LQD Options History — September 2013

In September 2013, LQD traded between $110.87 and $114.15. ATM implied volatility averaged 7.8%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.1% (HV 20d: 7.7%). Max pain ranged from $111.00 to $114.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 4.81.

Notable Days

2013-09-05: Highest Volume — 3,219 contracts
2013-09-05: Largest IV spike — 13.2% change
2013-09-05: Highest IV Rank — 92.3%
2013-09-05: Largest Expected Move — 2.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.36	$110.87	$114.15	$112.24	$113.52
Max Pain	$111.65	$111.00	$114.00	$114.00	$112.00
ATM IV	7.8%	6.2%	9.7%	9.0%	6.5%
Expected Move	2.2%	1.8%	2.8%	2.6%	1.9%
HV 20d	7.7%	6.8%	8.3%	7.1%	8.2%
HV 60d	8.4%	7.6%	9.0%	8.9%	7.6%
IV Rank	66.6%	44.1%	92.3%	83.2%	49.1%
IV Percentile	85.8%	69.4%	99.6%	98.4%	71.4%
Term Structure	0.1%	-0.6%	1.0%	-0.4%	-0.2%
VWIV	8.2%	6.0%	9.8%	9.0%	6.8%
Skew 25d	2.2%	1.2%	2.9%	1.8%	1.2%
Skew 10d	5.3%	1.9%	6.9%	6.5%	1.9%
Call IV 25d	7.0%	5.6%	8.8%	8.4%	6.6%
Put IV 25d	9.3%	7.8%	10.7%	10.1%	7.9%
Bid-Ask Spread %	20.29	8.40	43.13	15.63	15.31
Gamma HHI	0.37	0.24	0.50	0.32	0.28
Net GEX	-21.4M	-39.2M	4.4M	-22.8M	-11.2M
Net DEX	72.9M	19.5M	130.1M	90.4M	25.9M
Net VEX	-223.4K	-315.5K	-145.2K	-291.3K	-145.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.81	0.06	17.19	7.90	1.03
Total Volume	815.7	75	3,219	445	75
Total OI	32,274.3	17,245	42,289	36,609	17,917

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
2013-09-03	$112.24	$114.00	9.0%	2.6%	7.1%	83.2%	9.0%	1.8%	-0.4%	-22.8M	90.4M	-291.3K	7.90	15.63	50	395	8,129	28,480
2013-09-04	$111.83	$114.00	8.5%	2.4%	7.2%	76.7%	8.6%	1.6%	-0.3%	-24.8M	100.2M	-296.1K	0.67	8.40	129	86	8,154	28,515
2013-09-05	$110.91	$114.00	9.7%	2.8%	7.5%	92.3%	9.6%	1.9%	-0.5%	-32.1M	130.1M	-302.2K	17.19	8.67	177	3,042	8,232	28,459
2013-09-06	$111.07	$112.00	9.2%	2.5%	7.5%	85.4%	8.6%	2.5%	-0.5%	-32.8M	119.8M	-315.5K	10.74	14.79	102	1,095	8,346	29,325
2013-09-09	$111.36	$111.00	9.5%	2.5%	7.6%	89.6%	8.1%	2.8%	-0.2%	-32.0M	107.5M	-285.2K	1.93	27.04	29	56	8,427	29,306
2013-09-10	$110.87	$111.00	8.6%	2.4%	7.7%	77.5%	9.0%	2.5%	0.6%	-39.2M	124.2M	-276.7K	10.44	24.97	77	804	8,451	29,206
2013-09-11	$111.39	$111.00	8.8%	2.4%	7.7%	80.3%	8.4%	2.4%	-0.4%	-35.1M	106.2M	-259.8K	0.16	26.75	306	49	8,473	29,475
2013-09-12	$111.31	$111.00	8.1%	2.3%	7.7%	70.9%	8.6%	2.2%	0.1%	-37.2M	105.3M	-253.2K	1.29	16.74	77	99	8,719	29,487
2013-09-13	$111.38	$111.00	8.5%	2.4%	7.3%	76.5%	9.4%	2.6%	-0.6%	-36.0M	103.0M	-242.6K	1.20	16.61	137	164	8,783	29,481
2013-09-16	$111.51	$111.00	7.8%	2.2%	7.1%	66.6%	8.0%	2.1%	0.2%	-34.7M	96.6M	-221.8K	15.20	30.77	59	897	8,903	29,591
2013-09-17	$111.81	$111.00	8.2%	2.4%	6.8%	72.1%	9.4%	2.9%	0.1%	-30.3M	85.6M	-209.5K	4.84	21.16	342	1,656	8,934	29,798
2013-09-18	$113.45	$111.00	7.8%	2.2%	8.3%	66.2%	9.8%	2.7%	0.1%	4.4M	35.0M	-181.4K	7.48	43.13	358	2,679	9,229	31,110
2013-09-19	$112.73	$111.00	7.1%	2.0%	8.3%	56.4%	9.1%	2.1%	1.0%	-12.2M	55.6M	-209.8K	8.55	21.80	169	1,445	9,476	32,796
2013-09-20	$112.83	$111.00	6.9%	2.0%	8.2%	54.0%	6.9%	2.3%	0.8%	-11.2M	51.8M	-197.4K	0.93	23.05	260	241	9,468	32,821
2013-09-23	$113.50	$111.00	6.9%	2.0%	8.1%	54.4%	6.7%	2.3%	0.1%	-9.4M	29.4M	-163.0K	0.07	17.97	239	17	2,152	15,093
2013-09-24	$113.79	$111.00	6.3%	1.8%	8.1%	45.5%	6.0%	2.5%	0.5%	-8.5M	26.2M	-161.1K	0.06	21.03	250	14	2,338	15,089
2013-09-25	$114.15	$111.00	6.4%	1.8%	8.1%	46.6%	6.9%	2.2%	0.8%	-6.7M	19.5M	-149.3K	3.36	19.04	42	141	2,551	15,098
2013-09-26	$113.86	$112.00	6.2%	1.8%	8.2%	44.1%	7.4%	2.3%	0.5%	-7.4M	21.9M	-153.4K	2.85	16.97	118	336	2,573	15,186
2013-09-27	$113.77	$112.00	6.2%	1.8%	8.2%	44.3%	6.8%	2.2%	0.4%	-7.9M	24.0M	-153.4K	0.26	15.91	81	21	2,571	15,344
2013-09-30	$113.52	$112.00	6.5%	1.9%	8.2%	49.1%	6.8%	1.2%	-0.2%	-11.2M	25.9M	-145.2K	1.03	15.31	37	38	2,571	15,346