LQD Options History — November 2013

In November 2013, LQD traded between $113.10 and $114.75. ATM implied volatility averaged 5.8%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded below realized volatility by 0.0% (HV 20d: 5.9%). Max pain ranged from $115.00 to $115.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 9.23.

Notable Days

2013-11-05: Highest Volume — 1,581 contracts
2013-11-11: Largest IV spike — 14.5% change
2013-11-11: Highest IV Rank — 47.6%
2013-11-13: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.10	$113.10	$114.75	$114.51	$114.66
Max Pain	$115.00	$115.00	$115.00	$115.00	$115.00
ATM IV	5.8%	5.0%	6.6%	5.5%	6.1%
Expected Move	1.7%	1.4%	1.8%	1.6%	1.7%
HV 20d	5.9%	5.3%	6.6%	5.3%	6.0%
HV 60d	6.5%	6.0%	6.9%	6.8%	6.0%
IV Rank	37.0%	24.5%	47.6%	32.9%	40.7%
IV Percentile	58.3%	37.3%	67.1%	57.5%	60.3%
Term Structure	0.4%	-0.4%	0.9%	0.4%	-0.4%
VWIV	6.2%	5.3%	7.2%	5.6%	6.7%
Skew 25d	2.1%	1.5%	2.8%	1.5%	1.9%
Skew 10d	4.4%	1.9%	5.9%	4.8%	4.0%
Call IV 25d	5.3%	4.2%	5.7%	5.0%	5.7%
Put IV 25d	7.4%	6.5%	7.9%	6.5%	7.6%
Bid-Ask Spread %	18.87	10.03	40.03	30.65	28.82
Gamma HHI	0.36	0.28	0.45	0.37	0.36
Net GEX	-8.5M	-11.6M	-5.3M	-11.4M	-7.4M
Net DEX	40.1M	17.7M	67.6M	37.7M	17.7M
Net VEX	-131.4K	-154.0K	-114.4K	-150.8K	-114.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.23	0.06	108.75	0.14	0.88
Total Volume	252	13	1,581	228	32
Total OI	13,633.25	12,569	14,599	13,145	13,517

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
2013-11-01	$114.51	$115.00	5.5%	1.6%	5.3%	32.9%	5.6%	1.5%	0.4%	-11.4M	37.7M	-150.8K	0.14	30.65	200	28	2,952	10,193
2013-11-04	$114.54	$115.00	5.7%	1.8%	5.3%	35.7%	7.2%	1.9%	0.7%	-7.6M	28.7M	-140.3K	2.62	15.41	29	76	3,114	9,469
2013-11-05	$114.05	$115.00	5.7%	1.7%	5.6%	34.8%	6.1%	1.8%	0.6%	-7.9M	37.3M	-133.0K	19.27	20.52	78	1,503	3,129	9,440
2013-11-06	$114.18	$115.00	5.7%	1.7%	5.5%	35.5%	6.2%	1.6%	0.6%	-11.4M	45.1M	-151.6K	0.95	13.58	44	42	3,189	10,933
2013-11-07	$114.41	$115.00	6.2%	1.7%	5.5%	42.6%	6.2%	1.8%	0.6%	-11.6M	40.4M	-154.0K	15.50	14.60	12	186	3,218	10,975
2013-11-08	$113.29	$115.00	5.7%	1.8%	6.6%	35.7%	5.9%	1.9%	0.7%	-10.7M	61.5M	-130.1K	0.06	11.59	89	5	3,229	11,143
2013-11-11	$113.10	$115.00	6.6%	1.8%	6.5%	47.6%	6.5%	2.4%	0.5%	-10.1M	67.6M	-115.5K	4.45	22.59	20	89	3,291	11,142
2013-11-12	$113.18	$115.00	5.6%	1.8%	6.6%	33.9%	6.2%	2.3%	0.8%	-9.8M	64.0M	-122.4K	1.00	12.57	9	9	3,299	11,129
2013-11-13	$113.44	$115.00	6.2%	1.8%	6.0%	42.7%	5.6%	2.1%	0.7%	-9.9M	60.9M	-123.5K	7.86	14.16	7	55	3,308	11,137
2013-11-14	$114.06	$115.00	6.2%	1.8%	5.7%	42.2%	6.3%	2.8%	0.5%	-9.7M	48.5M	-127.1K	0.12	19.54	581	70	3,273	10,834
2013-11-15	$114.06	$115.00	5.8%	1.7%	5.7%	36.4%	5.3%	2.0%	0.9%	-9.1M	46.5M	-132.3K	0.25	16.54	205	52	3,735	10,864
2013-11-18	$114.57	$115.00	5.0%	1.4%	5.9%	24.5%	5.4%	2.5%	0.5%	-6.4M	28.0M	-132.8K	0.81	20.34	117	95	3,624	9,281
2013-11-19	$114.17	$115.00	5.6%	1.6%	5.5%	34.0%	6.0%	2.2%	0.1%	-7.0M	32.5M	-128.4K	0.00	10.03	0	71	3,729	9,319
2013-11-20	$113.68	$115.00	5.5%	1.6%	5.7%	32.3%	6.2%	2.3%	0.4%	-7.8M	42.2M	-121.2K	0.52	18.45	189	98	3,729	9,338
2013-11-21	$113.90	$115.00	5.8%	1.6%	5.8%	35.8%	6.8%	2.2%	0.4%	-7.5M	40.3M	-120.0K	3.86	12.59	81	313	3,818	9,422
2013-11-22	$114.30	$115.00	6.1%	1.8%	5.9%	40.9%	7.0%	2.6%	0.0%	-7.1M	32.1M	-136.8K	3.33	17.29	3	10	3,889	9,624
2013-11-25	$114.50	$115.00	6.2%	1.8%	6.0%	41.5%	6.6%	2.1%	-0.0%	-6.8M	27.7M	-134.3K	108.75	18.73	4	435	3,889	9,644
2013-11-26	$114.73	$115.00	5.6%	1.6%	6.0%	34.2%	5.5%	2.1%	0.3%	-5.6M	21.9M	-131.8K	0.34	19.31	64	22	3,893	9,490
2013-11-27	$114.75	$115.00	5.8%	1.7%	6.0%	36.2%	6.6%	1.9%	0.0%	-5.3M	20.6M	-127.1K	4.57	40.03	21	96	3,957	9,506
2013-11-29	$114.66	$115.00	6.1%	1.7%	6.0%	40.7%	6.7%	1.9%	-0.4%	-7.4M	17.7M	-114.4K	0.88	28.82	17	15	3,967	9,550