LQD Options History — May 2010

In May 2010, LQD traded between $104.80 and $107.02. ATM implied volatility averaged 6.7%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded below realized volatility by 0.3% (HV 20d: 7.0%). Max pain ranged from $106.00 to $107.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 5.44.

Notable Days

2010-05-20: Highest Volume — 2,198 contracts
2010-05-06: Largest IV spike — 70.6% change
2010-05-20: Highest IV Rank — 80.3%
2010-05-20: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.14	$104.80	$107.02	$106.89	$105.46
Max Pain	$106.20	$106.00	$107.00	$107.00	$106.00
ATM IV	6.7%	4.0%	9.6%	4.0%	5.8%
Expected Move	2.0%	1.1%	2.7%	1.1%	1.7%
HV 20d	7.0%	3.8%	7.8%	3.8%	7.6%
HV 60d	5.7%	4.8%	6.0%	4.9%	5.8%
IV Rank	38.0%	4.6%	80.3%	4.6%	43.5%
IV Percentile	55.4%	6.7%	98.8%	6.7%	33.3%
Term Structure	-0.1%	-1.6%	1.3%	0.0%	1.0%
VWIV	7.0%	4.2%	9.7%	5.5%	5.7%
Skew 25d	1.5%	0.3%	2.4%	1.3%	1.6%
Skew 10d	5.0%	-0.1%	13.2%	1.1%	13.2%
Call IV 25d	6.3%	2.9%	8.9%	3.0%	5.0%
Put IV 25d	7.7%	3.2%	10.3%	4.3%	6.6%
Bid-Ask Spread %	40.89	13.72	126.81	30.49	38.18
Gamma HHI	0.46	0.36	0.55	0.44	0.49
Net GEX	-11.7M	-22.0M	-297.0K	-493.2K	-21.2M
Net DEX	22.6M	-1.2M	49.3M	-96.1K	49.3M
Net VEX	-76.0K	-110.0K	-28.8K	-31.5K	-84.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.44	0.05	28.50	0.26	0.30
Total Volume	468.25	44	2,198	44	436
Total OI	8,973.1	4,902	13,445	4,902	10,422

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
2010-05-03	$106.89	$107.00	4.0%	1.1%	3.8%	4.6%	5.5%	1.3%	0.0%	-493.2K	-96.1K	-31.5K	0.26	30.49	35	9	1,051	3,851
2010-05-04	$107.02	$107.00	4.1%	1.2%	3.8%	5.0%	4.2%	0.3%	0.4%	-297.0K	-1.2M	-28.8K	0.31	35.92	64	20	1,074	3,851
2010-05-05	$106.56	$107.00	4.5%	1.3%	4.0%	6.4%	5.0%	1.7%	0.2%	-2.4M	2.7M	-34.9K	4.36	44.74	91	397	1,099	3,853
2010-05-06	$104.80	$107.00	7.6%	2.2%	7.3%	17.9%	8.0%	2.0%	0.1%	-5.8M	17.0M	-48.2K	3.45	126.81	271	935	1,110	4,094
2010-05-07	$105.14	$106.00	8.0%	2.3%	7.4%	19.4%	7.9%	1.9%	-0.3%	-6.8M	19.6M	-54.5K	5.59	29.64	199	1,113	1,268	4,770
2010-05-10	$105.80	$106.00	6.2%	1.9%	7.6%	12.7%	5.8%	2.4%	0.2%	-9.2M	17.3M	-64.1K	0.05	46.83	91	5	1,466	5,720
2010-05-11	$105.91	$106.00	5.6%	1.7%	7.5%	10.7%	6.4%	1.5%	0.3%	-10.3M	15.0M	-58.8K	3.35	20.73	77	258	1,555	5,715
2010-05-12	$105.87	$106.00	6.2%	2.0%	7.5%	34.5%	7.1%	1.4%	-0.3%	-9.6M	15.9M	-62.3K	5.77	45.60	65	375	1,620	5,942
2010-05-13	$106.18	$106.00	7.3%	2.1%	7.6%	45.5%	7.3%	2.1%	-0.4%	-15.6M	29.6M	-101.8K	3.85	13.72	107	412	1,685	9,344
2010-05-14	$106.15	$106.00	8.1%	2.3%	7.5%	54.0%	7.5%	1.7%	-0.6%	-13.0M	29.9M	-107.2K	1.70	41.19	115	195	1,760	9,334
2010-05-17	$106.33	$106.00	7.8%	2.2%	7.5%	51.3%	8.5%	1.8%	-0.9%	-13.5M	25.6M	-96.9K	28.50	42.04	4	114	1,740	9,376
2010-05-18	$106.67	$106.00	7.4%	2.1%	7.5%	55.8%	7.3%	1.7%	-0.9%	-11.8M	18.3M	-87.8K	2.86	44.00	14	40	1,743	9,411
2010-05-19	$106.73	$106.00	7.4%	2.1%	7.4%	55.4%	7.8%	1.3%	-0.4%	-10.4M	15.7M	-83.5K	3.16	26.92	38	120	1,753	9,451
2010-05-20	$106.49	$106.00	9.6%	2.7%	7.4%	80.3%	9.7%	1.1%	-1.6%	-10.9M	21.5M	-86.6K	21.66	42.29	97	2,101	1,776	9,545
2010-05-21	$106.31	$106.00	8.5%	2.4%	7.5%	68.0%	8.8%	1.5%	-0.5%	-17.6M	35.5M	-110.0K	1.01	41.33	255	257	1,820	11,625
2010-05-24	$106.59	$106.00	7.6%	2.2%	7.5%	57.1%	7.4%	1.0%	-0.1%	-16.4M	26.4M	-94.5K	0.21	35.17	301	63	1,079	8,752
2010-05-25	$106.08	$106.00	7.1%	2.0%	7.7%	51.4%	7.0%	1.2%	1.3%	-15.7M	34.1M	-101.2K	11.38	44.70	26	296	1,308	8,776
2010-05-26	$106.15	$106.00	6.3%	1.8%	7.7%	42.6%	6.2%	0.9%	0.3%	-22.0M	32.6M	-94.3K	0.67	29.83	105	70	1,329	8,991
2010-05-27	$105.60	$106.00	5.9%	1.7%	7.8%	44.3%	6.1%	1.4%	0.8%	-21.5M	46.5M	-88.8K	10.41	37.57	17	177	1,398	9,005
2010-05-28	$105.46	$106.00	5.8%	1.7%	7.6%	43.5%	5.7%	1.6%	1.0%	-21.2M	49.3M	-84.2K	0.30	38.18	336	100	1,404	9,018