HYG Options History — April 2007

Name: HYG Options Analytics - April 2007
Creator: Options Analysis Suite

In April 2007, HYG traded between $104.14 and $105.61. ATM implied volatility averaged 7.5%. The 30-day expected move averaged 2.2%. Net GEX was positive for 0 of 14 trading days. Term structure was in contango for 11 of 14 days. Put/call ratio averaged 0.13.

Notable Days

2007-04-26: Highest Volume — 30 contracts
2007-04-26: Largest IV spike — 28.9% change
2007-04-30: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.75	$104.14	$105.61	$104.35	$105.61
ATM IV	7.5%	6.1%	8.0%	6.9%	8.0%
Expected Move	2.2%	1.7%	2.3%	2.1%	2.3%
Term Structure	0.5%	-0.1%	1.8%	0.2%	0.8%
VWIV	7.9%	7.7%	8.2%	7.7%	8.2%
Skew 25d	-0.4%	-1.7%	0.2%	-0.2%	-0.2%
Skew 10d	-0.7%	-1.7%	2.7%	-0.3%	-1.2%
Call IV 25d	7.8%	6.8%	9.4%	7.5%	9.2%
Put IV 25d	7.3%	5.2%	9.0%	7.3%	9.0%
Bid-Ask Spread %	98.50	92.95	104.68	92.95	97.72
Net GEX	0	0	0	0	0
Net DEX	0	0	0	0	0
Net VEX	0	0	0	0	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.25	0.00	0.25
Total Volume	3.929	0	30	0	25
Total OI	0	0	0	0	0

Daily Data (14 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	P/C	Spread %	Call Vol	Put Vol
2007-04-11	$104.35	$0.00	6.9%	2.1%	0.0%	0.0%	0.0%	-0.2%	0.2%	0.00	92.95	0	0
2007-04-12	$104.42	$0.00	7.4%	2.1%	0.0%	0.0%	0.0%	-0.1%	0.3%	0.00	93.48	0	0
2007-04-13	$104.23	$0.00	7.9%	2.3%	0.0%	0.0%	0.0%	0.1%	-0.1%	0.00	95.16	0	0
2007-04-16	$104.19	$0.00	7.5%	2.2%	0.0%	0.0%	0.0%	-0.8%	0.3%	0.00	98.62	0	0
2007-04-17	$104.14	$0.00	7.6%	2.2%	0.0%	0.0%	0.0%	-1.1%	0.3%	0.00	99.44	0	0
2007-04-18	$104.17	$0.00	7.8%	2.2%	0.0%	0.0%	0.0%	-0.7%	-0.1%	0.00	100.49	0	0
2007-04-19	$104.53	$0.00	7.4%	2.1%	0.0%	0.0%	0.0%	0.2%	0.4%	0.00	100.44	0	0
2007-04-20	$104.47	$0.00	7.8%	2.2%	0.0%	0.0%	0.0%	-0.3%	-0.1%	0.00	100.22	0	0
2007-04-23	$104.53	$0.00	7.5%	2.1%	0.0%	0.0%	0.0%	-0.0%	0.5%	0.00	102.26	0	0
2007-04-24	$105.25	$0.00	6.8%	1.9%	0.0%	0.0%	0.0%	-0.1%	0.7%	0.00	102.99	0	0
2007-04-25	$105.41	$0.00	6.1%	1.7%	0.0%	0.0%	0.0%	-1.7%	1.8%	0.00	104.68	0	0
2007-04-26	$105.60	$0.00	7.9%	2.3%	0.0%	0.0%	7.7%	-0.4%	0.6%	0.00	95.09	30	0
2007-04-27	$105.60	$0.00	7.9%	2.3%	0.0%	0.0%	0.0%	-0.7%	0.5%	0.00	95.51	0	0
2007-04-30	$105.61	$0.00	8.0%	2.3%	0.0%	0.0%	8.2%	-0.2%	0.8%	0.25	97.72	20	5