LQD Options History — April 2012

In April 2012, LQD traded between $114.43 and $116.55. ATM implied volatility averaged 5.4%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.6% (HV 20d: 6.0%). Max pain ranged from $116.00 to $116.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.70.

Notable Days

2012-04-09: Highest Volume — 402 contracts
2012-04-27: Largest IV drop — 21.4% change
2012-04-10: Highest IV Rank — 32.5%
2012-04-11: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.79	$114.43	$116.55	$115.53	$116.48
Max Pain	$116.00	$116.00	$116.00	$116.00	$116.00
ATM IV	5.4%	3.6%	6.4%	5.0%	3.6%
Expected Move	1.5%	1.0%	1.8%	1.4%	1.0%
HV 20d	6.0%	4.8%	7.3%	5.9%	4.8%
HV 60d	5.2%	4.9%	5.4%	4.9%	5.0%
IV Rank	21.8%	1.4%	32.5%	16.8%	1.4%
IV Percentile	35.4%	0.4%	56.3%	24.6%	0.4%
Term Structure	0.3%	-0.3%	2.5%	0.6%	2.5%
VWIV	5.5%	2.8%	6.5%	5.1%	2.8%
Skew 25d	1.4%	-1.6%	3.0%	1.8%	1.5%
Skew 10d	3.2%	-1.1%	5.9%	1.2%	0.8%
Call IV 25d	4.9%	3.1%	5.9%	4.5%	3.5%
Put IV 25d	6.3%	4.0%	7.5%	6.3%	5.0%
Bid-Ask Spread %	49.56	22.40	75.41	28.75	22.40
Gamma HHI	0.25	0.20	0.29	0.23	0.29
Net GEX	-2.4M	-4.4M	-1.4M	-3.5M	-1.6M
Net DEX	11.9M	6.0M	21.1M	13.9M	6.0M
Net VEX	-63.8K	-72.5K	-54.4K	-54.4K	-54.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.70	0.07	8.00	1.87	0.07
Total Volume	181.95	16	402	135	75
Total OI	6,529.45	5,092	7,769	6,239	5,513

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
2012-04-02	$115.53	$116.00	5.0%	1.4%	5.9%	16.8%	5.1%	1.8%	0.6%	-3.5M	13.9M	-54.4K	1.87	28.75	47	88	857	5,382
2012-04-03	$114.43	$116.00	5.5%	1.6%	6.7%	22.7%	5.7%	-1.6%	0.2%	-4.4M	21.1M	-67.0K	2.22	24.82	121	269	891	5,414
2012-04-04	$114.65	$116.00	5.9%	1.7%	6.8%	27.1%	5.9%	-0.8%	-0.2%	-4.4M	20.5M	-69.5K	0.76	28.43	92	70	954	5,593
2012-04-05	$114.84	$116.00	5.5%	1.6%	6.8%	22.9%	5.4%	-0.3%	-0.3%	-2.8M	18.0M	-65.3K	0.36	27.41	184	67	1,026	5,621
2012-04-09	$115.59	$116.00	6.0%	1.5%	7.3%	27.8%	5.8%	2.4%	0.1%	-2.7M	12.9M	-64.1K	0.61	65.32	250	152	1,146	5,660
2012-04-10	$115.52	$116.00	6.4%	1.6%	7.3%	32.5%	5.7%	1.8%	-0.1%	-2.6M	13.2M	-68.5K	1.14	69.98	79	90	1,354	5,710
2012-04-11	$115.40	$116.00	5.9%	1.8%	7.2%	27.1%	6.3%	2.6%	-0.0%	-2.7M	14.9M	-72.5K	2.09	73.58	35	73	1,415	5,745
2012-04-12	$115.45	$116.00	6.1%	1.8%	5.8%	29.6%	0.0%	2.2%	-0.1%	-2.7M	14.0M	-71.6K	3.09	70.14	11	34	1,439	5,773
2012-04-13	$116.00	$116.00	5.6%	1.6%	5.9%	23.5%	6.1%	1.5%	0.0%	-1.9M	10.3M	-66.8K	2.20	75.41	5	11	1,440	5,785
2012-04-16	$116.00	$116.00	5.7%	1.6%	5.9%	24.1%	6.4%	1.0%	0.2%	-1.8M	8.7M	-61.0K	8.00	73.64	16	128	1,426	5,786
2012-04-17	$116.15	$116.00	5.5%	1.6%	5.8%	22.0%	5.4%	2.1%	0.4%	-2.1M	8.4M	-58.0K	0.27	70.45	118	32	1,432	5,891
2012-04-18	$116.13	$116.00	5.7%	1.6%	5.8%	24.6%	5.6%	1.7%	0.4%	-2.0M	9.0M	-67.4K	2.38	71.01	73	174	1,545	5,892
2012-04-19	$116.21	$116.00	5.9%	1.7%	5.7%	26.9%	6.4%	1.4%	0.2%	-1.8M	7.2M	-61.9K	2.64	72.17	67	177	1,592	5,984
2012-04-20	$116.18	$116.00	5.6%	1.6%	5.6%	23.7%	5.6%	1.3%	0.2%	-2.3M	8.8M	-65.6K	3.02	72.27	42	127	1,612	6,157
2012-04-23	$116.20	$116.00	5.1%	1.5%	5.6%	18.2%	5.1%	1.6%	0.5%	-2.0M	10.7M	-59.7K	0.28	31.12	233	66	1,033	4,059
2012-04-24	$115.99	$116.00	4.9%	1.4%	5.6%	15.9%	5.4%	1.8%	0.6%	-2.1M	11.2M	-62.1K	0.91	29.46	91	83	1,097	4,124
2012-04-25	$116.19	$116.00	5.2%	1.5%	5.0%	19.0%	4.8%	3.0%	0.7%	-1.8M	10.6M	-62.3K	0.66	27.43	68	45	1,182	4,182
2012-04-26	$116.38	$116.00	5.4%	1.5%	4.9%	21.1%	6.5%	1.4%	-0.2%	-1.7M	9.7M	-62.0K	0.81	30.49	102	83	1,192	4,205
2012-04-27	$116.55	$116.00	4.2%	1.2%	4.9%	8.6%	5.0%	1.7%	0.9%	-1.4M	8.4M	-61.0K	0.56	26.82	103	58	1,287	4,193
2012-04-30	$116.48	$116.00	3.6%	1.0%	4.8%	1.4%	2.8%	1.5%	2.5%	-1.6M	6.0M	-54.4K	0.07	22.40	70	5	1,320	4,193