HYG Options History — September 2007

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

In September 2007, HYG traded between $100.57 and $106.09. ATM implied volatility averaged 16.8%. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.6% (HV 20d: 11.2%). Max pain ranged from $98.00 to $102.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 14.83.

Notable Days

2007-09-20: Highest Volume — 344 contracts
2007-09-12: Largest IV spike — 209.8% change
2007-09-04: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.05	$100.57	$106.09	$101.75	$104.00
Max Pain	$99.79	$98.00	$102.00	$101.00	$102.00
ATM IV	16.8%	10.1%	37.0%	27.7%	15.1%
Expected Move	4.7%	3.7%	7.9%	7.9%	4.3%
HV 20d	11.2%	8.6%	14.1%	9.6%	14.1%
HV 60d	11.3%	10.1%	12.5%	10.2%	12.5%
Term Structure	0.9%	-9.9%	11.7%	-9.9%	10.8%
VWIV	19.1%	11.2%	41.2%	11.2%	41.2%
Skew 25d	4.4%	-12.1%	23.6%	1.2%	8.3%
Skew 10d	6.3%	-20.0%	31.0%	-20.0%	-0.6%
Call IV 25d	16.6%	4.7%	35.8%	35.8%	5.6%
Put IV 25d	20.9%	11.8%	37.1%	37.1%	13.8%
Bid-Ask Spread %	109.84	46.45	173.21	172.69	169.34
Gamma HHI	0.22	0.18	0.28	0.22	0.24
Net GEX	-721.6K	-850.6K	-523.0K	-523.0K	-737.9K
Net DEX	9.3M	7.3M	13.1M	7.7M	13.1M
Net VEX	-37.6K	-53.2K	-25.5K	-28.7K	-46.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	14.83	0.00	85.00	34.33	0.90
Total Volume	98.632	0	344	2	0
Total OI	2,262.421	1,881	2,653	1,884	2,636

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
2007-09-04	$101.75	$101.00	27.7%	7.9%	9.6%	0.0%	0.0%	1.2%	-9.9%	-523.0K	7.7M	-28.7K	0.00	172.69	0	2	369	1,515
2007-09-05	$101.79	$101.00	13.2%	3.8%	9.5%	0.0%	11.2%	-0.1%	0.9%	-676.5K	8.1M	-25.6K	0.00	91.06	0	20	369	1,515
2007-09-06	$101.73	$101.00	13.7%	3.9%	8.8%	0.0%	0.0%	3.7%	0.9%	-662.5K	7.7M	-25.6K	0.00	94.31	0	32	369	1,512
2007-09-07	$100.57	$98.00	10.1%	4.3%	9.9%	0.0%	0.0%	3.7%	-0.8%	-684.3K	9.1M	-25.5K	0.00	46.54	0	118	369	1,544
2007-09-10	$101.00	$98.00	10.2%	4.2%	9.9%	0.0%	0.0%	3.8%	0.5%	-850.6K	9.4M	-26.8K	34.33	46.51	3	103	369	1,651
2007-09-11	$101.83	$98.00	11.9%	4.3%	10.0%	0.0%	0.0%	3.4%	-0.7%	-777.8K	9.3M	-30.8K	1.00	48.78	2	2	372	1,752
2007-09-12	$102.29	$98.00	37.0%	5.5%	9.4%	0.0%	0.0%	8.0%	-5.0%	-644.7K	9.1M	-32.3K	0.00	173.21	30	0	372	1,752
2007-09-13	$101.93	$98.00	13.6%	3.9%	9.5%	0.0%	0.0%	2.7%	2.4%	-811.0K	8.9M	-30.9K	0.00	49.89	0	0	368	1,752
2007-09-14	$102.89	$98.00	13.5%	3.9%	9.8%	0.0%	15.1%	5.8%	4.8%	-679.7K	7.7M	-32.0K	10.00	46.45	31	310	368	1,750
2007-09-17	$103.36	$99.00	15.6%	4.5%	9.4%	0.0%	0.0%	2.7%	-0.3%	-717.1K	8.6M	-38.3K	28.33	54.10	3	85	374	2,060
2007-09-18	$104.10	$99.00	22.0%	6.3%	8.6%	0.0%	18.8%	9.2%	-8.1%	-738.2K	8.3M	-43.2K	1.12	161.29	43	48	374	2,100
2007-09-19	$106.09	$99.00	13.3%	3.8%	9.8%	0.0%	0.0%	23.6%	10.6%	-778.2K	7.3M	-43.2K	1.06	154.49	63	67	377	2,095
2007-09-20	$103.49	$99.00	21.2%	6.1%	14.0%	0.0%	0.0%	-12.1%	-3.2%	-773.2K	8.9M	-44.1K	85.00	164.64	4	340	397	2,152
2007-09-21	$103.75	$99.00	16.9%	4.8%	14.0%	0.0%	16.6%	4.6%	0.3%	-774.2K	10.0M	-43.1K	1.35	54.50	80	108	401	2,252
2007-09-24	$104.45	$102.00	22.6%	6.5%	14.1%	0.0%	0.0%	4.9%	-6.4%	-770.2K	10.1M	-48.0K	0.00	168.19	10	0	305	1,943
2007-09-25	$104.70	$102.00	12.8%	3.7%	14.0%	0.0%	11.9%	1.9%	-0.7%	-803.5K	11.3M	-45.8K	0.90	59.14	100	90	375	1,943
2007-09-26	$104.32	$102.00	14.1%	4.0%	14.0%	0.0%	0.0%	3.9%	11.7%	-621.5K	10.6M	-51.0K	0.00	165.17	0	152	475	2,033
2007-09-27	$104.00	$102.00	15.1%	4.3%	14.1%	0.0%	41.2%	3.7%	10.1%	-686.7K	11.6M	-53.2K	0.00	166.62	0	28	475	2,151
2007-09-28	$104.00	$102.00	15.1%	4.3%	14.1%	0.0%	0.0%	8.3%	10.8%	-737.9K	13.1M	-46.4K	0.00	169.34	0	0	475	2,161