LQD Options History — January 2011

In January 2011, LQD traded between $108.20 and $109.45. ATM implied volatility averaged 6.9%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.4% (HV 20d: 7.3%). Max pain ranged from $108.00 to $108.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 6.05.

Notable Days

2011-01-25: Highest Volume — 4,729 contracts
2011-01-13: Largest IV spike — 25.0% change
2011-01-19: Highest IV Rank — 76.7%
2011-01-19: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.76	$108.20	$109.45	$108.86	$108.48
Max Pain	$108.00	$108.00	$108.00	$108.00	$108.00
ATM IV	6.9%	6.0%	7.9%	6.1%	6.5%
Expected Move	2.1%	1.8%	2.3%	1.8%	1.9%
HV 20d	7.3%	5.5%	9.2%	9.2%	5.6%
HV 60d	7.8%	7.7%	8.1%	7.8%	7.7%
IV Rank	63.7%	51.4%	76.7%	52.9%	57.8%
IV Percentile	83.7%	67.5%	98.0%	71.0%	75.4%
Term Structure	0.7%	0.3%	1.8%	1.2%	1.8%
VWIV	7.2%	5.2%	8.5%	6.6%	5.2%
Skew 25d	1.7%	0.7%	2.3%	1.2%	0.7%
Skew 10d	3.6%	-1.8%	6.3%	1.8%	-1.8%
Call IV 25d	6.5%	5.4%	7.2%	5.8%	6.6%
Put IV 25d	8.2%	7.0%	9.2%	7.0%	7.4%
Bid-Ask Spread %	31.29	18.23	41.84	19.15	25.23
Gamma HHI	0.32	0.16	0.60	0.58	0.29
Net GEX	-1.8M	-10.3M	3.3M	-7.8M	-3.6M
Net DEX	14.8M	1.7M	46.1M	37.3M	20.1M
Net VEX	-104.6K	-342.9K	-44.3K	-310.9K	-100.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.05	0.22	43.04	1.05	3.75
Total Volume	570.3	28	4,729	213	38
Total OI	40,312.35	38,524	43,398	39,144	43,398

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
2011-01-03	$108.86	$108.00	6.1%	1.8%	9.2%	52.9%	6.6%	1.2%	1.2%	-7.8M	37.3M	-310.9K	1.05	19.15	104	109	2,168	36,976
2011-01-04	$109.00	$108.00	6.9%	2.0%	8.8%	63.7%	7.2%	1.2%	0.4%	-7.2M	31.7M	-311.5K	43.04	18.23	53	2,281	2,217	36,959
2011-01-05	$108.20	$108.00	7.1%	2.0%	8.5%	65.6%	7.0%	1.3%	0.8%	-9.4M	46.1M	-342.9K	19.20	25.08	5	96	2,259	37,066
2011-01-06	$108.36	$108.00	7.0%	2.0%	8.2%	65.1%	7.0%	1.9%	1.0%	-2.6M	13.7M	-83.5K	0.81	24.31	16	13	2,260	37,148
2011-01-07	$108.91	$108.00	6.2%	2.2%	8.4%	53.5%	8.1%	2.1%	0.5%	-1.1M	9.7M	-78.0K	8.86	26.67	7	62	2,266	37,159
2011-01-10	$109.10	$108.00	6.4%	2.1%	8.2%	57.1%	7.7%	2.2%	0.8%	415.1K	6.6M	-60.4K	0.22	27.87	37	8	2,266	37,135
2011-01-11	$109.05	$108.00	6.3%	2.1%	8.1%	54.4%	7.2%	2.1%	0.6%	1.5M	5.2M	-52.6K	0.27	31.93	250	68	2,281	37,143
2011-01-12	$108.98	$108.00	6.0%	2.1%	7.8%	51.4%	6.8%	2.2%	0.6%	1.9M	5.5M	-52.8K	1.15	37.52	13	15	2,464	37,183
2011-01-13	$109.45	$108.00	7.5%	2.2%	7.4%	72.3%	7.7%	1.8%	0.7%	2.9M	1.7M	-50.5K	0.58	41.07	88	51	2,464	37,198
2011-01-14	$108.93	$108.00	7.5%	2.1%	7.6%	71.3%	6.9%	2.0%	0.6%	2.8M	4.5M	-50.9K	0.52	39.52	21	11	2,520	37,239
2011-01-18	$108.87	$108.00	7.6%	2.2%	6.9%	73.2%	8.2%	1.9%	0.6%	3.3M	4.7M	-44.3K	17.86	35.95	35	625	2,525	37,242
2011-01-19	$108.79	$108.00	7.9%	2.3%	6.9%	76.7%	8.3%	1.8%	0.5%	3.2M	7.2M	-49.7K	9.21	39.61	19	175	2,543	37,694
2011-01-20	$108.32	$108.00	7.9%	2.3%	7.0%	76.7%	7.9%	2.0%	0.3%	2.0M	11.8M	-45.7K	4.63	39.82	104	481	2,549	37,788
2011-01-21	$108.48	$108.00	7.4%	2.1%	7.1%	70.1%	7.5%	1.9%	0.8%	2.4M	11.0M	-47.7K	0.73	41.84	135	98	2,528	37,970
2011-01-24	$108.53	$108.00	7.0%	2.0%	7.1%	64.3%	7.2%	1.7%	0.7%	-719.8K	12.0M	-48.0K	0.92	28.69	526	482	1,370	37,154
2011-01-25	$109.07	$108.00	7.1%	2.0%	7.2%	65.8%	8.5%	2.3%	0.5%	-375.0K	8.5M	-51.4K	1.97	27.12	1,590	3,139	1,879	37,559
2011-01-26	$108.46	$108.00	7.4%	2.1%	6.1%	70.8%	7.6%	1.6%	0.8%	-10.2M	21.4M	-106.2K	1.03	34.62	208	214	3,010	40,043
2011-01-27	$108.64	$108.00	6.2%	1.8%	5.5%	54.0%	5.9%	1.4%	0.8%	-10.3M	20.1M	-101.7K	4.25	27.34	24	102	3,201	40,083
2011-01-28	$108.78	$108.00	6.5%	1.9%	5.5%	58.2%	5.9%	1.1%	0.5%	-2.7M	16.2M	-103.0K	0.94	34.31	53	50	3,211	40,129
2011-01-31	$108.48	$108.00	6.5%	1.9%	5.6%	57.8%	5.2%	0.7%	1.8%	-3.6M	20.1M	-100.7K	3.75	25.23	8	30	3,253	40,145