LQD Options History — December 2012

In December 2012, LQD traded between $120.44 and $122.25. ATM implied volatility averaged 4.8%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.7% (HV 20d: 3.1%). Max pain ranged from $121.00 to $122.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 34.42.

Notable Days

2012-12-28: Highest Volume — 5,053 contracts
2012-12-13: Largest IV spike — 19.0% change
2012-12-18: Highest IV Rank — 65.2%
2012-12-18: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.39	$120.44	$122.25	$121.89	$120.99
Max Pain	$121.20	$121.00	$122.00	$122.00	$121.00
ATM IV	4.8%	4.1%	5.5%	4.7%	4.8%
Expected Move	1.4%	1.2%	1.6%	1.3%	1.4%
HV 20d	3.1%	2.5%	4.0%	3.1%	4.0%
HV 60d	3.5%	3.3%	3.8%	3.8%	3.7%
IV Rank	44.5%	26.5%	65.2%	35.2%	45.4%
IV Percentile	38.8%	5.6%	79.0%	27.4%	34.9%
Term Structure	0.5%	-0.2%	0.9%	0.4%	0.4%
VWIV	5.0%	3.9%	6.7%	4.7%	4.5%
Skew 25d	1.1%	0.5%	1.9%	1.2%	0.9%
Skew 10d	2.4%	0.6%	3.7%	1.7%	2.5%
Call IV 25d	4.4%	3.7%	4.8%	4.3%	4.2%
Put IV 25d	5.5%	4.7%	6.1%	5.5%	5.1%
Bid-Ask Spread %	20.25	11.42	27.10	12.00	20.49
Gamma HHI	0.42	0.32	0.63	0.35	0.45
Net GEX	-11.4M	-29.3M	-4.5M	-7.8M	-5.2M
Net DEX	23.8M	11.1M	40.0M	17.3M	21.4M
Net VEX	-89.8K	-102.8K	-72.2K	-80.5K	-100.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	34.42	0.15	394.50	0.36	0.74
Total Volume	564.25	24	5,053	64	66
Total OI	9,545.15	6,000	11,979	9,396	11,414

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
2012-12-03	$121.89	$122.00	4.7%	1.3%	3.1%	35.2%	4.7%	1.2%	0.4%	-7.8M	17.3M	-80.5K	0.36	12.00	47	17	830	8,566
2012-12-04	$122.00	$122.00	4.6%	1.3%	3.1%	33.8%	4.7%	1.0%	0.6%	-6.9M	14.8M	-75.4K	0.00	11.42	0	42	877	8,575
2012-12-05	$122.25	$122.00	4.3%	1.2%	2.6%	27.3%	4.4%	0.6%	0.9%	-6.4M	14.1M	-76.1K	0.15	12.18	80	12	877	8,578
2012-12-06	$122.23	$122.00	4.4%	1.3%	2.5%	32.5%	4.7%	0.7%	0.5%	-5.1M	11.1M	-72.2K	5.83	14.25	6	35	950	8,573
2012-12-07	$121.94	$121.00	4.2%	1.4%	2.6%	26.5%	5.3%	1.3%	0.7%	-6.8M	14.9M	-74.7K	41.93	26.74	14	587	953	8,570
2012-12-10	$122.05	$121.00	4.4%	1.4%	2.5%	30.9%	5.3%	1.2%	0.6%	-7.2M	17.2M	-93.8K	9.32	25.47	41	382	957	9,143
2012-12-11	$121.60	$121.00	4.1%	1.4%	2.8%	28.0%	4.7%	0.7%	0.7%	-9.4M	22.0M	-91.9K	0.60	19.86	15	9	997	9,291
2012-12-12	$121.23	$121.00	4.2%	1.5%	3.0%	31.6%	5.1%	0.8%	0.5%	-12.8M	26.5M	-95.2K	3.02	27.10	42	127	1,009	9,300
2012-12-13	$121.04	$121.00	5.0%	1.4%	3.0%	52.2%	5.5%	1.1%	0.7%	-16.3M	30.9M	-91.2K	1.81	23.84	31	56	1,011	9,396
2012-12-14	$121.13	$121.00	4.9%	1.4%	2.9%	49.0%	4.6%	1.0%	0.9%	-14.6M	27.6M	-88.3K	1.60	25.22	42	67	1,001	9,444
2012-12-17	$120.74	$121.00	5.0%	1.4%	3.1%	51.0%	5.3%	0.5%	0.8%	-18.0M	34.0M	-90.9K	4.00	20.75	10	40	1,016	9,494
2012-12-18	$120.44	$121.00	5.5%	1.6%	2.9%	65.2%	5.6%	1.1%	0.2%	-17.1M	40.0M	-84.3K	394.50	23.69	4	1,578	1,008	9,534
2012-12-19	$120.91	$121.00	5.3%	1.5%	3.2%	60.6%	5.8%	1.2%	0.4%	-24.5M	36.0M	-96.0K	62.50	24.39	14	875	1,008	10,022
2012-12-20	$121.03	$121.00	5.5%	1.6%	3.2%	64.2%	6.7%	1.3%	-0.2%	-29.3M	34.1M	-92.2K	16.96	26.30	72	1,221	1,022	10,738
2012-12-21	$121.24	$121.00	5.3%	1.5%	3.2%	59.3%	4.5%	1.9%	0.5%	-19.7M	31.9M	-100.3K	0.67	15.41	85	57	1,082	10,897
2012-12-24	$121.16	$121.00	5.1%	1.5%	3.2%	54.1%	4.5%	1.1%	0.3%	-6.4M	22.0M	-88.4K	0.58	21.28	107	62	800	5,200
2012-12-26	$120.97	$121.00	5.3%	1.5%	3.2%	60.4%	5.4%	1.1%	0.3%	-5.3M	22.7M	-101.1K	0.28	17.28	79	22	886	5,261
2012-12-27	$121.36	$121.00	5.0%	1.4%	3.4%	52.4%	4.8%	1.5%	0.3%	-5.3M	20.2M	-101.3K	0.25	19.29	230	58	950	5,277
2012-12-28	$121.63	$121.00	4.2%	1.2%	3.5%	30.8%	3.9%	1.5%	0.5%	-4.5M	17.4M	-102.8K	108.85	18.17	46	5,007	1,118	5,278
2012-12-31	$120.99	$121.00	4.8%	1.4%	4.0%	45.4%	4.5%	0.9%	0.4%	-5.2M	21.4M	-100.5K	0.74	20.49	38	28	1,164	10,250