LQD Options History — March 2013

In March 2013, LQD traded between $118.78 and $120.23. ATM implied volatility averaged 4.6%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.3% (HV 20d: 3.4%). Max pain ranged from $119.00 to $120.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 11.41.

Notable Days

2013-03-19: Highest Volume — 1,385 contracts
2013-03-26: Largest IV drop — 19.6% change
2013-03-25: Highest IV Rank — 62.9%
2013-03-25: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.47	$118.78	$120.23	$120.23	$119.90
Max Pain	$119.35	$119.00	$120.00	$120.00	$119.00
ATM IV	4.6%	3.9%	5.4%	4.3%	3.9%
Expected Move	1.4%	1.1%	1.5%	1.2%	1.1%
HV 20d	3.4%	2.8%	3.9%	3.9%	3.1%
HV 60d	3.7%	3.5%	3.8%	3.7%	3.5%
IV Rank	42.8%	24.2%	62.9%	32.8%	24.2%
IV Percentile	33.9%	3.2%	80.2%	10.7%	3.2%
Term Structure	0.2%	-0.3%	1.1%	1.1%	0.5%
VWIV	5.0%	2.7%	6.3%	4.2%	3.9%
Skew 25d	1.7%	0.3%	3.1%	0.3%	1.6%
Skew 10d	3.4%	1.2%	4.9%	2.6%	1.2%
Call IV 25d	4.1%	3.3%	4.8%	4.3%	3.3%
Put IV 25d	5.8%	4.6%	6.6%	4.6%	4.9%
Bid-Ask Spread %	18.74	7.90	32.57	7.90	13.08
Gamma HHI	0.60	0.24	0.83	0.60	0.39
Net GEX	-12.8M	-32.7M	-1.3M	-9.2M	-2.4M
Net DEX	31.4M	18.4M	55.4M	22.8M	20.4M
Net VEX	-89.4K	-104.7K	-74.0K	-104.7K	-92.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.41	0.14	75.50	0.51	0.44
Total Volume	271.15	13	1,385	113	13
Total OI	12,969.3	7,850	16,529	15,594	9,889

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
2013-03-01	$120.23	$120.00	4.3%	1.2%	3.9%	32.8%	4.2%	0.3%	1.1%	-9.2M	22.8M	-104.7K	0.51	7.90	75	38	2,402	13,192
2013-03-04	$120.14	$120.00	4.4%	1.4%	3.2%	36.4%	5.1%	2.0%	0.3%	-9.5M	21.9M	-96.5K	7.30	26.27	20	146	2,431	13,171
2013-03-05	$119.94	$120.00	4.6%	1.5%	3.1%	40.8%	5.1%	1.4%	0.2%	-11.3M	26.7M	-97.5K	32.20	32.57	5	161	2,451	13,300
2013-03-06	$119.59	$120.00	4.2%	1.4%	3.3%	30.8%	5.2%	1.6%	0.0%	-13.8M	31.5M	-99.7K	10.29	23.44	7	72	2,456	13,405
2013-03-07	$119.20	$120.00	5.0%	1.5%	3.4%	50.5%	2.7%	1.7%	0.0%	-16.1M	40.5M	-94.5K	6.00	24.95	48	288	2,463	13,447
2013-03-08	$118.78	$120.00	4.4%	1.4%	3.6%	35.4%	5.2%	1.1%	0.1%	-21.8M	55.4M	-87.3K	9.27	20.85	11	102	2,472	13,626
2013-03-11	$118.86	$120.00	4.5%	1.4%	3.5%	39.2%	4.6%	1.6%	0.6%	-24.2M	52.5M	-80.6K	0.30	19.96	173	52	2,483	13,620
2013-03-12	$119.10	$119.00	4.0%	1.4%	3.6%	26.4%	4.8%	1.7%	0.0%	-28.7M	41.7M	-80.9K	2.27	19.95	56	127	2,537	13,601
2013-03-13	$118.99	$119.00	4.6%	1.4%	3.6%	42.1%	5.4%	1.1%	0.4%	-30.2M	46.5M	-77.3K	75.50	19.55	8	604	2,550	13,552
2013-03-14	$119.04	$119.00	4.9%	1.4%	3.5%	49.9%	5.4%	1.5%	0.2%	-32.7M	44.1M	-77.3K	40.33	15.98	15	605	2,527	13,421
2013-03-15	$119.20	$119.00	4.9%	1.4%	3.4%	48.9%	6.0%	1.7%	0.2%	-27.1M	40.1M	-83.4K	0.00	22.50	0	341	2,541	13,988
2013-03-18	$119.49	$119.00	5.0%	1.4%	3.5%	50.6%	4.6%	1.7%	-0.1%	-2.8M	22.6M	-74.0K	0.46	13.70	407	186	1,202	6,648
2013-03-19	$119.69	$119.00	4.7%	1.4%	3.5%	44.9%	6.3%	3.1%	-0.3%	-1.3M	18.4M	-82.8K	13.28	9.71	97	1,288	1,601	6,606
2013-03-20	$119.34	$119.00	5.1%	1.4%	3.6%	53.6%	5.2%	1.2%	-0.0%	-4.4M	25.2M	-95.2K	1.86	17.15	21	39	1,657	7,847
2013-03-21	$119.46	$119.00	5.1%	1.5%	3.6%	55.3%	5.3%	1.5%	0.0%	-4.3M	24.9M	-96.0K	0.59	18.05	22	13	1,676	7,886
2013-03-22	$119.47	$119.00	5.0%	1.4%	3.6%	52.7%	4.7%	2.0%	0.0%	-4.3M	23.6M	-94.3K	0.26	20.64	35	9	1,695	7,897
2013-03-25	$119.47	$119.00	5.4%	1.5%	2.8%	62.9%	6.3%	2.2%	-0.1%	-4.2M	24.3M	-90.0K	13.67	16.64	9	123	1,707	7,904
2013-03-26	$119.55	$119.00	4.3%	1.2%	2.8%	35.2%	4.7%	2.4%	0.6%	-4.6M	24.6M	-91.2K	2.14	13.91	22	47	1,716	8,018
2013-03-27	$119.97	$119.00	4.7%	1.3%	3.1%	43.9%	4.4%	2.3%	0.1%	-3.6M	19.3M	-91.8K	0.14	18.06	121	17	1,738	8,063
2013-03-28	$119.90	$119.00	3.9%	1.1%	3.1%	24.2%	3.9%	1.6%	0.5%	-2.4M	20.4M	-92.4K	0.44	13.08	9	4	1,811	8,078