4%
Term Structure	0.6%	-0.2%	1.5%	0.8%	0.9%
VWIV	6.8%	3.8%	9.7%	5.3%	8.9%
Skew 25d	2.5%	0.4%	4.2%	0.4%	1.9%
Skew 10d	4.6%	-0.3%	8.8%	0.6%	3.5%
Call IV 25d	5.2%	3.9%	6.6%	5.5%	4.1%
Put IV 25d	7.7%	5.2%	10.8%	5.9%	6.0%
Bid-Ask Spread %	20.07	9.10	67.64	33.98	11.03
Gamma HHI	0.39	0.18	0.77	0.35	0.29
Net GEX	-6.2M	-24.2M	4.3M	-3.4M	4.3M
Net DEX	12.3M	-9.4M	31.8M	11.9M	-9.4M
Net VEX	-70.4K	-86.0K	-55.7K	-86.0K	-57.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.01	0.03	10.83	0.03	0.11
Total Volume	661.421	57	2,076	378	1,552
Total OI	21,715.263	19,147	23,638	21,577	20,584

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
2010-02-01	$104.53	$105.00	5.4%	1.5%	5.8%	2.9%	5.3%	0.4%	0.8%	-3.4M	11.9M	-86.0K	0.03	33.98	368	10	3,767	17,810
2010-02-02	$104.86	$105.00	5.4%	1.5%	5.6%	3.0%	4.7%	0.6%	0.7%	-752.6K	5.6M	-84.2K	1.59	23.23	56	89	4,135	17,813
2010-02-03	$104.75	$105.00	5.3%	1.5%	5.3%	2.8%	3.8%	2.4%	0.6%	-1.4M	8.4M	-84.2K	0.21	26.84	1,000	210	4,191	17,848
2010-02-04	$104.74	$105.00	5.7%	1.6%	5.2%	4.0%	5.7%	0.8%	0.4%	-2.6M	9.5M	-82.4K	1.71	18.18	21	36	3,677	18,053
2010-02-05	$104.42	$105.00	5.9%	1.9%	5.3%	4.7%	7.1%	1.9%	1.3%	-4.5M	13.1M	-81.1K	1.63	15.91	24	39	3,678	18,060
2010-02-08	$104.52	$105.00	5.2%	1.7%	5.2%	2.3%	6.4%	2.1%	1.3%	-5.4M	13.2M	-71.9K	10.83	19.86	12	130	3,692	18,086
2010-02-09	$104.28	$105.00	7.1%	2.0%	5.2%	8.8%	9.3%	1.9%	0.8%	-5.6M	16.1M	-76.4K	3.80	17.26	152	578	3,694	18,199
2010-02-10	$103.47	$105.00	8.0%	2.1%	5.7%	12.2%	6.6%	1.9%	0.8%	-9.8M	31.8M	-70.5K	2.57	17.35	189	486	3,778	18,661
2010-02-11	$103.71	$105.00	6.4%	1.8%	5.7%	6.4%	7.1%	2.2%	1.5%	-9.4M	25.2M	-64.9K	1.32	16.90	59	78	3,811	18,059
2010-02-12	$103.83	$105.00	7.5%	2.1%	5.5%	10.3%	9.7%	4.2%	0.2%	-9.8M	24.7M	-68.6K	2.81	67.64	529	1,488	3,834	18,110
2010-02-16	$104.24	$104.00	7.8%	2.2%	5.8%	11.4%	7.4%	3.9%	-0.0%	-12.0M	19.1M	-75.0K	0.11	21.92	112	12	4,266	19,336
2010-02-17	$103.89	$104.00	7.3%	2.1%	5.8%	9.8%	8.5%	3.5%	0.2%	-15.5M	24.9M	-74.1K	0.76	17.85	50	38	4,267	19,336
2010-02-18	$103.82	$104.00	6.5%	1.9%	5.8%	6.9%	7.2%	3.5%	1.0%	-19.2M	27.0M	-65.7K	3.27	19.03	486	1,590	4,291	19,347
2010-02-19	$104.19	$104.00	6.3%	1.8%	5.9%	6.2%	7.5%	3.3%	0.6%	-24.2M	11.6M	-61.7K	5.26	12.43	184	967	4,742	18,876
2010-02-22	$104.25	$104.00	6.0%	1.7%	5.9%	5.3%	5.7%	2.8%	0.5%	-570.1K	4.1M	-55.7K	0.41	11.55	120	49	2,429	16,718
2010-02-23	$104.50	$104.00	6.7%	1.9%	6.0%	7.4%	6.6%	3.3%	-0.0%	-158.6K	2.2M	-57.0K	1.23	9.51	314	387	2,501	16,755
2010-02-24	$104.95	$104.00	5.9%	1.7%	6.2%	4.8%	5.5%	3.7%	-0.2%	791.5K	-2.4M	-59.1K	0.11	11.85	666	71	2,806	17,056
2010-02-25	$104.84	$104.00	5.5%	1.6%	6.1%	3.5%	5.1%	3.0%	0.4%	2.1M	-3.1M	-62.1K	0.39	9.10	298	117	3,213	17,111
2010-02-26	$105.53	$104.00	4.7%	1.4%	6.5%	0.6%	8.9%	1.9%	0.9%	4.3M	-9.4M	-57.6K	0.11	11.03	1,399	153	3,363	17,221