LQD Options History — July 2012

In July 2012, LQD traded between $117.82 and $121.28. ATM implied volatility averaged 4.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.9% (HV 20d: 2.9%). Max pain ranged from $117.00 to $120.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 6.70.

Notable Days

2012-07-23: Highest Volume — 1,625 contracts
2012-07-12: Largest IV spike — 34.4% change
2012-07-13: Highest IV Rank — 21.6%
2012-07-13: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.67	$117.82	$121.28	$117.82	$121.28
Max Pain	$118.43	$117.00	$120.00	$117.00	$120.00
ATM IV	4.8%	4.0%	5.5%	4.8%	4.3%
Expected Move	1.4%	1.2%	1.6%	1.4%	1.2%
HV 20d	2.9%	2.3%	3.9%	3.3%	3.9%
HV 60d	4.2%	4.1%	4.4%	4.3%	4.4%
IV Rank	14.2%	4.6%	21.6%	13.4%	8.4%
IV Percentile	19.2%	1.6%	39.7%	11.5%	5.2%
Term Structure	0.4%	-0.4%	1.0%	0.4%	1.0%
VWIV	5.2%	4.3%	6.0%	5.4%	4.8%
Skew 25d	1.7%	-0.1%	3.1%	2.3%	2.3%
Skew 10d	2.6%	-0.1%	6.4%	0.8%	5.5%
Call IV 25d	4.3%	3.3%	4.9%	3.6%	3.3%
Put IV 25d	6.0%	4.7%	7.3%	5.9%	5.6%
Bid-Ask Spread %	62.05	17.73	97.63	23.75	22.39
Gamma HHI	0.33	0.18	0.62	0.62	0.24
Net GEX	-2.0M	-7.1M	382.3K	-7.1M	-3.9M
Net DEX	-54.6K	-7.7M	11.5M	11.5M	630.1K
Net VEX	-46.9K	-99.1K	-22.5K	-75.3K	-54.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.70	0.26	55.03	1.21	0.42
Total Volume	353.19	62	1,625	188	1,454
Total OI	8,069.762	3,160	9,865	9,094	6,118

Daily Data (21 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
2012-07-02	$117.82	$117.00	4.8%	1.4%	3.3%	13.4%	5.4%	2.3%	0.4%	-7.1M	11.5M	-75.3K	1.21	23.75	85	103	909	8,185
2012-07-03	$117.92	$117.00	4.2%	1.2%	3.2%	7.4%	4.5%	1.9%	0.9%	-5.5M	2.8M	-48.1K	9.53	97.63	19	181	992	8,189
2012-07-05	$118.22	$117.00	4.5%	1.3%	2.9%	10.2%	4.3%	-0.1%	0.9%	-4.0M	1.7M	-49.4K	1.19	24.31	47	56	1,004	8,141
2012-07-06	$118.52	$118.00	4.5%	1.3%	2.9%	10.8%	5.1%	3.1%	0.5%	-866.3K	-1.7M	-36.8K	1.37	71.87	30	41	1,013	8,189
2012-07-09	$118.60	$118.00	4.2%	1.3%	2.8%	6.7%	4.5%	1.9%	0.6%	-2.1M	-545.2K	-42.3K	12.90	73.23	21	271	1,019	8,229
2012-07-10	$118.57	$118.00	4.2%	1.4%	2.8%	7.3%	0.0%	1.8%	0.8%	-2.4M	-253.5K	-42.6K	0.26	78.92	106	28	1,021	8,475
2012-07-11	$118.77	$118.00	4.0%	1.4%	2.4%	4.6%	4.9%	1.6%	0.6%	-1.3M	-1.4M	-40.6K	0.54	82.67	79	43	1,019	8,488
2012-07-12	$119.37	$118.00	5.3%	1.5%	2.6%	19.8%	5.4%	2.2%	-0.1%	382.3K	-5.2M	-30.0K	0.33	81.02	57	19	1,096	8,517
2012-07-13	$119.41	$118.00	5.5%	1.6%	2.5%	21.6%	0.0%	1.8%	-0.4%	330.1K	-5.4M	-28.0K	0.35	84.98	46	16	1,101	8,536
2012-07-16	$119.74	$118.00	4.8%	1.4%	2.3%	14.2%	4.6%	1.3%	0.2%	223.8K	-6.4M	-25.6K	0.32	83.95	76	24	1,075	8,552
2012-07-17	$119.74	$118.00	4.8%	1.4%	2.3%	14.2%	5.6%	2.1%	-0.3%	-883.3K	-4.5M	-30.1K	12.25	84.26	12	147	1,070	8,573
2012-07-18	$120.40	$118.00	5.1%	1.5%	2.6%	16.9%	5.1%	1.1%	-0.4%	-11.5K	-7.4M	-23.2K	1.31	93.89	29	38	1,073	8,690
2012-07-19	$120.61	$118.00	5.2%	1.5%	2.6%	18.4%	5.3%	1.7%	0.1%	-3.9K	-7.7M	-22.5K	19.14	82.66	7	134	1,065	8,685
2012-07-20	$120.70	$118.00	5.3%	1.5%	2.6%	18.7%	6.0%	0.9%	0.5%	-511.2K	-6.6M	-27.8K	4.87	78.31	77	375	1,066	8,799
2012-07-23	$120.31	$119.00	5.5%	1.6%	3.0%	21.0%	5.6%	0.7%	0.2%	-789.2K	-1.6M	-25.9K	55.03	36.36	29	1,596	794	2,366
2012-07-24	$120.50	$119.00	5.4%	1.5%	3.0%	19.9%	5.7%	1.7%	0.5%	-2.2M	4.6M	-69.8K	4.23	34.35	103	436	797	3,955
2012-07-25	$120.73	$120.00	5.4%	1.5%	3.0%	20.2%	5.6%	1.8%	0.4%	-2.5M	5.8M	-79.9K	7.48	36.39	67	501	860	4,246
2012-07-26	$120.92	$120.00	5.1%	1.5%	3.0%	16.9%	5.7%	1.8%	0.5%	-3.0M	7.1M	-88.6K	4.43	27.51	86	381	898	4,653
2012-07-27	$120.35	$120.00	4.9%	1.4%	3.7%	14.9%	5.3%	1.8%	0.5%	-2.2M	3.7M	-46.4K	2.49	86.96	127	316	953	4,970
2012-07-30	$120.66	$120.00	4.8%	1.4%	3.7%	13.8%	5.3%	2.3%	0.0%	-3.4M	9.8M	-99.1K	1.11	17.73	73	81	1,034	5,050
2012-07-31	$121.28	$120.00	4.3%	1.2%	3.9%	8.4%	4.8%	2.3%	1.0%	-3.9M	630.1K	-54.0K	0.42	22.39	1,026	428	1,038	5,080