LQD Options History — July 2010

In July 2010, LQD traded between $107.83 and $110.30. ATM implied volatility averaged 4.7%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.1% (HV 20d: 4.7%). Max pain ranged from $107.00 to $108.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2010-07-30: Highest Volume — 1,816 contracts
2010-07-14: Largest IV drop — 38.7% change
2010-07-12: Highest IV Rank — 51.7%
2010-07-06: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.91	$107.83	$110.30	$108.14	$110.30
Max Pain	$107.48	$107.00	$108.00	$108.00	$108.00
ATM IV	4.7%	2.6%	6.4%	5.3%	2.6%
Expected Move	1.3%	0.7%	1.7%	1.5%	0.7%
HV 20d	4.7%	3.9%	5.4%	5.3%	3.9%
HV 60d	6.0%	6.0%	6.1%	6.0%	6.0%
IV Rank	28.6%	0.0%	51.7%	37.0%	0.0%
IV Percentile	22.5%	0.0%	54.8%	26.6%	0.0%
Term Structure	0.5%	-0.6%	2.6%	-0.1%	2.1%
VWIV	5.1%	3.5%	6.4%	5.8%	3.5%
Skew 25d	2.1%	1.1%	4.5%	3.0%	1.8%
Skew 10d	3.4%	1.3%	4.6%	2.1%	2.7%
Call IV 25d	3.8%	2.2%	5.1%	3.2%	2.2%
Put IV 25d	5.9%	4.0%	7.1%	6.2%	4.0%
Bid-Ask Spread %	47.22	35.43	82.99	48.52	36.21
Gamma HHI	0.44	0.23	0.79	0.79	0.42
Net GEX	-590.5K	-7.8M	3.2M	-7.3M	2.5M
Net DEX	-3.0M	-9.5M	6.5M	4.0M	-9.5M
Net VEX	-25.0K	-47.7K	-16.2K	-34.7K	-16.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.01	3.00	1.73	0.10
Total Volume	224.048	16	1,816	440	1,816
Total OI	6,036.095	2,958	8,583	7,859	3,878

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
2010-07-01	$108.14	$108.00	5.3%	1.5%	5.3%	37.0%	5.8%	3.0%	-0.1%	-7.3M	4.0M	-34.7K	1.73	48.52	161	279	567	7,292
2010-07-02	$107.83	$108.00	5.7%	1.6%	5.2%	41.5%	5.7%	1.8%	-0.6%	-7.7M	6.5M	-47.7K	0.01	82.99	79	1	683	7,480
2010-07-06	$108.28	$107.00	5.8%	1.7%	5.2%	42.6%	5.9%	2.3%	0.0%	-3.9M	989.8K	-32.4K	0.59	48.17	54	32	760	7,481
2010-07-07	$108.35	$107.00	6.0%	1.6%	5.2%	46.4%	6.4%	2.2%	0.1%	-530.1K	-1.6M	-22.9K	3.00	38.97	4	12	803	7,483
2010-07-08	$108.08	$107.00	6.0%	1.6%	5.4%	46.4%	6.3%	2.0%	0.5%	-7.8M	2.5M	-33.7K	0.78	35.43	9	7	805	7,491
2010-07-09	$107.95	$107.00	5.3%	1.6%	5.1%	35.9%	6.1%	2.0%	0.3%	-4.3M	1.9M	-31.8K	0.39	45.41	54	21	814	7,488
2010-07-12	$108.08	$107.00	6.4%	1.5%	5.0%	51.7%	6.3%	1.8%	0.3%	-4.5M	-19.7K	-24.7K	2.00	38.83	33	66	864	7,507
2010-07-13	$108.14	$107.00	5.9%	1.6%	4.9%	44.9%	4.9%	1.8%	0.2%	681.8K	-1.6M	-22.6K	1.35	37.22	46	62	895	7,559
2010-07-14	$108.62	$107.00	3.6%	1.3%	4.9%	12.9%	4.9%	1.4%	0.2%	-8.2K	-3.4M	-19.1K	0.68	44.39	41	28	900	7,600
2010-07-15	$108.81	$107.00	4.8%	1.4%	4.9%	28.9%	6.1%	2.2%	-0.0%	1.3M	-4.8M	-18.7K	0.60	49.26	50	30	937	7,625
2010-07-16	$109.00	$107.00	4.9%	1.4%	4.5%	30.3%	5.1%	3.3%	0.1%	956.7K	-5.9M	-16.3K	0.15	43.30	329	50	950	7,633
2010-07-19	$108.98	$107.00	4.6%	1.3%	4.5%	26.7%	5.3%	2.1%	0.6%	1.5M	-4.0M	-21.1K	2.31	57.67	29	67	927	2,031
2010-07-20	$109.10	$107.00	4.6%	1.3%	4.5%	26.5%	4.8%	2.6%	0.2%	1.5M	-4.6M	-18.2K	0.73	46.75	131	96	931	2,073
2010-07-21	$109.63	$108.00	3.8%	1.1%	4.5%	15.8%	4.6%	1.8%	0.1%	1.8M	-5.5M	-21.3K	0.97	52.08	115	111	1,061	2,154
2010-07-22	$109.49	$108.00	4.9%	1.4%	4.4%	30.6%	5.0%	1.6%	0.3%	1.7M	-5.2M	-23.6K	1.23	49.42	120	147	1,161	2,252
2010-07-23	$109.63	$108.00	4.1%	1.2%	4.1%	19.2%	4.3%	2.0%	0.6%	1.8M	-6.0M	-24.1K	0.13	52.44	96	12	1,228	2,374
2010-07-26	$109.73	$108.00	3.8%	1.1%	4.0%	15.9%	3.8%	1.1%	0.4%	2.3M	-7.3M	-21.7K	0.83	50.64	47	39	1,282	2,384
2010-07-27	$109.36	$108.00	4.3%	1.2%	4.0%	21.9%	3.8%	2.1%	0.7%	1.9M	-5.6M	-25.9K	0.82	46.40	112	92	1,288	2,413
2010-07-28	$109.75	$108.00	4.3%	1.2%	4.1%	22.9%	4.0%	4.5%	2.6%	2.6M	-6.7M	-27.1K	0.61	51.49	72	44	1,347	2,497
2010-07-29	$109.79	$108.00	2.8%	0.8%	3.9%	1.6%	4.3%	1.8%	0.8%	3.2M	-7.2M	-21.2K	1.71	36.01	41	70	1,333	2,527
2010-07-30	$110.30	$108.00	2.6%	0.7%	3.9%	0.0%	3.5%	1.8%	2.1%	2.5M	-9.5M	-16.2K	0.10	36.21	1,649	167	1,305	2,573