LQD Options History — April 2010

In April 2010, LQD traded between $104.56 and $107.31. ATM implied volatility averaged 3.9%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded below realized volatility by 1.5% (HV 20d: 5.4%). Max pain ranged from $106.00 to $106.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 48.93.

Notable Days

2010-04-27: Highest Volume — 1,166 contracts
2010-04-15: Largest IV spike — 43.5% change
2010-04-27: Highest IV Rank — 7.4%
2010-04-06: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.95	$104.56	$107.31	$105.53	$107.31
Max Pain	$106.00	$106.00	$106.00	$106.00	$106.00
ATM IV	3.9%	2.7%	4.7%	3.6%	3.4%
Expected Move	1.2%	1.0%	1.5%	1.0%	1.0%
HV 20d	5.4%	4.3%	6.0%	4.3%	5.0%
HV 60d	5.2%	4.8%	5.3%	4.9%	4.8%
IV Rank	3.7%	0.0%	7.4%	0.7%	2.7%
IV Percentile	5.3%	0.0%	14.3%	1.2%	1.2%
Term Structure	0.4%	-0.2%	1.3%	0.9%	1.3%
VWIV	4.4%	3.8%	5.3%	4.6%	3.8%
Skew 25d	1.6%	0.7%	2.6%	0.8%	2.3%
Skew 10d	2.2%	0.5%	3.9%	0.5%	2.9%
Call IV 25d	3.5%	2.4%	4.9%	3.3%	2.4%
Put IV 25d	5.1%	4.0%	6.5%	4.0%	4.6%
Bid-Ask Spread %	29.50	13.90	54.48	13.90	54.48
Gamma HHI	0.52	0.34	0.67	0.40	0.45
Net GEX	38.6K	-11.5M	7.8M	-3.1M	6.3M
Net DEX	203.1K	-14.3M	16.1M	6.9M	-14.3M
Net VEX	-46.8K	-56.5K	-38.8K	-48.4K	-39.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	48.93	0.00	1000.00	0.00	3.51
Total Volume	326.476	5	1,166	120	960
Total OI	5,875.952	4,844	7,585	5,200	5,824

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
2010-04-01	$105.53	$106.00	3.6%	1.0%	4.3%	0.7%	4.6%	0.8%	0.9%	-3.1M	6.9M	-48.4K	0.00	13.90	120	0	1,826	3,374
2010-04-05	$104.56	$106.00	4.0%	1.5%	5.3%	2.3%	5.1%	1.7%	0.2%	-6.8M	16.1M	-38.8K	2.78	27.29	144	400	1,936	3,374
2010-04-06	$104.81	$106.00	4.0%	1.5%	5.4%	2.4%	5.2%	1.4%	0.3%	-8.3M	15.7M	-44.1K	0.14	22.47	35	5	1,931	3,619
2010-04-07	$105.34	$106.00	4.2%	1.5%	5.7%	2.9%	5.1%	1.6%	0.3%	-6.3M	8.2M	-39.7K	0.26	25.12	232	60	1,941	3,624
2010-04-08	$105.14	$106.00	3.8%	1.5%	5.7%	1.5%	5.3%	1.2%	0.3%	-8.0M	10.3M	-41.3K	1000.00	23.00	1	1,000	1,941	3,624
2010-04-09	$105.21	$106.00	3.8%	1.4%	5.8%	1.5%	0.0%	1.1%	0.3%	-11.5M	15.6M	-56.4K	0.00	23.31	5	0	2,108	4,641
2010-04-12	$105.51	$106.00	2.7%	1.2%	5.8%	0.0%	4.8%	1.5%	0.1%	-9.3M	10.3M	-49.4K	4.91	24.43	22	108	2,108	4,641
2010-04-13	$105.89	$106.00	3.6%	1.3%	6.0%	3.4%	4.2%	2.6%	0.6%	478.8K	1.5M	-41.7K	1.44	27.65	25	36	2,115	4,741
2010-04-14	$105.80	$106.00	3.1%	1.2%	5.7%	1.4%	4.3%	2.1%	0.3%	-4.4M	3.7M	-45.1K	0.46	29.22	74	34	2,145	4,729
2010-04-15	$105.98	$106.00	4.4%	1.3%	5.6%	6.3%	4.3%	0.7%	0.3%	2.5M	-1.7M	-43.1K	0.14	31.46	654	91	2,201	4,753
2010-04-16	$106.23	$106.00	4.4%	1.3%	5.6%	6.3%	4.3%	0.9%	0.4%	2.5M	-8.4M	-47.4K	0.18	39.24	345	62	2,825	4,760
2010-04-19	$105.96	$106.00	4.3%	1.2%	5.7%	6.0%	3.8%	1.7%	0.1%	1.4M	-3.6M	-46.1K	4.56	25.06	45	205	2,135	2,709
2010-04-20	$106.19	$106.00	3.9%	1.1%	5.7%	4.4%	3.9%	2.2%	0.6%	4.2M	-4.1M	-49.8K	0.36	28.30	205	73	2,188	2,869
2010-04-21	$106.56	$106.00	3.8%	1.1%	5.8%	4.2%	4.1%	1.5%	0.4%	5.4M	-8.0M	-50.8K	0.56	32.71	156	87	2,388	2,917
2010-04-22	$106.32	$106.00	4.4%	1.3%	5.2%	6.4%	5.1%	1.4%	0.1%	5.0M	-5.3M	-56.5K	3.43	34.67	37	127	2,490	2,874
2010-04-23	$106.30	$106.00	4.3%	1.2%	5.0%	5.7%	4.1%	2.3%	0.0%	6.6M	-5.7M	-50.2K	1.11	22.99	38	42	2,498	2,894
2010-04-26	$106.35	$106.00	3.9%	1.1%	4.9%	4.3%	3.8%	1.5%	0.5%	7.8M	-6.4M	-47.8K	0.71	22.41	118	84	2,476	2,928
2010-04-27	$106.42	$106.00	4.7%	1.4%	4.9%	7.4%	4.9%	1.5%	-0.2%	4.5M	-7.8M	-50.1K	0.71	36.20	680	486	2,521	2,962
2010-04-28	$106.60	$106.00	4.0%	1.2%	4.9%	4.8%	3.8%	2.1%	0.5%	6.7M	-8.7M	-53.0K	0.13	42.87	8	1	2,817	3,159
2010-04-29	$106.87	$106.00	3.6%	1.0%	5.0%	3.2%	3.8%	1.6%	0.2%	5.1M	-10.0M	-44.8K	2.19	32.73	16	35	2,631	3,158
2010-04-30	$107.31	$106.00	3.4%	1.0%	5.0%	2.7%	3.8%	2.3%	1.3%	6.3M	-14.3M	-39.1K	3.51	54.48	213	747	2,636	3,188