LQD Options History — April 2011

In April 2011, LQD traded between $108.02 and $110.47. ATM implied volatility averaged 4.8%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.6% (HV 20d: 4.1%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 5.61.

Notable Days

2011-04-29: Highest Volume — 3,627 contracts
2011-04-14: Largest IV spike — 52.8% change
2011-04-01: Highest IV Rank — 45.3%
2011-04-06: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.97	$108.02	$110.47	$108.28	$110.47
Max Pain	$108.05	$108.00	$109.00	$109.00	$108.00
ATM IV	4.8%	3.4%	5.6%	5.6%	4.1%
Expected Move	1.5%	1.2%	1.8%	1.6%	1.2%
HV 20d	4.1%	3.5%	4.7%	4.7%	3.5%
HV 60d	4.9%	4.7%	5.1%	5.1%	4.7%
IV Rank	33.8%	15.1%	45.3%	45.3%	24.7%
IV Percentile	21.2%	1.6%	38.9%	38.9%	7.5%
Term Structure	0.8%	-0.0%	4.0%	0.7%	4.0%
VWIV	5.2%	2.7%	6.6%	5.7%	2.9%
Skew 25d	1.5%	0.4%	3.0%	1.0%	3.0%
Skew 10d	3.2%	0.7%	4.8%	4.4%	2.3%
Call IV 25d	4.3%	2.0%	5.8%	4.9%	2.0%
Put IV 25d	5.8%	4.2%	7.2%	5.8%	5.1%
Bid-Ask Spread %	23.31	13.06	37.23	20.57	13.93
Gamma HHI	0.40	0.24	0.78	0.24	0.78
Net GEX	-7.6M	-10.8M	-2.8M	-8.3M	-10.8M
Net DEX	30.2M	2.1M	46.2M	41.4M	2.1M
Net VEX	-147.0K	-183.3K	-68.0K	-183.3K	-68.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.61	0.15	42.00	3.71	0.21
Total Volume	387.3	15	3,627	66	3,627
Total OI	48,602.35	47,451	49,716	48,425	48,243

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
2011-04-01	$108.28	$109.00	5.6%	1.6%	4.7%	45.3%	5.7%	1.0%	0.7%	-8.3M	41.4M	-183.3K	3.71	20.57	14	52	2,079	46,346
2011-04-04	$108.53	$108.00	5.3%	1.7%	4.6%	41.6%	5.7%	1.7%	0.8%	-6.9M	36.8M	-166.6K	0.27	29.76	45	12	2,081	46,366
2011-04-05	$108.59	$108.00	4.5%	1.6%	4.6%	29.6%	6.0%	1.4%	0.9%	-6.3M	36.6M	-158.5K	0.42	37.23	12	5	2,125	46,377
2011-04-06	$108.24	$108.00	4.7%	1.8%	4.4%	32.3%	6.3%	1.3%	0.4%	-7.8M	41.7M	-173.7K	2.88	31.26	26	75	2,135	46,375
2011-04-07	$108.08	$108.00	4.8%	1.7%	4.1%	33.9%	6.0%	1.4%	0.8%	-8.8M	44.7M	-173.8K	42.00	32.73	10	420	2,145	46,430
2011-04-08	$108.02	$108.00	5.1%	1.7%	4.1%	38.3%	5.8%	1.8%	0.7%	-9.5M	46.0M	-173.1K	10.40	25.36	25	260	2,155	46,622
2011-04-11	$108.03	$108.00	4.9%	1.6%	4.1%	36.2%	6.0%	1.7%	0.9%	-9.6M	46.2M	-159.3K	41.05	26.42	19	780	2,171	46,818
2011-04-12	$108.41	$108.00	3.4%	1.6%	4.3%	15.1%	5.2%	1.8%	0.5%	-7.9M	42.1M	-170.9K	0.72	25.46	47	34	2,181	47,535
2011-04-13	$108.60	$108.00	3.6%	1.5%	3.7%	17.3%	5.4%	2.7%	1.4%	-6.4M	37.4M	-157.7K	0.18	24.75	148	26	2,210	47,419
2011-04-14	$108.33	$108.00	5.4%	1.6%	3.8%	43.3%	5.4%	1.4%	0.4%	-8.5M	42.4M	-166.6K	2.00	30.16	5	10	2,279	47,420
2011-04-15	$108.90	$108.00	5.0%	1.4%	4.3%	37.2%	4.8%	1.2%	0.8%	-2.8M	29.4M	-146.1K	0.30	24.11	219	66	2,263	47,422
2011-04-18	$109.05	$108.00	4.9%	1.4%	4.2%	35.7%	6.0%	1.9%	1.1%	-9.2M	29.9M	-141.0K	0.24	20.19	405	96	1,367	46,084
2011-04-19	$109.28	$108.00	5.0%	1.4%	4.2%	37.4%	5.5%	1.0%	0.9%	-8.3M	24.7M	-151.1K	0.18	16.58	138	25	1,743	46,160
2011-04-20	$109.33	$108.00	4.9%	1.4%	4.2%	35.8%	4.6%	0.4%	0.6%	-8.0M	23.5M	-142.5K	0.33	20.78	63	21	1,840	46,180
2011-04-21	$109.43	$108.00	4.8%	1.4%	4.0%	34.4%	3.7%	1.5%	0.5%	-7.7M	20.8M	-132.3K	0.15	19.64	240	35	1,881	46,196
2011-04-25	$109.54	$108.00	5.0%	1.4%	4.0%	36.9%	5.2%	1.1%	0.6%	-7.9M	22.8M	-148.2K	0.88	18.06	24	21	2,003	46,230
2011-04-26	$110.05	$108.00	5.0%	1.4%	4.3%	37.5%	2.7%	1.9%	-0.0%	-5.6M	10.3M	-105.4K	1.52	16.89	61	93	2,025	46,241
2011-04-27	$109.91	$108.00	4.7%	1.3%	3.8%	32.4%	6.6%	1.6%	0.8%	-6.3M	14.5M	-120.3K	3.15	19.18	86	271	2,033	46,322
2011-04-28	$110.26	$108.00	4.6%	1.3%	3.8%	31.5%	4.6%	1.0%	0.5%	-5.5M	9.6M	-101.1K	1.64	13.06	87	143	1,953	46,592
2011-04-29	$110.47	$108.00	4.1%	1.2%	3.5%	24.7%	2.9%	3.0%	4.0%	-10.8M	2.1M	-68.0K	0.21	13.93	3,004	623	1,770	46,473