HYG Options History — May 2007

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

In May 2007, HYG traded between $105.22 and $106.06. ATM implied volatility averaged 9.6%. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 6.5% (HV 20d: 3.1%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.15.

Notable Days

2007-05-15: Highest Volume — 13 contracts
2007-05-10: Largest IV spike — 21.4% change
2007-05-07: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.66	$105.22	$106.06	$105.33	$105.71
ATM IV	9.6%	7.8%	10.1%	9.7%	7.8%
Expected Move	2.8%	2.2%	3.0%	2.8%	2.2%
HV 20d	3.1%	2.3%	3.6%	3.6%	2.7%
Term Structure	0.8%	0.2%	1.3%	0.6%	1.2%
Skew 25d	-0.2%	-1.6%	1.9%	-0.8%	1.9%
Skew 10d	-0.1%	-1.9%	9.2%	-1.6%	9.2%
Call IV 25d	9.5%	6.9%	10.3%	9.8%	8.7%
Put IV 25d	9.3%	7.6%	10.7%	9.0%	10.7%
Bid-Ask Spread %	100.94	89.11	110.71	100.32	110.71
Gamma HHI	0.89	0.53	1.00	1.00	1.00
Net GEX	-2.4K	-3.7K	-1.4K	-2.3K	-1.6K
Net DEX	33.1K	23.3K	46.1K	31.9K	27.0K
Net VEX	-242	-399	-154	-160	-382
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	0.30	0.30	0.00
Total Volume	0.818	0	13	0	0
Total OI	7.864	5	13	5	13

Daily Data (22 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
2007-05-01	$105.33	$0.00	9.7%	2.8%	0.0%	0.0%	0.0%	-0.8%	0.6%	-2.3K	31.9K	-160	0.00	100.32	0	0	0	5
2007-05-02	$105.29	$0.00	9.5%	2.7%	3.6%	0.0%	0.0%	-0.4%	0.8%	-2.3K	31.6K	-160	0.00	101.14	0	0	0	5
2007-05-03	$105.30	$0.00	9.7%	2.8%	3.5%	0.0%	0.0%	-0.6%	0.6%	-2.3K	31.3K	-160	0.00	102.04	0	0	0	5
2007-05-04	$105.43	$0.00	9.6%	3.0%	3.4%	0.0%	0.0%	-0.2%	1.0%	-2.3K	31.6K	-159	0.00	93.73	0	0	0	5
2007-05-07	$105.42	$0.00	9.6%	3.0%	3.3%	0.0%	0.0%	-0.4%	0.3%	-2.3K	31.3K	-159	0.00	95.34	0	0	0	5
2007-05-08	$105.50	$0.00	9.4%	2.9%	3.2%	0.0%	0.0%	-0.2%	0.7%	-2.4K	32.7K	-155	0.00	89.11	0	0	0	5
2007-05-09	$105.22	$0.00	8.3%	2.9%	3.3%	0.0%	0.0%	-0.0%	0.9%	-2.3K	31.3K	-154	0.00	96.57	0	0	0	5
2007-05-10	$105.60	$0.00	10.1%	2.9%	3.5%	0.0%	0.0%	0.1%	0.9%	-2.4K	31.4K	-158	0.00	96.68	0	0	0	5
2007-05-11	$105.66	$0.00	10.0%	2.9%	3.4%	0.0%	0.0%	-0.2%	0.8%	-2.4K	31.7K	-157	0.00	98.10	0	0	0	5
2007-05-14	$105.65	$0.00	10.1%	2.9%	3.4%	0.0%	0.0%	-0.2%	0.7%	-2.4K	31.6K	-156	0.00	98.95	0	0	0	5
2007-05-15	$105.57	$0.00	9.9%	2.8%	3.4%	0.0%	0.0%	-1.6%	1.0%	-2.3K	31.3K	-156	0.30	99.93	10	3	0	5
2007-05-16	$105.85	$0.00	9.9%	2.8%	3.4%	0.0%	0.0%	-1.3%	1.3%	-3.6K	46.1K	-249	0.00	100.13	0	0	0	8
2007-05-17	$105.82	$0.00	9.8%	2.8%	3.3%	0.0%	0.0%	-0.8%	1.3%	-3.6K	45.8K	-249	0.00	100.70	0	0	0	8
2007-05-18	$105.85	$0.00	9.9%	2.8%	3.3%	0.0%	0.0%	-0.6%	1.0%	-3.6K	45.9K	-248	0.00	101.17	0	0	0	8
2007-05-21	$105.95	$0.00	10.1%	2.9%	3.3%	0.0%	0.0%	-0.7%	0.3%	-3.7K	45.7K	-247	0.00	102.67	0	0	0	8
2007-05-22	$105.96	$0.00	9.9%	2.8%	2.4%	0.0%	0.0%	-0.2%	0.5%	-3.7K	45.7K	-246	0.00	103.26	5	0	0	8
2007-05-23	$105.88	$0.00	9.8%	2.8%	2.3%	0.0%	0.0%	0.1%	0.2%	-1.4K	23.3K	-399	0.00	103.22	0	0	5	8
2007-05-24	$105.91	$0.00	9.8%	2.8%	2.3%	0.0%	0.0%	1.8%	0.7%	-1.4K	26.0K	-394	0.00	104.57	0	0	5	8
2007-05-25	$106.06	$0.00	9.9%	2.8%	2.3%	0.0%	0.0%	-0.2%	0.4%	-1.4K	24.3K	-396	0.00	104.67	0	0	5	8
2007-05-29	$105.64	$0.00	9.4%	2.7%	2.7%	0.0%	0.0%	0.9%	0.7%	-1.4K	26.0K	-392	0.00	108.40	0	0	5	8
2007-05-30	$105.88	$0.00	9.3%	2.7%	2.7%	0.0%	0.0%	-0.3%	1.0%	-1.4K	24.9K	-391	0.00	109.19	0	0	5	8
2007-05-31	$105.71	$0.00	7.8%	2.2%	2.7%	0.0%	0.0%	1.9%	1.2%	-1.6K	27.0K	-382	0.00	110.71	0	0	5	8