LQD Options History — February 2015

In February 2015, LQD traded between $120.23 and $123.67. ATM implied volatility averaged 7.4%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.3% (HV 20d: 7.1%). Max pain ranged from $121.00 to $123.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 4.34.

Notable Days

2015-02-17: Highest Volume — 3,205 contracts
2015-02-24: Largest IV drop — 9.2% change
2015-02-23: Highest IV Rank — 59.5%
2015-02-23: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.53	$120.23	$123.67	$123.67	$121.77
Max Pain	$121.84	$121.00	$123.00	$123.00	$121.00
ATM IV	7.4%	6.8%	8.1%	6.8%	7.1%
Expected Move	2.2%	1.9%	2.3%	1.9%	2.0%
HV 20d	7.1%	5.7%	7.5%	5.7%	7.3%
HV 60d	5.7%	5.1%	5.9%	5.1%	5.7%
IV Rank	51.8%	44.7%	59.5%	44.7%	48.3%
IV Percentile	95.4%	88.1%	99.6%	90.5%	88.1%
Term Structure	-0.3%	-0.6%	0.0%	-0.1%	-0.4%
VWIV	9.1%	6.9%	10.8%	6.9%	10.8%
Skew 25d	1.8%	1.2%	2.3%	1.2%	1.6%
Skew 10d	4.4%	3.1%	6.1%	4.8%	4.8%
Call IV 25d	7.0%	6.5%	7.6%	6.5%	6.9%
Put IV 25d	8.8%	7.8%	9.7%	7.8%	8.5%
Bid-Ask Spread %	53.72	41.85	69.71	64.78	57.81
Gamma HHI	0.19	0.14	0.38	0.38	0.14
Net GEX	-2.1M	-5.1M	974.3K	974.3K	-2.0M
Net DEX	5.4M	-4.3M	14.3M	-4.3M	3.1M
Net VEX	-52.1K	-63.9K	-31.5K	-31.5K	-63.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.34	0.31	14.98	0.72	3.34
Total Volume	1,757.316	67	3,205	67	1,885
Total OI	7,482.158	6,321	8,713	6,321	7,430

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
2015-02-02	$123.67	$123.00	6.8%	1.9%	5.7%	44.7%	6.9%	1.2%	-0.1%	974.3K	-4.3M	-31.5K	0.72	64.78	39	28	1,177	5,144
2015-02-03	$122.63	$122.00	7.0%	2.0%	6.6%	47.1%	8.9%	1.8%	-0.1%	469.1K	-127.0K	-44.6K	3.24	60.78	385	1,247	1,314	5,141
2015-02-04	$122.76	$122.00	7.0%	2.0%	6.5%	47.4%	9.1%	2.0%	0.0%	934.0K	-183.6K	-43.0K	3.78	69.71	409	1,544	1,315	5,170
2015-02-05	$122.43	$122.00	7.2%	2.1%	6.6%	49.3%	9.0%	1.8%	-0.3%	362.1K	773.5K	-47.8K	3.87	42.51	397	1,537	1,301	5,491
2015-02-06	$121.21	$122.00	7.0%	2.2%	7.5%	47.6%	8.3%	2.0%	-0.4%	-1.0M	5.1M	-43.9K	5.63	45.24	409	2,302	1,310	5,490
2015-02-09	$121.28	$122.00	7.2%	2.2%	7.5%	49.2%	9.1%	1.6%	-0.4%	-2.6M	8.7M	-52.5K	4.82	41.85	384	1,849	1,302	6,397
2015-02-10	$120.95	$122.00	7.2%	2.3%	7.5%	49.2%	9.1%	1.7%	-0.4%	-3.3M	10.4M	-52.3K	5.18	44.63	382	1,980	1,287	6,409
2015-02-11	$121.00	$122.00	7.6%	2.2%	7.5%	54.5%	8.9%	1.9%	-0.3%	-3.5M	10.1M	-52.8K	4.64	43.67	329	1,526	1,382	6,564
2015-02-12	$121.29	$122.00	7.6%	2.2%	7.5%	54.6%	8.6%	1.6%	-0.3%	-2.7M	8.5M	-49.1K	4.41	50.29	336	1,483	1,387	6,585
2015-02-13	$120.88	$122.00	7.4%	2.1%	7.2%	52.1%	9.7%	1.7%	-0.3%	-3.0M	9.1M	-43.7K	3.26	69.20	435	1,417	1,394	6,588
2015-02-17	$120.23	$122.00	7.8%	2.2%	7.1%	55.9%	8.2%	2.3%	-0.4%	-5.1M	14.3M	-53.1K	3.45	50.59	720	2,485	1,506	6,598
2015-02-18	$120.64	$122.00	7.7%	2.2%	7.2%	55.4%	9.8%	2.2%	-0.5%	-3.9M	9.6M	-61.0K	2.63	52.72	588	1,545	1,788	6,755
2015-02-19	$120.68	$122.00	8.0%	2.3%	7.2%	59.1%	8.5%	2.1%	-0.4%	-3.9M	9.9M	-62.2K	0.31	46.98	313	97	1,791	6,768
2015-02-20	$120.86	$122.00	7.7%	2.2%	7.2%	55.1%	9.4%	1.6%	-0.4%	-3.4M	7.1M	-58.9K	14.98	50.04	44	659	1,938	6,775
2015-02-23	$121.17	$122.00	8.1%	2.3%	7.0%	59.5%	9.6%	1.4%	-0.6%	-2.7M	5.3M	-61.8K	4.05	58.37	310	1,255	1,320	5,646
2015-02-24	$122.04	$121.00	7.3%	2.1%	7.5%	50.7%	10.2%	1.5%	-0.3%	-2.1M	1.2M	-53.9K	4.73	55.25	279	1,319	1,386	5,719
2015-02-25	$122.09	$121.00	7.4%	2.1%	7.5%	51.8%	9.2%	1.8%	-0.5%	-1.4M	284.7K	-56.4K	4.23	56.76	332	1,403	1,415	5,825
2015-02-26	$121.50	$121.00	7.4%	2.1%	7.3%	52.1%	9.6%	1.7%	-0.2%	-2.1M	2.8M	-58.3K	5.29	59.42	276	1,461	1,449	5,904
2015-02-27	$121.77	$121.00	7.1%	2.0%	7.3%	48.3%	10.8%	1.6%	-0.4%	-2.0M	3.1M	-63.9K	3.34	57.81	434	1,451	1,471	5,959