LQD Options History — July 2011

In July 2011, LQD traded between $109.71 and $112.37. ATM implied volatility averaged 6.7%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.3% (HV 20d: 5.4%). Max pain ranged from $108.00 to $111.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 5.41.

Notable Days

2011-07-18: Highest Volume — 1,119 contracts
2011-07-14: Largest IV spike — 57.7% change
2011-07-27: Highest IV Rank — 86.6%
2011-07-27: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.12	$109.71	$112.37	$109.71	$112.37
Max Pain	$110.55	$108.00	$111.00	$111.00	$111.00
ATM IV	6.7%	4.6%	7.6%	7.1%	6.3%
Expected Move	2.0%	1.8%	2.2%	2.0%	1.8%
HV 20d	5.4%	4.5%	6.4%	4.5%	6.4%
HV 60d	4.7%	4.3%	5.3%	4.3%	5.3%
IV Rank	72.7%	38.0%	86.6%	79.1%	65.5%
IV Percentile	73.3%	15.9%	95.6%	86.1%	57.5%
Term Structure	0.6%	0.2%	1.0%	0.6%	1.0%
VWIV	7.1%	6.1%	8.0%	7.6%	6.3%
Skew 25d	1.9%	1.0%	3.0%	1.6%	1.0%
Skew 10d	4.1%	0.2%	6.5%	1.5%	4.3%
Call IV 25d	6.2%	5.1%	7.1%	6.3%	6.1%
Put IV 25d	8.1%	7.1%	8.8%	7.9%	7.1%
Bid-Ask Spread %	33.56	16.64	50.43	25.45	27.53
Gamma HHI	0.31	0.22	0.36	0.22	0.29
Net GEX	-12.9M	-21.1M	-8.2M	-21.1M	-12.8M
Net DEX	43.5M	17.7M	80.0M	80.0M	17.7M
Net VEX	-235.2K	-336.4K	-182.3K	-336.4K	-182.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.41	0.21	57.20	3.00	4.50
Total Volume	298.1	47	1,119	124	853
Total OI	73,598.1	71,483	74,506	74,506	73,929

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
2011-07-01	$109.71	$111.00	7.1%	2.0%	4.5%	79.1%	7.6%	1.6%	0.6%	-21.1M	80.0M	-336.4K	3.00	25.45	31	93	1,580	72,926
2011-07-05	$110.10	$108.00	7.0%	2.2%	4.7%	77.1%	7.4%	1.6%	0.6%	-19.6M	67.4M	-295.7K	0.29	44.82	258	76	1,603	71,895
2011-07-06	$110.33	$109.00	7.2%	2.2%	4.6%	79.9%	7.1%	1.9%	0.4%	-19.6M	66.5M	-299.9K	0.98	39.37	46	45	1,773	71,970
2011-07-07	$110.36	$110.00	6.6%	2.1%	4.6%	70.2%	7.5%	2.1%	0.6%	-19.6M	64.5M	-293.7K	1.15	34.20	60	69	1,795	72,014
2011-07-08	$111.07	$110.00	5.1%	2.0%	5.1%	45.8%	6.4%	1.8%	0.8%	-14.7M	45.7M	-242.4K	3.00	36.42	25	75	1,855	72,065
2011-07-11	$111.44	$110.00	6.1%	2.0%	5.2%	61.7%	6.5%	1.9%	0.7%	-12.4M	36.6M	-217.6K	0.61	40.65	247	151	1,859	72,123
2011-07-12	$111.53	$110.00	5.7%	2.0%	5.2%	54.8%	7.1%	1.8%	0.7%	-10.3M	33.2M	-218.2K	3.88	46.01	24	93	2,089	72,006
2011-07-13	$111.81	$111.00	4.6%	1.9%	5.0%	38.0%	6.1%	1.8%	0.8%	-8.2M	29.5M	-211.2K	0.69	33.92	126	87	2,113	72,073
2011-07-14	$111.12	$111.00	7.3%	2.1%	5.3%	81.6%	7.1%	2.0%	0.7%	-10.9M	38.8M	-222.4K	0.21	40.49	87	18	2,164	72,139
2011-07-15	$111.37	$111.00	7.0%	2.0%	5.3%	76.2%	6.7%	1.6%	0.9%	-10.7M	37.8M	-217.6K	2.46	38.44	28	69	2,169	72,149
2011-07-18	$110.94	$111.00	7.0%	2.0%	5.5%	76.8%	7.4%	1.7%	0.5%	-11.0M	42.2M	-219.1K	16.76	16.64	63	1,056	1,888	69,595
2011-07-19	$111.48	$111.00	7.2%	2.1%	5.7%	80.3%	7.7%	2.0%	0.5%	-10.5M	36.8M	-213.9K	5.71	20.56	65	371	1,909	70,630
2011-07-20	$111.22	$111.00	7.0%	2.0%	5.8%	77.3%	7.0%	1.8%	0.7%	-10.9M	39.2M	-221.4K	0.35	32.97	325	114	1,962	70,931
2011-07-21	$111.05	$111.00	7.1%	2.0%	5.8%	78.3%	7.5%	2.0%	1.0%	-11.1M	42.4M	-219.3K	57.20	24.88	5	286	1,943	70,974
2011-07-22	$111.50	$111.00	7.1%	2.0%	5.9%	77.9%	7.0%	1.9%	0.8%	-10.7M	38.3M	-209.5K	1.76	24.27	17	30	1,943	71,229
2011-07-25	$110.97	$111.00	7.4%	2.1%	6.1%	82.6%	7.7%	2.0%	0.6%	-11.6M	42.1M	-212.8K	0.21	32.62	581	124	1,946	71,239
2011-07-26	$111.46	$111.00	7.3%	2.1%	6.2%	81.8%	7.4%	3.0%	0.3%	-10.7M	34.8M	-221.5K	1.88	40.15	25	47	2,474	71,320
2011-07-27	$111.13	$111.00	7.6%	2.2%	5.8%	86.6%	7.5%	2.2%	0.2%	-11.7M	40.3M	-227.7K	0.75	21.39	110	83	2,485	71,354
2011-07-28	$111.37	$111.00	7.3%	2.1%	5.7%	81.5%	8.0%	2.6%	0.6%	-11.0M	36.0M	-221.3K	2.81	50.43	26	73	2,534	71,317
2011-07-29	$112.37	$111.00	6.3%	1.8%	6.4%	65.5%	6.3%	1.0%	1.0%	-12.8M	17.7M	-182.3K	4.50	27.53	155	698	2,550	71,379