LQD Options History — January 2015

In January 2015, LQD traded between $119.91 and $123.89. ATM implied volatility averaged 7.0%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 2.6% (HV 20d: 4.5%). Max pain ranged from $117.00 to $122.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 23.58.

Notable Days

2015-01-12: Highest Volume — 2,974 contracts
2015-01-05: Largest IV spike — 20.2% change
2015-01-20: Highest IV Rank — 55.6%
2015-01-20: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.61	$119.91	$123.89	$119.91	$123.89
Max Pain	$119.50	$117.00	$122.00	$117.00	$122.00
ATM IV	7.0%	5.8%	7.7%	5.8%	6.2%
Expected Move	2.0%	1.8%	2.2%	1.8%	1.8%
HV 20d	4.5%	3.7%	5.6%	4.0%	5.6%
HV 60d	4.7%	4.4%	5.1%	4.5%	5.1%
IV Rank	47.5%	32.7%	55.6%	32.7%	38.1%
IV Percentile	93.9%	76.2%	99.2%	76.2%	79.0%
Term Structure	0.1%	-0.3%	0.4%	0.4%	0.2%
VWIV	8.3%	5.3%	13.8%	8.4%	6.6%
Skew 25d	1.5%	0.7%	2.1%	2.0%	1.0%
Skew 10d	4.4%	2.4%	7.2%	6.1%	3.5%
Call IV 25d	6.6%	5.6%	7.7%	5.6%	6.3%
Put IV 25d	8.2%	7.2%	9.1%	7.6%	7.3%
Bid-Ask Spread %	49.29	38.27	65.59	60.03	65.59
Gamma HHI	0.26	0.14	0.52	0.27	0.52
Net GEX	121.3K	-1.5M	2.4M	-1.5M	2.4M
Net DEX	-1.9M	-9.5M	4.0M	4.0M	-9.5M
Net VEX	-46.4K	-63.2K	-30.6K	-51.7K	-30.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	23.58	0.44	403.00	5.16	3.46
Total Volume	1,179.1	56	2,974	1,367	1,491
Total OI	6,616	5,491	8,345	5,882	6,616

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
2015-01-02	$119.91	$117.00	5.8%	1.8%	4.0%	32.7%	8.4%	2.0%	0.4%	-1.5M	4.0M	-51.7K	5.16	60.03	222	1,145	1,132	4,750
2015-01-05	$120.32	$117.00	7.0%	2.0%	4.0%	46.5%	8.2%	1.8%	0.2%	-679.4K	532.5K	-42.0K	4.04	55.41	69	279	1,121	4,769
2015-01-06	$120.81	$117.00	7.3%	2.0%	3.9%	50.4%	7.4%	1.7%	0.1%	-926.4K	-741.4K	-40.6K	1.04	47.15	52	54	1,134	5,046
2015-01-07	$120.97	$117.00	7.4%	2.1%	3.7%	52.4%	13.8%	1.7%	0.2%	-604.7K	-1.8M	-40.5K	2.51	43.63	51	128	1,176	5,095
2015-01-08	$120.53	$117.00	7.3%	2.1%	4.0%	50.5%	9.2%	1.6%	0.2%	-1.3M	1.8M	-63.2K	5.94	46.89	224	1,330	1,251	5,223
2015-01-09	$120.80	$117.00	6.5%	2.0%	4.1%	40.8%	8.8%	1.9%	0.2%	-122.8K	-1.9M	-44.4K	6.41	46.73	210	1,346	1,254	5,250
2015-01-12	$121.12	$117.00	7.4%	2.1%	3.9%	52.4%	7.8%	1.7%	-0.0%	1.2M	-3.8M	-40.4K	2.88	45.90	767	2,207	1,268	5,286
2015-01-13	$121.14	$119.00	7.3%	2.1%	3.8%	50.6%	8.7%	1.3%	-0.1%	698.9K	-3.5M	-54.3K	7.09	44.46	246	1,745	1,835	6,160
2015-01-14	$121.41	$119.00	7.2%	2.1%	3.9%	49.6%	9.2%	1.5%	0.0%	840.5K	-5.4M	-47.8K	7.61	40.53	227	1,727	1,846	6,190
2015-01-15	$122.17	$120.00	7.3%	2.1%	4.3%	50.2%	8.6%	1.5%	0.2%	348.9K	-8.9M	-43.2K	6.65	39.42	255	1,696	1,864	6,199
2015-01-16	$121.40	$121.00	7.5%	2.1%	5.0%	52.7%	7.6%	1.5%	-0.1%	232.0K	-2.7M	-56.5K	4.21	43.87	33	139	1,890	6,455
2015-01-20	$121.68	$121.00	7.7%	2.2%	5.0%	55.6%	9.6%	1.5%	0.1%	-178.1K	2.5M	-54.5K	403.00	38.27	1	403	1,368	4,123
2015-01-21	$121.63	$121.00	7.3%	2.1%	5.0%	50.4%	8.3%	2.1%	0.0%	-580.0K	2.9M	-52.8K	0.72	46.47	720	516	1,367	4,477
2015-01-22	$121.68	$121.00	6.8%	1.9%	5.0%	44.1%	8.0%	1.5%	0.1%	-811.0K	1.5M	-48.0K	2.13	47.94	551	1,176	1,468	4,538
2015-01-23	$122.29	$121.00	7.0%	2.0%	4.6%	47.1%	8.4%	1.5%	-0.3%	440.4K	187.3K	-53.3K	2.96	53.59	395	1,170	1,488	4,554
2015-01-26	$122.25	$122.00	7.1%	2.0%	4.6%	48.6%	5.3%	1.8%	-0.1%	510.4K	-717.5K	-45.0K	1.24	49.43	25	31	1,490	4,982
2015-01-27	$122.34	$121.00	7.2%	2.1%	4.6%	49.8%	6.9%	1.0%	-0.3%	-285.1K	-2.7M	-38.8K	0.44	50.56	55	24	1,508	5,005
2015-01-28	$123.11	$121.00	6.8%	1.9%	4.9%	44.6%	7.2%	0.9%	0.1%	1.1M	-4.6M	-43.6K	1.96	60.44	492	964	1,541	5,019
2015-01-29	$122.84	$122.00	6.7%	1.9%	5.0%	42.9%	7.6%	0.7%	-0.1%	1.6M	-5.1M	-36.0K	2.13	59.50	452	964	1,539	5,043
2015-01-30	$123.89	$122.00	6.2%	1.8%	5.6%	38.1%	6.6%	1.0%	0.2%	2.4M	-9.5M	-30.6K	3.46	65.59	334	1,157	1,577	5,039