LQD Options History — August 2011

In August 2011, LQD traded between $110.38 and $114.00. ATM implied volatility averaged 9.3%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 2.1% (HV 20d: 11.4%). Max pain ranged from $111.00 to $112.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 4.67.

Notable Days

2011-08-18: Highest Volume — 3,227 contracts
2011-08-05: Largest IV spike — 34.1% change
2011-08-05: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.41	$110.38	$114.00	$112.28	$112.33
Max Pain	$111.83	$111.00	$112.00	$111.00	$112.00
ATM IV	9.3%	6.0%	12.6%	6.7%	7.3%
Expected Move	2.6%	1.7%	3.4%	1.9%	2.1%
HV 20d	11.4%	6.2%	14.2%	6.2%	13.7%
HV 60d	7.8%	5.2%	9.2%	5.2%	9.1%
IV Rank	71.4%	42.5%	100.0%	72.2%	42.5%
IV Percentile	90.4%	45.2%	100.0%	68.3%	81.7%
Term Structure	0.0%	-1.9%	1.5%	0.9%	1.1%
VWIV	9.6%	5.4%	12.5%	7.3%	7.0%
Skew 25d	2.4%	0.4%	3.8%	3.1%	0.8%
Skew 10d	5.1%	0.3%	8.2%	1.6%	4.9%
Call IV 25d	8.3%	4.1%	11.0%	4.7%	7.0%
Put IV 25d	10.8%	6.5%	13.6%	7.8%	7.8%
Bid-Ask Spread %	62.64	23.71	100.98	45.78	64.73
Gamma HHI	0.26	0.20	0.41	0.26	0.41
Net GEX	-11.0M	-18.4M	-7.1M	-10.5M	-8.4M
Net DEX	22.9M	1.8M	59.3M	22.0M	3.5M
Net VEX	-221.7K	-367.8K	-129.3K	-217.8K	-129.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.67	0.15	72.34	1.45	0.36
Total Volume	472.565	86	3,227	103	121
Total OI	75,991.13	74,459	77,631	74,459	76,352

Daily Data (23 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
2011-08-01	$112.28	$111.00	6.7%	1.9%	6.2%	72.2%	7.3%	3.1%	0.9%	-10.5M	22.0M	-217.8K	1.45	45.78	42	61	2,488	71,971
2011-08-02	$113.22	$111.00	6.0%	1.7%	6.7%	60.2%	5.4%	0.4%	1.5%	-8.1M	12.9M	-190.4K	3.27	23.71	52	170	2,515	71,983
2011-08-03	$113.18	$111.00	6.2%	1.8%	6.7%	63.3%	6.0%	1.5%	1.0%	-8.1M	10.7M	-190.4K	0.40	24.94	149	60	2,544	72,118
2011-08-04	$114.00	$111.00	7.2%	2.1%	7.0%	79.7%	7.4%	3.8%	0.9%	-7.1M	7.7M	-185.7K	0.15	100.98	75	11	2,629	72,167
2011-08-05	$112.59	$112.00	9.6%	2.8%	8.4%	100.0%	10.2%	2.1%	-0.3%	-10.6M	24.4M	-231.9K	5.67	75.30	83	471	2,675	72,177
2011-08-08	$111.52	$112.00	12.6%	3.4%	9.0%	100.0%	12.5%	2.6%	-1.9%	-16.0M	49.8M	-319.7K	0.56	71.44	870	484	2,698	72,509
2011-08-09	$112.52	$112.00	10.4%	3.0%	9.6%	78.9%	11.3%	1.7%	-0.4%	-11.6M	25.6M	-285.1K	0.73	69.96	123	90	3,462	72,743
2011-08-10	$113.53	$112.00	10.9%	3.0%	10.0%	81.0%	11.5%	2.7%	-0.9%	-9.3M	15.0M	-248.6K	1.30	66.51	56	73	3,567	72,778
2011-08-11	$111.20	$112.00	11.4%	3.3%	12.4%	86.6%	12.0%	3.2%	-1.0%	-18.4M	59.3M	-367.8K	0.89	55.89	123	109	3,604	72,810
2011-08-12	$112.47	$112.00	10.9%	3.1%	13.0%	81.6%	11.3%	2.9%	-0.6%	-13.3M	33.4M	-311.1K	0.77	54.18	288	222	3,689	72,851
2011-08-15	$112.68	$112.00	10.0%	2.9%	12.9%	71.6%	10.3%	3.0%	-0.1%	-9.1M	17.8M	-220.5K	0.39	58.69	282	110	3,804	72,997
2011-08-16	$113.09	$112.00	9.9%	2.8%	12.9%	70.2%	8.7%	2.2%	-0.5%	-8.3M	9.3M	-229.9K	8.61	58.00	28	241	4,170	73,085
2011-08-17	$113.40	$112.00	9.5%	2.7%	12.9%	66.0%	9.4%	2.4%	-0.4%	-7.2M	2.8M	-199.5K	0.57	55.39	107	61	4,176	73,221
2011-08-18	$113.55	$112.00	9.6%	2.7%	12.8%	67.0%	12.4%	2.8%	-0.0%	-7.1M	1.8M	-187.1K	72.34	53.37	44	3,183	4,195	73,239
2011-08-19	$113.41	$112.00	10.0%	2.9%	12.8%	71.6%	11.0%	2.8%	-0.6%	-7.6M	6.0M	-200.6K	3.42	60.34	67	229	4,122	73,509
2011-08-22	$112.99	$112.00	9.6%	2.8%	12.7%	67.5%	9.9%	2.6%	0.2%	-8.5M	13.4M	-189.7K	3.14	66.36	78	245	3,433	71,950
2011-08-23	$111.70	$112.00	9.9%	2.8%	13.4%	70.7%	10.8%	2.9%	0.1%	-12.4M	33.9M	-216.5K	1.48	64.44	203	300	3,477	72,078
2011-08-24	$110.38	$112.00	11.0%	3.1%	14.0%	82.2%	10.8%	2.2%	-0.8%	-18.0M	56.4M	-244.2K	0.44	94.33	540	240	3,610	72,152
2011-08-25	$110.99	$112.00	9.3%	2.7%	14.2%	64.1%	9.3%	3.6%	0.3%	-15.7M	42.6M	-206.8K	0.36	71.11	210	76	3,664	72,186
2011-08-26	$111.04	$112.00	9.0%	2.6%	13.7%	60.4%	9.3%	2.4%	1.0%	-14.4M	37.5M	-203.1K	0.26	66.52	232	61	3,808	72,207
2011-08-29	$111.40	$112.00	9.0%	2.6%	13.8%	60.7%	8.0%	2.6%	0.2%	-12.7M	27.5M	-177.0K	0.29	71.12	114	33	3,925	72,216
2011-08-30	$111.99	$112.00	7.5%	2.2%	13.6%	44.7%	8.1%	1.7%	1.3%	-11.4M	12.7M	-147.2K	0.54	67.71	293	159	4,001	72,241
2011-08-31	$112.33	$112.00	7.3%	2.1%	13.7%	42.5%	7.0%	0.8%	1.1%	-8.4M	3.5M	-129.3K	0.36	64.73	89	32	4,131	72,221