LQD Options History — February 2011

In February 2011, LQD traded between $106.84 and $109.22. ATM implied volatility averaged 6.8%, placing in the 62.0% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.4% (HV 20d: 5.4%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 12.05.

Notable Days

2011-02-09: Highest Volume — 1,243 contracts
2011-02-10: Largest IV spike — 20.3% change
2011-02-04: Highest IV Rank — 75.4%
2011-02-07: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.85	$106.84	$109.22	$107.91	$109.22
Max Pain	$108.84	$108.00	$109.00	$108.00	$109.00
ATM IV	6.8%	4.7%	7.8%	7.1%	4.7%
Expected Move	2.0%	1.4%	2.4%	2.0%	1.4%
HV 20d	5.4%	4.8%	5.8%	5.7%	5.4%
HV 60d	7.1%	6.8%	7.4%	7.4%	6.8%
IV Rank	62.0%	33.3%	75.4%	66.7%	33.3%
IV Percentile	77.3%	27.8%	96.4%	86.9%	27.8%
Term Structure	1.0%	0.1%	2.0%	0.9%	2.0%
VWIV	6.8%	4.4%	9.9%	5.6%	4.4%
Skew 25d	2.2%	0.8%	3.1%	1.9%	2.5%
Skew 10d	5.8%	1.7%	20.8%	5.3%	20.8%
Call IV 25d	6.1%	3.6%	7.4%	6.3%	3.6%
Put IV 25d	8.3%	6.1%	9.8%	8.2%	6.1%
Bid-Ask Spread %	22.80	16.00	28.37	25.21	16.00
Gamma HHI	0.33	0.25	0.50	0.25	0.45
Net GEX	-7.9M	-16.1M	-1.1M	-9.7M	-1.1M
Net DEX	27.6M	8.8M	50.9M	35.3M	8.8M
Net VEX	-122.4K	-210.3K	-63.5K	-193.7K	-63.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.05	0.00	170.75	0.07	1.05
Total Volume	297.474	3	1,243	86	948
Total OI	43,403.842	41,369	44,716	43,382	41,936

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
2011-02-01	$107.91	$108.00	7.1%	2.0%	5.7%	66.7%	5.6%	1.9%	0.9%	-9.7M	35.3M	-193.7K	0.07	25.21	80	6	3,225	40,157
2011-02-02	$107.70	$108.00	7.0%	2.0%	5.7%	64.2%	5.1%	1.1%	1.1%	-10.4M	37.2M	-186.6K	1.84	28.37	19	35	3,246	40,157
2011-02-03	$107.44	$108.00	7.3%	2.1%	5.1%	68.8%	7.0%	0.8%	1.1%	-10.9M	39.2M	-185.0K	0.25	28.08	116	29	3,252	40,188
2011-02-04	$107.11	$109.00	7.8%	2.3%	5.2%	75.4%	9.9%	2.9%	0.4%	-16.1M	50.9M	-210.3K	0.64	27.49	179	115	3,345	40,210
2011-02-07	$107.23	$109.00	7.3%	2.4%	4.8%	69.2%	7.9%	2.1%	0.1%	-12.3M	42.5M	-169.0K	1.82	26.70	39	71	3,499	40,190
2011-02-08	$106.84	$109.00	7.4%	2.3%	4.8%	69.8%	7.3%	1.1%	0.3%	-13.2M	47.6M	-178.8K	0.29	21.78	42	12	3,517	40,195
2011-02-09	$107.53	$109.00	6.4%	2.0%	5.5%	56.6%	7.3%	2.7%	0.8%	-11.6M	38.2M	-152.5K	0.01	21.37	1,230	13	3,531	40,195
2011-02-10	$107.00	$109.00	7.7%	2.2%	5.7%	74.6%	0.0%	1.4%	0.4%	-7.7M	37.0M	-123.7K	170.75	24.00	4	683	4,389	40,197
2011-02-11	$107.59	$109.00	6.7%	1.9%	5.8%	60.9%	6.7%	2.2%	1.1%	-7.9M	27.8M	-121.0K	0.00	21.09	20	0	4,389	40,298
2011-02-14	$107.66	$109.00	7.2%	2.1%	5.7%	67.4%	7.9%	2.2%	1.0%	-3.4M	20.9M	-93.1K	31.20	23.35	10	312	4,409	39,781
2011-02-15	$107.90	$109.00	6.9%	2.0%	5.7%	63.0%	0.0%	2.4%	1.3%	-4.4M	15.7M	-65.0K	0.00	19.77	3	0	4,404	39,958
2011-02-16	$107.77	$109.00	6.8%	2.0%	5.7%	62.5%	7.0%	2.0%	1.5%	-5.9M	20.0M	-86.3K	5.11	21.92	111	567	4,404	39,958
2011-02-17	$107.97	$109.00	7.0%	2.0%	5.6%	65.3%	6.9%	2.3%	1.1%	-10.7M	15.3M	-90.5K	3.60	23.73	5	18	4,494	40,222
2011-02-18	$108.13	$109.00	6.7%	1.9%	5.6%	60.1%	7.5%	2.8%	1.1%	-10.1M	15.4M	-95.3K	0.93	23.41	120	112	4,493	40,212
2011-02-22	$108.43	$109.00	6.8%	2.0%	5.7%	62.6%	6.6%	3.1%	0.8%	-4.6M	19.9M	-83.0K	1.71	22.44	63	108	2,312	39,057
2011-02-23	$108.30	$109.00	6.5%	1.9%	5.4%	58.3%	7.0%	2.5%	1.0%	-4.4M	20.4M	-77.9K	8.42	22.46	12	101	2,370	39,090
2011-02-24	$108.42	$109.00	6.4%	1.8%	5.1%	57.1%	5.5%	2.6%	1.0%	-3.8M	18.7M	-74.2K	0.04	18.12	363	15	2,381	39,136
2011-02-25	$108.93	$109.00	5.4%	1.6%	5.3%	42.8%	5.4%	3.1%	1.6%	-2.1M	13.8M	-76.7K	1.22	17.88	41	50	2,744	39,132
2011-02-28	$109.22	$109.00	4.7%	1.4%	5.4%	33.3%	4.4%	2.5%	2.0%	-1.1M	8.8M	-63.5K	1.05	16.00	462	486	2,784	39,152