LQD Options History — January 2016

In January 2016, LQD traded between $113.45 and $114.86. ATM implied volatility averaged 7.3%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 3.1% (HV 20d: 4.2%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 6.73.

Notable Days

2016-01-06: Highest Volume — 18,847 contracts
2016-01-11: Largest IV spike — 18.9% change
2016-01-11: Highest IV Rank — 26.4%
2016-01-20: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.03	$113.45	$114.86	$113.98	$114.07
Max Pain	$114.26	$114.00	$115.00	$114.00	$114.00
ATM IV	7.3%	6.3%	8.3%	7.5%	7.1%
Expected Move	2.0%	1.8%	2.3%	2.0%	2.0%
HV 20d	4.2%	3.5%	4.6%	4.2%	4.6%
HV 60d	5.2%	4.9%	5.3%	5.2%	4.9%
IV Rank	19.1%	11.8%	26.4%	20.8%	17.4%
IV Percentile	59.5%	24.6%	89.3%	71.4%	50.8%
Term Structure	0.3%	-0.3%	1.1%	0.4%	0.1%
VWIV	7.7%	6.1%	8.7%	8.1%	7.4%
Skew 25d	2.1%	0.9%	3.2%	2.0%	1.3%
Skew 10d	4.9%	2.4%	7.3%	4.5%	5.9%
Call IV 25d	6.6%	5.4%	7.9%	6.3%	6.7%
Put IV 25d	8.7%	7.5%	9.6%	8.3%	8.0%
Bid-Ask Spread %	94.93	89.97	106.61	95.35	90.75
Gamma HHI	0.35	0.24	0.64	0.30	0.36
Net GEX	-69.2M	-176.7M	-29.6M	-90.2M	-33.4M
Net DEX	205.3M	179.5M	239.9M	212.5M	179.5M
Net VEX	-1.1M	-1.3M	-909.7K	-909.7K	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.73	1.33	14.88	5.62	5.45
Total Volume	5,894	2,573	18,847	4,138	2,631
Total OI	65,825.737	53,728	85,216	63,512	54,795

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
2016-01-04	$113.98	$114.00	7.5%	2.0%	4.2%	20.8%	8.1%	2.0%	0.4%	-90.2M	212.5M	-909.7K	5.62	95.35	625	3,513	7,561	55,951
2016-01-05	$113.93	$114.00	7.0%	2.0%	3.7%	17.2%	7.8%	2.2%	0.2%	-97.8M	217.5M	-913.1K	7.21	91.72	633	4,567	7,583	56,029
2016-01-06	$114.44	$114.00	7.8%	1.9%	4.0%	22.9%	7.7%	1.9%	0.3%	-91.4M	189.7M	-926.7K	14.50	94.18	1,216	17,631	7,603	57,114
2016-01-07	$114.66	$114.00	6.5%	2.0%	4.1%	13.5%	6.7%	1.9%	0.2%	-99.0M	232.8M	-1.3M	2.75	96.31	1,315	3,617	8,160	71,064
2016-01-08	$114.65	$114.00	7.0%	1.9%	4.1%	16.7%	6.5%	2.3%	0.8%	-85.8M	197.9M	-1.3M	2.73	98.42	1,354	3,697	8,396	71,049
2016-01-11	$114.26	$114.00	8.3%	2.1%	4.2%	26.4%	6.8%	1.9%	0.0%	-91.3M	221.7M	-1.2M	2.84	96.07	1,317	3,734	8,405	71,082
2016-01-12	$114.57	$114.00	7.5%	1.9%	4.3%	20.6%	6.1%	3.1%	0.7%	-93.6M	217.2M	-1.2M	2.60	97.74	2,184	5,685	8,422	71,232
2016-01-13	$114.86	$115.00	6.5%	1.9%	3.5%	13.5%	8.0%	1.7%	0.6%	-83.5M	209.1M	-1.2M	8.62	95.09	668	5,761	9,012	73,472
2016-01-14	$114.29	$115.00	7.1%	2.0%	3.9%	17.6%	8.4%	2.4%	-0.2%	-107.4M	239.9M	-1.2M	1.33	94.56	2,914	3,871	9,092	73,747
2016-01-15	$114.20	$115.00	7.4%	2.1%	3.9%	20.0%	8.7%	2.9%	-0.0%	-176.7M	221.2M	-1.2M	1.56	95.78	2,968	4,619	11,441	73,775
2016-01-19	$113.62	$115.00	7.4%	2.1%	4.2%	19.8%	7.5%	2.0%	-0.3%	-29.6M	184.2M	-1.2M	4.03	96.12	662	2,666	6,697	47,031
2016-01-20	$113.82	$115.00	7.9%	2.3%	4.3%	23.8%	8.3%	1.3%	-0.1%	-32.7M	193.0M	-1.2M	4.72	92.27	450	2,123	6,751	47,586
2016-01-21	$113.46	$114.00	7.9%	2.3%	4.4%	23.6%	8.6%	2.3%	0.2%	-32.7M	194.4M	-1.2M	14.88	89.97	412	6,131	6,799	47,597
2016-01-22	$113.62	$114.00	7.0%	2.0%	4.4%	17.0%	8.1%	3.2%	0.3%	-33.4M	197.7M	-1.2M	13.05	92.20	470	6,134	6,867	47,639
2016-01-25	$113.48	$114.00	7.8%	2.2%	4.4%	22.7%	8.3%	2.5%	-0.2%	-33.5M	195.5M	-1.1M	13.70	91.59	448	6,138	6,960	47,651
2016-01-26	$113.72	$114.00	7.2%	2.1%	4.5%	18.1%	8.2%	1.9%	0.5%	-35.0M	194.4M	-1.1M	12.48	93.56	491	6,130	6,993	47,649
2016-01-27	$113.45	$114.00	6.3%	1.8%	4.6%	11.8%	7.4%	0.9%	1.1%	-33.8M	202.4M	-1.1M	4.62	106.61	463	2,139	7,050	47,692
2016-01-28	$113.56	$114.00	7.4%	2.1%	4.3%	20.0%	7.7%	1.8%	0.5%	-34.7M	200.6M	-1.1M	5.11	95.42	427	2,182	7,060	47,682
2016-01-29	$114.07	$114.00	7.1%	2.0%	4.6%	17.4%	7.4%	1.3%	0.1%	-33.4M	179.5M	-1.1M	5.45	90.75	408	2,223	7,088	47,707