LQD Options History — February 2013

In February 2013, LQD traded between $118.74 and $120.48. ATM implied volatility averaged 5.0%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.2% (HV 20d: 3.8%). Max pain ranged from $120.00 to $120.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.84.

Notable Days

2013-02-05: Highest Volume — 802 contracts
2013-02-28: Largest IV drop — 30.3% change
2013-02-01: Highest IV Rank — 67.2%
2013-02-04: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.53	$118.74	$120.48	$118.74	$120.33
Max Pain	$120.00	$120.00	$120.00	$120.00	$120.00
ATM IV	5.0%	3.3%	5.6%	5.6%	3.3%
Expected Move	1.5%	0.9%	1.7%	1.7%	0.9%
HV 20d	3.8%	3.2%	4.2%	3.2%	3.9%
HV 60d	3.6%	3.5%	3.8%	3.6%	3.8%
IV Rank	51.3%	6.9%	67.2%	67.2%	6.9%
IV Percentile	52.8%	1.2%	83.7%	83.7%	1.2%
Term Structure	0.3%	-0.4%	2.0%	-0.4%	2.0%
VWIV	4.9%	3.5%	6.0%	5.6%	3.5%
Skew 25d	1.7%	0.2%	2.6%	0.9%	2.2%
Skew 10d	3.7%	1.9%	6.7%	2.1%	6.7%
Call IV 25d	4.2%	2.6%	5.6%	5.6%	2.6%
Put IV 25d	5.9%	4.8%	6.9%	6.5%	4.9%
Bid-Ask Spread %	8.38	5.90	15.91	15.91	9.18
Gamma HHI	0.54	0.43	0.69	0.43	0.58
Net GEX	-13.6M	-19.0M	-8.0M	-13.1M	-8.0M
Net DEX	44.6M	22.9M	61.2M	61.2M	25.1M
Net VEX	-127.7K	-153.0K	-100.6K	-147.6K	-100.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.84	0.27	23.36	1.00	3.38
Total Volume	203.158	52	802	370	57
Total OI	16,038.789	15,206	16,649	16,247	15,669

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
2013-02-01	$118.74	$120.00	5.6%	1.7%	3.2%	67.2%	5.6%	0.9%	-0.4%	-13.1M	61.2M	-147.6K	1.00	15.91	185	185	2,201	14,046
2013-02-04	$119.14	$120.00	5.5%	1.7%	3.5%	63.6%	5.7%	2.6%	-0.0%	-14.7M	55.5M	-153.0K	0.28	6.56	222	63	2,318	14,160
2013-02-05	$118.90	$120.00	5.1%	1.6%	3.5%	54.9%	5.0%	1.7%	0.1%	-15.4M	61.1M	-143.9K	6.86	7.67	102	700	2,275	14,191
2013-02-06	$119.21	$120.00	4.7%	1.7%	3.6%	42.6%	6.0%	2.6%	0.0%	-15.7M	54.0M	-147.7K	23.36	5.99	14	327	2,258	14,063
2013-02-07	$119.25	$120.00	5.3%	1.5%	3.7%	60.6%	5.5%	1.3%	0.1%	-15.7M	53.6M	-143.7K	1.18	9.24	57	67	2,269	14,006
2013-02-08	$119.51	$120.00	4.9%	1.4%	3.8%	48.3%	4.6%	2.2%	0.6%	-16.0M	48.8M	-139.0K	0.43	5.90	42	18	2,321	14,025
2013-02-11	$119.45	$120.00	5.4%	1.5%	3.7%	61.8%	4.9%	1.9%	0.1%	-16.5M	49.2M	-136.7K	1.93	6.91	57	110	2,362	14,030
2013-02-12	$119.33	$120.00	5.3%	1.5%	3.6%	59.8%	5.2%	1.7%	0.1%	-17.0M	52.5M	-131.8K	4.06	7.57	17	69	2,406	14,110
2013-02-13	$119.05	$120.00	5.3%	1.5%	3.7%	60.2%	5.7%	2.1%	0.3%	-19.0M	57.9M	-128.0K	3.95	6.71	38	150	2,409	14,165
2013-02-14	$119.38	$120.00	5.2%	1.5%	3.9%	56.9%	4.9%	2.1%	0.4%	-17.2M	50.6M	-128.0K	0.58	7.61	105	61	2,421	14,164
2013-02-15	$119.33	$120.00	5.0%	1.4%	3.9%	52.1%	4.3%	1.6%	0.6%	-18.0M	50.7M	-125.9K	0.28	8.21	136	38	2,497	14,152
2013-02-19	$119.30	$120.00	5.0%	1.4%	3.8%	51.8%	4.4%	1.5%	0.1%	-11.8M	45.3M	-116.8K	0.28	6.64	113	32	2,279	12,927
2013-02-20	$119.50	$120.00	5.3%	1.5%	3.9%	59.2%	4.3%	2.1%	-0.3%	-11.1M	39.5M	-117.2K	3.31	7.66	59	195	2,370	12,934
2013-02-21	$119.69	$120.00	4.7%	1.4%	3.9%	44.7%	5.2%	1.8%	0.5%	-11.2M	36.3M	-121.5K	0.69	6.90	54	37	2,429	13,060
2013-02-22	$119.77	$120.00	4.7%	1.3%	3.9%	43.4%	4.6%	2.0%	0.5%	-11.0M	35.6M	-122.0K	0.79	9.01	29	23	2,450	13,057
2013-02-25	$120.48	$120.00	5.2%	1.5%	4.2%	57.7%	4.9%	1.9%	-0.0%	-8.4M	23.2M	-117.1K	0.70	11.44	44	31	2,467	13,044
2013-02-26	$120.33	$120.00	4.6%	1.3%	4.2%	40.5%	4.4%	0.6%	0.4%	-9.2M	22.9M	-103.8K	0.68	7.84	160	109	2,500	13,051
2013-02-27	$120.29	$120.00	4.7%	1.3%	4.1%	43.4%	4.4%	0.2%	0.4%	-10.1M	23.6M	-102.2K	0.27	12.34	121	33	2,517	13,134
2013-02-28	$120.33	$120.00	3.3%	0.9%	3.9%	6.9%	3.5%	2.2%	2.0%	-8.0M	25.1M	-100.6K	3.38	9.18	13	44	2,520	13,149