LQD Options History — February 2012

In February 2012, LQD traded between $115.82 and $117.70. ATM implied volatility averaged 5.1%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.1% (HV 20d: 4.0%). Max pain ranged from $116.00 to $120.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.31.

Notable Days

2012-02-06: Highest Volume — 863 contracts
2012-02-09: Largest IV spike — 29.5% change
2012-02-15: Highest IV Rank — 26.3%
2012-02-15: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$116.55	$115.82	$117.70	$116.27	$117.70
Max Pain	$117.20	$116.00	$120.00	$116.00	$117.00
ATM IV	5.1%	4.1%	5.8%	4.5%	4.1%
Expected Move	1.5%	1.2%	1.7%	1.3%	1.2%
HV 20d	4.0%	3.8%	4.3%	4.3%	3.8%
HV 60d	5.3%	4.9%	5.8%	5.8%	4.9%
IV Rank	18.0%	7.7%	26.3%	11.7%	7.7%
IV Percentile	21.6%	3.2%	39.3%	7.5%	3.2%
Term Structure	0.5%	0.1%	1.0%	0.9%	0.5%
VWIV	5.5%	4.8%	6.7%	4.8%	5.2%
Skew 25d	1.6%	-0.2%	2.6%	2.4%	1.4%
Skew 10d	3.3%	-0.8%	6.0%	1.1%	1.2%
Call IV 25d	4.5%	2.7%	5.2%	2.7%	4.1%
Put IV 25d	6.1%	4.2%	7.1%	5.1%	5.5%
Bid-Ask Spread %	38.85	13.44	88.52	88.52	14.42
Gamma HHI	0.20	0.13	0.41	0.17	0.41
Net GEX	-201.9K	-1.5M	966.8K	-1.5M	966.8K
Net DEX	6.0M	-373.7K	10.5M	7.3M	-373.7K
Net VEX	-43.9K	-58.5K	-24.5K	-35.8K	-24.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.31	0.05	22.33	1.30	1.18
Total Volume	234	37	863	191	454
Total OI	19,694.2	19,073	20,343	19,073	19,743

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
2012-02-01	$116.27	$116.00	4.5%	1.3%	4.3%	11.7%	4.8%	2.4%	0.9%	-1.5M	7.3M	-35.8K	1.30	88.52	83	108	674	18,399
2012-02-02	$116.51	$116.00	4.7%	1.3%	4.3%	14.1%	4.8%	-0.2%	0.2%	-1.3M	6.6M	-34.0K	1.30	25.01	115	149	668	18,501
2012-02-03	$116.34	$120.00	4.6%	1.5%	3.9%	13.0%	5.6%	1.8%	0.6%	-1.0M	7.6M	-38.5K	1.69	66.59	58	98	783	18,529
2012-02-06	$116.64	$120.00	4.7%	1.5%	3.8%	13.9%	5.0%	1.8%	0.5%	-1.2M	7.5M	-46.8K	0.17	64.53	735	128	799	18,480
2012-02-07	$116.42	$117.00	4.6%	1.7%	3.9%	12.6%	6.5%	1.9%	0.2%	933.8K	6.3M	-58.5K	7.26	65.66	34	247	1,512	18,554
2012-02-08	$116.54	$117.00	4.4%	1.4%	3.8%	11.0%	5.8%	2.4%	0.4%	664.1K	4.5M	-55.0K	13.09	49.46	11	144	1,540	18,674
2012-02-09	$116.17	$117.00	5.7%	1.6%	4.1%	25.1%	5.4%	1.1%	0.2%	428.1K	6.3M	-54.7K	0.05	57.22	740	35	1,549	18,794
2012-02-10	$116.06	$117.00	5.7%	1.6%	4.1%	24.4%	6.7%	1.5%	0.1%	-1.1M	10.5M	-57.5K	4.30	63.67	10	43	1,128	18,823
2012-02-13	$116.46	$117.00	5.8%	1.7%	4.1%	26.1%	5.8%	1.7%	0.1%	-624.3K	7.0M	-53.2K	22.33	44.03	3	67	1,133	18,739
2012-02-14	$116.55	$117.00	5.5%	1.6%	4.0%	22.9%	5.7%	1.4%	0.3%	-183.0K	3.9M	-39.1K	1.15	30.18	34	39	1,136	18,741
2012-02-15	$116.39	$117.00	5.8%	1.7%	4.0%	26.3%	6.3%	1.3%	0.5%	-299.8K	5.6M	-47.3K	4.48	36.75	25	112	1,132	18,726
2012-02-16	$116.19	$117.00	5.8%	1.7%	4.1%	26.0%	5.9%	2.0%	0.1%	-151.3K	7.9M	-51.2K	2.52	40.39	60	151	1,142	18,811
2012-02-17	$116.01	$117.00	5.3%	1.5%	4.0%	20.5%	5.0%	1.3%	1.0%	850.1K	8.9M	-48.1K	0.48	28.87	122	58	1,160	18,855
2012-02-21	$115.82	$117.00	5.1%	1.5%	4.0%	18.1%	4.9%	1.6%	1.0%	-1.2M	9.3M	-44.8K	1.69	21.38	52	88	891	18,370
2012-02-22	$116.54	$117.00	5.2%	1.5%	4.3%	19.7%	5.6%	1.7%	0.9%	-236.7K	6.4M	-41.3K	7.38	19.21	32	236	921	18,429
2012-02-23	$116.70	$117.00	5.1%	1.5%	4.2%	18.4%	5.8%	1.6%	0.8%	114.1K	5.2M	-34.9K	9.08	19.77	13	118	952	18,606
2012-02-24	$116.79	$117.00	4.9%	1.4%	3.9%	15.8%	5.0%	2.6%	0.4%	-85.5K	5.2M	-40.6K	4.29	13.44	7	30	954	18,690
2012-02-27	$117.22	$117.00	4.9%	1.4%	3.8%	15.8%	4.8%	2.6%	0.4%	250.0K	3.5M	-37.0K	0.68	14.13	79	54	961	18,683
2012-02-28	$117.59	$117.00	4.9%	1.4%	3.9%	16.2%	5.6%	1.2%	0.1%	499.3K	1.7M	-35.1K	1.84	13.71	38	70	1,025	18,677
2012-02-29	$117.70	$117.00	4.1%	1.2%	3.8%	7.7%	5.2%	1.4%	0.5%	966.8K	-373.7K	-24.5K	1.18	14.42	208	246	1,022	18,721