LQD Options History — January 2012

In January 2012, LQD traded between $113.27 and $116.20. ATM implied volatility averaged 4.9%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.2% (HV 20d: 4.7%). Max pain ranged from $112.00 to $114.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.96.

Notable Days

2012-01-31: Highest Volume — 2,530 contracts
2012-01-12: Largest IV spike — 25.2% change
2012-01-12: Highest IV Rank — 25.2%
2012-01-09: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.50	$113.27	$116.20	$113.67	$116.20
Max Pain	$113.00	$112.00	$114.00	$112.00	$114.00
ATM IV	4.9%	3.9%	5.7%	4.9%	4.3%
Expected Move	1.5%	1.2%	1.6%	1.4%	1.2%
HV 20d	4.7%	4.0%	6.0%	6.0%	4.3%
HV 60d	5.7%	5.6%	5.8%	5.7%	5.8%
IV Rank	15.9%	5.6%	25.2%	16.6%	9.8%
IV Percentile	13.4%	1.6%	28.6%	12.3%	4.8%
Term Structure	0.6%	0.1%	1.1%	1.0%	0.1%
VWIV	5.6%	4.1%	7.9%	5.5%	6.2%
Skew 25d	1.8%	-1.3%	3.6%	0.5%	1.6%
Skew 10d	3.7%	0.4%	9.0%	1.0%	9.0%
Call IV 25d	4.5%	3.3%	5.3%	4.1%	3.7%
Put IV 25d	6.3%	3.9%	7.6%	4.6%	5.3%
Bid-Ask Spread %	78.32	55.08	89.17	62.85	82.25
Gamma HHI	0.17	0.13	0.25	0.14	0.18
Net GEX	-7.1K	-881.0K	907.7K	-232.4K	182.0K
Net DEX	3.0M	-4.5M	9.7M	4.7M	-3.0M
Net VEX	-91.6K	-114.6K	-55.7K	-109.1K	-64.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	0.26	8.82	0.81	0.26
Total Volume	307.15	45	2,530	507	2,530
Total OI	20,973.9	20,235	21,688	20,873	20,650

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
2012-01-03	$113.67	$112.00	4.9%	1.4%	6.0%	16.6%	5.5%	0.5%	1.0%	-232.4K	4.7M	-109.1K	0.81	62.85	280	227	2,382	18,491
2012-01-04	$113.76	$112.00	5.0%	1.4%	5.5%	16.9%	5.2%	0.9%	0.9%	-317.0K	4.7M	-106.6K	2.45	59.83	20	49	2,356	18,519
2012-01-05	$113.27	$112.00	5.3%	1.5%	5.3%	20.3%	5.1%	-1.3%	1.0%	-568.0K	9.7M	-114.6K	8.82	55.08	17	150	2,362	18,559
2012-01-06	$113.71	$112.00	4.6%	1.6%	5.1%	13.3%	0.0%	2.4%	0.7%	-775.0K	6.3M	-106.2K	4.63	78.91	8	37	2,372	18,676
2012-01-09	$113.54	$112.00	3.9%	1.6%	4.9%	5.6%	7.9%	2.2%	0.3%	-881.0K	7.2M	-113.4K	0.46	81.00	199	91	2,376	18,695
2012-01-10	$113.86	$112.00	4.8%	1.6%	4.7%	15.5%	6.0%	2.2%	0.5%	218.9K	5.7M	-109.0K	0.52	80.52	54	28	2,542	18,774
2012-01-11	$113.84	$112.00	4.6%	1.6%	4.7%	12.7%	5.8%	2.2%	0.5%	4.1K	6.5M	-109.8K	1.67	82.65	21	35	2,429	18,800
2012-01-12	$114.10	$112.00	5.7%	1.6%	4.6%	25.2%	5.5%	1.8%	0.4%	114.2K	3.2M	-102.3K	1.53	83.95	19	29	2,448	18,835
2012-01-13	$114.51	$112.00	5.2%	1.5%	4.7%	19.0%	5.3%	2.4%	0.3%	-405.5K	1.2M	-103.6K	0.79	84.13	118	93	2,463	18,863
2012-01-17	$114.86	$112.00	5.6%	1.6%	4.7%	23.5%	5.8%	3.6%	0.7%	-35.0K	-1.4M	-97.3K	2.55	82.44	75	191	2,568	18,883
2012-01-18	$114.63	$114.00	5.3%	1.5%	4.5%	20.2%	6.5%	2.0%	0.3%	-372.4K	3.7M	-95.0K	2.98	89.17	41	122	2,277	19,072
2012-01-19	$114.60	$114.00	5.0%	1.4%	4.4%	16.8%	5.1%	2.3%	0.8%	-712.6K	4.4M	-93.6K	1.65	88.06	106	175	2,283	19,184
2012-01-20	$114.31	$114.00	5.3%	1.5%	4.5%	21.1%	5.3%	1.8%	0.6%	224.6K	4.4M	-85.9K	0.79	84.17	153	121	2,368	19,320
2012-01-23	$114.14	$114.00	5.2%	1.5%	4.3%	19.3%	5.3%	1.8%	0.9%	50.2K	7.4M	-82.5K	2.60	70.21	67	174	2,072	18,163
2012-01-24	$114.55	$114.00	4.8%	1.4%	4.1%	15.1%	5.2%	2.1%	0.7%	729.8K	2.8M	-65.7K	1.47	68.41	57	84	2,128	18,281
2012-01-25	$114.94	$114.00	4.7%	1.4%	4.0%	14.2%	5.1%	1.8%	0.6%	295.7K	2.1M	-85.1K	2.49	83.32	107	266	2,070	18,326
2012-01-26	$115.54	$114.00	4.1%	1.2%	4.2%	7.9%	5.5%	2.3%	1.1%	656.8K	-1.7M	-73.1K	1.08	86.84	66	71	2,138	18,502
2012-01-27	$116.01	$114.00	4.5%	1.3%	4.4%	11.5%	5.4%	2.2%	0.5%	907.7K	-4.5M	-55.7K	1.39	82.96	36	50	2,075	18,556
2012-01-30	$115.86	$114.00	4.6%	1.3%	4.4%	12.8%	4.1%	1.5%	0.1%	772.3K	-3.7M	-59.9K	0.32	79.70	133	43	2,067	18,553
2012-01-31	$116.20	$114.00	4.3%	1.2%	4.3%	9.8%	6.2%	1.6%	0.1%	182.0K	-3.0M	-64.0K	0.26	82.25	2,004	526	2,074	18,576