LQD Options History — May 2014

In May 2014, LQD traded between $118.07 and $119.92. ATM implied volatility averaged 4.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.2% (HV 20d: 3.3%). Max pain ranged from $117.00 to $119.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 8.64.

Notable Days

2014-05-07: Highest Volume — 13,054 contracts
2014-05-15: Largest IV spike — 27.3% change
2014-05-15: Highest IV Rank — 28.0%
2014-05-05: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.87	$118.07	$119.92	$118.30	$119.59
Max Pain	$118.33	$117.00	$119.00	$118.00	$119.00
ATM IV	4.5%	3.9%	5.0%	4.9%	4.2%
Expected Move	1.4%	1.1%	1.5%	1.4%	1.2%
HV 20d	3.3%	3.0%	3.8%	3.1%	3.8%
HV 60d	4.0%	3.9%	4.1%	4.1%	4.0%
IV Rank	21.3%	11.7%	28.0%	26.8%	16.5%
IV Percentile	9.5%	0.4%	22.2%	18.3%	3.2%
Term Structure	0.3%	-0.2%	0.7%	0.4%	-0.1%
VWIV	5.1%	4.4%	6.2%	5.0%	4.9%
Skew 25d	1.3%	0.6%	2.0%	0.9%	0.6%
Skew 10d	3.0%	0.0%	5.4%	5.4%	3.7%
Call IV 25d	4.3%	3.8%	4.8%	4.4%	4.6%
Put IV 25d	5.6%	4.5%	6.1%	5.3%	5.2%
Bid-Ask Spread %	68.56	41.86	86.57	79.89	72.02
Gamma HHI	0.45	0.27	0.62	0.27	0.52
Net GEX	-20.7M	-28.7M	-6.8M	-22.5M	-6.8M
Net DEX	26.5M	144.8K	46.5M	10.8M	144.8K
Net VEX	-157.1K	-301.8K	-35.2K	-301.8K	-35.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.64	0.07	40.85	15.07	0.77
Total Volume	810	12	13,054	225	413
Total OI	21,026.333	18,602	28,537	28,537	20,288

Daily Data (21 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
2014-05-01	$118.30	$118.00	4.9%	1.4%	3.1%	26.8%	5.0%	0.9%	0.4%	-22.5M	10.8M	-301.8K	15.07	79.89	14	211	4,326	24,211
2014-05-02	$118.55	$118.00	4.0%	1.1%	3.2%	13.3%	4.6%	0.7%	0.7%	-24.5M	32.9M	-215.6K	1.32	86.57	37	49	832	24,319
2014-05-05	$118.25	$117.00	4.5%	1.5%	3.2%	21.1%	4.8%	1.4%	0.2%	-28.7M	46.5M	-263.0K	38.33	62.77	3	115	855	24,361
2014-05-06	$118.45	$117.00	4.5%	1.5%	3.1%	21.0%	5.7%	1.6%	0.3%	-27.3M	42.1M	-242.3K	11.00	60.12	1	11	858	24,469
2014-05-07	$118.47	$117.00	4.5%	1.5%	3.0%	21.4%	6.2%	1.8%	0.3%	-26.5M	39.5M	-226.2K	0.00	61.37	0	13,054	858	24,466
2014-05-08	$118.50	$117.00	4.3%	1.4%	3.0%	18.2%	5.2%	1.7%	0.5%	-23.3M	35.5M	-192.8K	10.50	66.85	10	105	858	18,336
2014-05-09	$118.37	$118.00	4.0%	1.4%	3.1%	13.2%	5.4%	1.3%	0.4%	-24.9M	36.8M	-191.2K	17.33	68.56	3	52	868	18,377
2014-05-12	$118.07	$118.00	4.3%	1.4%	3.2%	17.4%	5.2%	1.4%	0.3%	-28.4M	44.6M	-198.6K	12.50	68.08	2	25	865	18,387
2014-05-13	$118.51	$118.00	3.9%	1.3%	3.4%	11.7%	4.4%	1.5%	0.5%	-23.5M	31.0M	-168.7K	0.95	67.84	22	21	867	18,401
2014-05-14	$119.10	$118.00	4.0%	1.3%	3.8%	13.0%	4.7%	1.1%	0.5%	-16.2M	19.2M	-131.1K	14.85	68.57	33	490	887	18,401
2014-05-15	$119.31	$119.00	5.0%	1.4%	3.8%	28.0%	4.9%	2.0%	0.5%	-17.3M	20.1M	-131.8K	1.76	41.86	33	58	889	18,813
2014-05-16	$119.17	$119.00	5.0%	1.4%	3.1%	27.7%	4.8%	1.2%	0.5%	-17.7M	21.6M	-130.9K	1.71	67.25	7	12	849	18,836
2014-05-19	$119.06	$119.00	4.8%	1.4%	3.1%	24.7%	5.0%	1.5%	0.5%	-17.2M	21.0M	-115.5K	40.85	69.42	20	817	804	17,798
2014-05-20	$119.06	$119.00	4.9%	1.4%	3.1%	26.3%	5.2%	1.7%	0.3%	-20.1M	29.3M	-141.5K	2.52	69.72	21	53	818	18,608
2014-05-21	$118.84	$119.00	4.9%	1.4%	3.2%	25.6%	4.9%	1.6%	0.2%	-21.3M	32.0M	-136.7K	0.07	68.98	29	2	829	18,639
2014-05-22	$118.80	$119.00	4.7%	1.3%	3.2%	23.1%	4.5%	1.5%	0.0%	-21.7M	29.8M	-118.4K	0.17	72.02	66	11	854	18,639
2014-05-23	$118.93	$119.00	4.7%	1.3%	3.2%	23.2%	4.8%	1.3%	0.0%	-20.4M	26.4M	-117.8K	0.43	71.62	21	9	920	18,649
2014-05-27	$119.35	$119.00	4.8%	1.4%	3.3%	24.7%	5.3%	1.2%	0.1%	-17.1M	15.1M	-79.7K	1.69	73.26	217	366	929	18,650
2014-05-28	$119.92	$119.00	4.8%	1.4%	3.6%	25.2%	5.1%	1.2%	-0.1%	-12.7M	7.9M	-72.8K	0.93	71.00	29	27	1,035	18,926
2014-05-29	$119.57	$119.00	4.9%	1.4%	3.8%	26.4%	5.8%	0.9%	-0.2%	-15.6M	14.9M	-88.6K	0.10	72.05	492	49	1,048	18,930
2014-05-30	$119.59	$119.00	4.2%	1.2%	3.8%	16.5%	4.9%	0.6%	-0.1%	-6.8M	144.8K	-35.2K	0.77	72.02	234	179	1,324	18,964