LQD Options History — November 2014

In November 2014, LQD traded between $117.70 and $120.09. ATM implied volatility averaged 5.8%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.9% (HV 20d: 3.9%). Max pain ranged from $119.00 to $119.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2014-11-12: Highest Volume — 2,236 contracts
2014-11-12: Largest IV spike — 23.8% change
2014-11-17: Highest IV Rank — 41.2%
2014-11-13: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.68	$117.70	$120.09	$118.77	$120.09
Max Pain	$119.00	$119.00	$119.00	$119.00	$119.00
ATM IV	5.8%	4.8%	6.5%	5.8%	5.5%
Expected Move	1.7%	1.6%	1.8%	1.7%	1.7%
HV 20d	3.9%	3.2%	4.7%	4.1%	4.7%
HV 60d	4.2%	4.1%	4.4%	4.1%	4.1%
IV Rank	32.6%	21.0%	41.2%	32.8%	29.1%
IV Percentile	75.5%	24.2%	91.3%	81.7%	69.0%
Term Structure	0.1%	-0.3%	0.4%	0.4%	-0.1%
VWIV	7.0%	4.6%	16.4%	6.3%	16.4%
Skew 25d	1.6%	0.9%	2.0%	1.6%	0.9%
Skew 10d	3.8%	2.7%	5.2%	5.2%	3.8%
Call IV 25d	5.5%	5.2%	5.8%	5.6%	5.7%
Put IV 25d	7.2%	6.5%	7.7%	7.2%	6.5%
Bid-Ask Spread %	43.65	37.92	49.14	44.76	37.92
Gamma HHI	0.37	0.27	0.63	0.27	0.44
Net GEX	-31.8M	-76.6M	-15.6M	-24.0M	-18.5M
Net DEX	63.0M	15.3M	97.9M	62.3M	15.3M
Net VEX	-166.3K	-224.9K	-104.1K	-224.9K	-104.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.26	3.54	0.50	0.26
Total Volume	1,495.263	20	2,236	1,702	49
Total OI	19,556.579	12,647	21,541	20,966	14,230

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
2014-11-03	$118.77	$119.00	5.8%	1.7%	4.1%	32.8%	6.3%	1.6%	0.4%	-24.0M	62.3M	-224.9K	0.50	44.76	1,137	565	4,123	16,843
2014-11-04	$118.81	$119.00	6.0%	1.7%	3.9%	35.3%	6.2%	1.9%	0.2%	-24.5M	62.6M	-217.6K	0.46	41.18	1,232	567	4,137	16,844
2014-11-05	$118.67	$119.00	5.9%	1.7%	3.3%	33.5%	6.3%	1.6%	0.4%	-23.6M	65.5M	-220.2K	0.52	43.99	1,198	623	4,212	16,857
2014-11-06	$118.35	$119.00	6.2%	1.8%	3.2%	37.1%	6.4%	1.2%	0.1%	-28.9M	74.1M	-208.2K	0.51	44.58	1,164	598	4,252	16,922
2014-11-07	$118.94	$119.00	5.2%	1.7%	3.7%	25.6%	5.1%	2.0%	0.1%	-27.0M	56.2M	-199.2K	0.67	45.13	1,185	799	4,254	16,953
2014-11-10	$118.55	$119.00	5.2%	1.7%	3.7%	25.7%	6.3%	1.8%	0.4%	-32.0M	67.5M	-189.8K	0.76	41.85	1,184	894	4,264	17,163
2014-11-11	$118.51	$119.00	4.8%	1.6%	3.7%	21.0%	6.3%	1.6%	0.1%	-32.5M	67.9M	-179.0K	0.85	49.09	1,174	1,003	3,930	16,965
2014-11-12	$118.38	$119.00	5.9%	1.8%	3.4%	34.4%	6.3%	1.8%	-0.2%	-32.8M	74.1M	-182.9K	0.81	40.93	1,236	1,000	4,262	17,279
2014-11-13	$118.36	$119.00	6.4%	1.8%	3.4%	40.0%	6.4%	1.4%	-0.1%	-33.7M	73.4M	-178.4K	0.89	44.49	1,019	903	4,183	17,201
2014-11-14	$118.51	$119.00	5.9%	1.7%	3.4%	34.3%	0.0%	1.3%	0.0%	-33.2M	67.7M	-174.9K	1.00	43.01	10	10	4,182	17,215
2014-11-17	$118.21	$119.00	6.5%	1.8%	3.4%	41.2%	6.4%	2.0%	-0.1%	-37.4M	79.2M	-158.8K	0.72	40.11	1,006	727	4,192	17,210
2014-11-18	$118.32	$119.00	6.2%	1.7%	3.4%	38.1%	6.5%	1.9%	-0.2%	-40.4M	77.4M	-151.2K	0.59	44.74	1,086	637	4,194	17,308
2014-11-19	$117.70	$119.00	5.8%	1.7%	3.8%	33.2%	4.6%	1.6%	0.2%	-47.4M	97.9M	-136.8K	0.26	49.14	213	56	4,194	17,321
2014-11-20	$118.15	$119.00	6.0%	1.7%	4.1%	35.5%	6.5%	1.8%	0.1%	-76.6M	84.8M	-133.2K	1.19	47.53	1,010	1,206	4,018	17,261
2014-11-21	$118.62	$119.00	5.5%	1.6%	4.4%	28.7%	6.5%	1.5%	0.4%	-39.9M	66.1M	-135.7K	1.00	47.43	1,003	1,005	4,035	17,312
2014-11-24	$118.85	$119.00	5.5%	1.6%	4.5%	29.4%	6.1%	1.4%	-0.0%	-19.1M	44.1M	-122.4K	3.54	41.92	13	46	1,678	10,969
2014-11-25	$119.38	$119.00	6.0%	1.7%	4.6%	35.5%	6.7%	1.8%	-0.3%	-16.6M	34.0M	-124.8K	2.70	38.11	399	1,076	1,691	11,010
2014-11-26	$119.77	$119.00	5.5%	1.7%	4.7%	29.6%	10.4%	1.8%	-0.3%	-15.6M	27.2M	-117.7K	1.83	43.45	486	891	1,693	11,218
2014-11-28	$120.09	$119.00	5.5%	1.7%	4.7%	29.1%	16.4%	0.9%	-0.1%	-18.5M	15.3M	-104.1K	0.26	37.92	39	10	2,144	12,086