LQD Options History — September 2012

In September 2012, LQD traded between $119.68 and $121.77. ATM implied volatility averaged 4.8%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 0.5% (HV 20d: 5.3%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 12.21.

Notable Days

2012-09-12: Highest Volume — 513 contracts
2012-09-28: Largest IV drop — 32.6% change
2012-09-18: Highest IV Rank — 38.2%
2012-09-18: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.50	$119.68	$121.77	$120.16	$121.77
Max Pain	$120.11	$120.00	$121.00	$120.00	$120.00
ATM IV	4.8%	3.2%	5.5%	5.1%	3.2%
Expected Move	1.4%	0.9%	1.6%	1.5%	0.9%
HV 20d	5.3%	5.0%	5.5%	5.5%	5.3%
HV 60d	4.6%	4.4%	4.8%	4.4%	4.8%
IV Rank	27.0%	1.7%	38.2%	31.9%	1.7%
IV Percentile	26.1%	0.4%	57.1%	35.7%	0.4%
Term Structure	0.8%	0.0%	1.7%	0.0%	1.0%
VWIV	5.3%	3.4%	6.4%	5.0%	3.4%
Skew 25d	2.2%	0.8%	3.0%	1.7%	2.4%
Skew 10d	4.5%	2.8%	6.4%	3.4%	5.3%
Call IV 25d	4.2%	3.3%	4.9%	4.1%	3.3%
Put IV 25d	6.4%	5.4%	7.7%	5.8%	5.7%
Bid-Ask Spread %	72.64	12.48	90.98	12.48	90.50
Gamma HHI	0.25	0.22	0.32	0.26	0.23
Net GEX	-3.9M	-6.3M	-1.3M	-4.4M	-1.3M
Net DEX	11.0M	-222.8K	20.0M	12.6M	-222.8K
Net VEX	-84.6K	-99.3K	-46.1K	-89.9K	-46.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.21	0.06	170.00	0.06	3.08
Total Volume	184.789	33	513	305	53
Total OI	6,947.895	5,180	8,266	6,802	5,466

Daily Data (19 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
2012-09-04	$120.16	$120.00	5.1%	1.5%	5.5%	31.9%	5.0%	1.7%	0.0%	-4.4M	12.6M	-89.9K	0.06	12.48	288	17	927	5,875
2012-09-05	$120.21	$121.00	4.8%	1.4%	5.2%	26.3%	5.2%	1.1%	0.2%	-4.2M	13.0M	-90.4K	0.72	13.04	93	67	946	5,881
2012-09-06	$119.68	$121.00	4.8%	1.4%	5.4%	26.8%	3.5%	1.9%	0.2%	-4.7M	16.1M	-93.0K	0.32	16.52	25	8	1,024	5,860
2012-09-07	$119.93	$120.00	4.5%	1.4%	5.4%	21.9%	4.9%	2.2%	1.3%	-4.6M	14.2M	-91.3K	4.41	82.79	27	119	1,032	5,866
2012-09-10	$119.92	$120.00	5.1%	1.4%	5.3%	32.2%	6.2%	2.9%	0.7%	-4.5M	14.8M	-89.9K	6.17	66.99	70	432	1,043	5,852
2012-09-11	$120.02	$120.00	5.2%	1.5%	5.3%	33.5%	6.4%	3.0%	0.6%	-4.6M	14.8M	-92.8K	0.71	77.73	49	35	1,087	6,176
2012-09-12	$119.78	$120.00	4.8%	1.5%	5.0%	26.6%	6.4%	2.8%	0.5%	-5.0M	16.8M	-93.0K	170.00	78.64	3	510	1,116	6,181
2012-09-13	$120.42	$120.00	5.1%	1.5%	5.0%	31.9%	6.2%	2.7%	0.7%	-4.6M	12.1M	-95.2K	1.86	78.28	115	214	1,116	6,690
2012-09-14	$119.70	$120.00	5.2%	1.5%	5.4%	33.7%	6.1%	2.9%	0.5%	-6.3M	20.0M	-99.3K	4.94	83.44	48	237	1,175	6,732
2012-09-17	$120.11	$120.00	5.3%	1.5%	5.5%	35.0%	0.0%	2.6%	0.6%	-5.1M	15.0M	-95.3K	6.87	79.94	15	103	1,185	6,877
2012-09-18	$120.48	$120.00	5.5%	1.6%	5.5%	38.2%	0.0%	2.6%	0.6%	-4.1M	11.8M	-89.7K	9.50	85.63	4	38	1,187	6,959
2012-09-19	$120.68	$120.00	4.7%	1.3%	5.5%	25.2%	5.7%	1.8%	1.5%	-3.8M	8.9M	-87.4K	1.94	87.63	70	136	1,184	6,948
2012-09-20	$120.58	$120.00	4.6%	1.3%	5.2%	24.3%	5.2%	1.6%	1.7%	-4.2M	10.2M	-87.3K	10.17	90.98	23	234	1,229	7,037
2012-09-21	$120.80	$120.00	4.6%	1.3%	5.2%	24.3%	5.8%	2.7%	1.2%	-2.8M	8.0M	-83.3K	1.44	87.57	27	39	1,219	6,933
2012-09-24	$120.98	$120.00	4.7%	1.3%	5.2%	24.7%	5.0%	0.8%	1.1%	-2.6M	6.4M	-70.4K	1.36	83.07	42	57	790	4,390
2012-09-25	$121.22	$120.00	4.8%	1.4%	5.2%	26.5%	4.5%	1.9%	0.7%	-2.7M	7.1M	-77.6K	5.59	86.52	17	95	825	4,437
2012-09-26	$121.56	$120.00	4.5%	1.3%	5.3%	21.8%	5.1%	1.6%	1.1%	-2.1M	4.0M	-66.3K	2.77	87.88	22	61	837	4,531
2012-09-27	$121.50	$120.00	4.8%	1.4%	5.2%	26.0%	4.9%	1.9%	0.7%	-1.9M	3.9M	-68.8K	0.12	90.56	105	13	856	4,541
2012-09-28	$121.77	$120.00	3.2%	0.9%	5.3%	1.7%	3.4%	2.4%	1.0%	-1.3M	-222.8K	-46.1K	3.08	90.50	13	40	919	4,547