LQD Options History — February 2014

In February 2014, LQD traded between $115.52 and $117.39. ATM implied volatility averaged 5.3%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.9% (HV 20d: 4.4%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 5.79.

Notable Days

2014-02-11: Highest Volume — 6,380 contracts
2014-02-07: Largest IV drop — 14.5% change
2014-02-04: Highest IV Rank — 45.2%
2014-02-04: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$116.34	$115.52	$117.39	$116.74	$117.32
Max Pain	$115.95	$115.00	$116.00	$115.00	$116.00
ATM IV	5.3%	4.6%	6.4%	6.3%	4.9%
Expected Move	1.5%	1.3%	1.8%	1.8%	1.4%
HV 20d	4.4%	4.1%	4.8%	4.2%	4.1%
HV 60d	4.5%	4.1%	5.0%	4.9%	4.1%
IV Rank	28.8%	18.8%	45.2%	44.0%	23.2%
IV Percentile	33.5%	12.3%	61.9%	61.1%	20.2%
Term Structure	0.2%	-0.2%	0.5%	-0.2%	0.0%
VWIV	5.7%	4.7%	7.2%	5.9%	4.9%
Skew 25d	1.5%	0.9%	2.1%	1.5%	1.3%
Skew 10d	3.3%	1.3%	4.9%	3.7%	2.3%
Call IV 25d	4.8%	3.5%	6.0%	5.3%	4.2%
Put IV 25d	6.3%	5.5%	7.5%	6.8%	5.6%
Bid-Ask Spread %	19.52	12.67	26.55	24.20	20.80
Gamma HHI	0.40	0.31	0.63	0.36	0.42
Net GEX	-1.7M	-7.6M	5.1M	506.6K	-3.3M
Net DEX	1.7M	-22.5M	27.9M	-11.6M	-17.1M
Net VEX	-197.4K	-282.5K	-121.3K	-129.9K	-183.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.79	0.02	34.18	1.90	0.16
Total Volume	480.737	18	6,380	516	36
Total OI	12,530.211	8,619	15,430	8,619	13,684

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
2014-02-03	$116.74	$115.00	6.3%	1.8%	4.2%	44.0%	5.9%	1.5%	-0.2%	506.6K	-11.6M	-129.9K	1.90	24.20	178	338	4,050	4,569
2014-02-04	$116.18	$116.00	6.4%	1.8%	4.7%	45.2%	7.0%	2.1%	0.1%	-515.7K	-3.5M	-141.2K	3.52	14.46	29	102	4,002	4,799
2014-02-05	$115.81	$116.00	6.2%	1.8%	4.8%	42.4%	6.7%	1.4%	0.2%	-995.8K	163.2K	-140.3K	2.68	19.75	19	51	4,021	4,866
2014-02-06	$115.70	$116.00	6.2%	1.8%	4.5%	42.4%	6.8%	1.2%	-0.2%	-1.3M	1.0M	-137.5K	0.33	19.24	30	10	4,026	4,902
2014-02-07	$116.06	$116.00	5.3%	1.6%	4.6%	29.5%	6.9%	1.8%	0.3%	-937.7K	-3.4M	-133.8K	34.18	24.75	11	376	4,045	4,908
2014-02-10	$116.11	$116.00	5.1%	1.7%	4.2%	27.2%	6.1%	1.7%	-0.1%	-991.7K	-4.5M	-121.9K	4.17	23.60	6	25	4,054	5,252
2014-02-11	$115.87	$116.00	4.7%	1.5%	4.3%	20.7%	5.2%	1.6%	0.3%	-1.6M	-1.4M	-121.3K	3.69	20.40	1,360	5,020	4,060	5,253
2014-02-12	$115.52	$116.00	4.7%	1.5%	4.3%	21.1%	6.0%	1.5%	0.3%	-7.6M	27.9M	-281.5K	0.52	21.42	52	27	5,104	10,261
2014-02-13	$116.00	$116.00	4.9%	1.4%	4.5%	23.5%	7.2%	1.7%	0.4%	-5.5M	17.1M	-282.5K	17.88	26.55	8	143	5,106	10,286
2014-02-14	$116.22	$116.00	5.1%	1.5%	4.5%	26.6%	4.9%	1.5%	0.3%	-3.0M	13.2M	-277.2K	0.02	20.40	117	2	5,106	10,318
2014-02-18	$116.46	$116.00	5.3%	1.5%	4.5%	28.8%	5.5%	1.2%	0.2%	-2.8M	7.8M	-270.8K	1.34	18.44	32	43	5,092	10,320
2014-02-19	$116.33	$116.00	5.4%	1.5%	4.5%	30.2%	4.7%	1.8%	0.1%	-2.7M	10.4M	-262.8K	0.85	18.44	41	35	5,075	10,355
2014-02-20	$116.18	$116.00	5.2%	1.5%	4.4%	28.3%	5.5%	1.0%	0.3%	-4.9M	14.6M	-260.8K	3.50	20.13	4	14	4,947	10,263
2014-02-21	$116.30	$116.00	4.9%	1.4%	4.3%	23.2%	5.0%	1.3%	0.5%	-3.8M	12.7M	-264.6K	0.19	16.61	298	58	4,943	10,274
2014-02-24	$116.36	$116.00	5.1%	1.5%	4.2%	27.2%	5.4%	1.3%	-0.1%	-2.3M	10.6M	-252.2K	19.44	16.42	9	175	4,739	8,582
2014-02-25	$116.81	$116.00	4.6%	1.3%	4.3%	18.8%	4.7%	2.0%	0.2%	4.6M	-16.7M	-123.9K	14.95	12.67	22	329	4,743	8,651
2014-02-26	$117.19	$116.00	4.9%	1.4%	4.1%	23.6%	5.2%	0.9%	0.2%	-1.2M	-2.4M	-242.6K	0.23	14.88	64	15	4,762	8,952
2014-02-27	$117.39	$116.00	4.8%	1.4%	4.1%	21.5%	4.9%	1.1%	0.2%	5.1M	-22.5M	-123.0K	0.49	17.67	37	18	4,750	8,954
2014-02-28	$117.32	$116.00	4.9%	1.4%	4.1%	23.2%	4.9%	1.3%	0.0%	-3.3M	-17.1M	-183.0K	0.16	20.80	31	5	4,732	8,952