HYG Options History — December 2007

In December 2007, HYG traded between $100.50 and $102.39. ATM implied volatility averaged 15.6%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 5.2% (HV 20d: 10.4%). Max pain ranged from $99.00 to $106.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.20.

Notable Days

2007-12-21: Highest Volume — 168 contracts
2007-12-11: Largest IV spike — 92.4% change
2007-12-11: Highest IV Rank — 29.5%
2007-12-13: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.63	$100.50	$102.39	$102.39	$100.72
Max Pain	$100.70	$99.00	$106.00	$106.00	$101.00
ATM IV	15.6%	11.0%	21.6%	11.0%	13.8%
Expected Move	4.5%	3.2%	6.1%	3.2%	3.9%
HV 20d	10.4%	7.5%	12.5%	11.4%	8.0%
HV 60d	10.2%	9.2%	11.5%	11.3%	9.4%
IV Rank	18.0%	9.3%	29.5%	9.3%	14.6%
IV Percentile	71.5%	51.6%	88.2%	53.0%	63.4%
Term Structure	2.8%	-7.1%	13.3%	6.8%	1.9%
VWIV	13.6%	7.9%	20.0%	8.9%	15.9%
Skew 25d	5.0%	-11.2%	27.8%	-11.2%	6.1%
Skew 10d	3.6%	-2.1%	10.1%	3.9%	5.6%
Call IV 25d	16.0%	6.3%	30.1%	25.4%	10.8%
Put IV 25d	21.0%	14.2%	34.0%	14.2%	16.9%
Bid-Ask Spread %	112.71	54.91	186.48	91.50	86.12
Gamma HHI	0.30	0.18	0.63	0.18	0.43
Net GEX	-488.0K	-991.4K	365.2K	-991.4K	-347.8K
Net DEX	14.8M	5.1M	19.3M	16.9M	6.6M
Net VEX	-19.5K	-26.6K	-12.8K	-26.3K	-12.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.00	11.00	0.00	0.00
Total Volume	20.55	0	168	27	5
Total OI	2,497.05	981	3,079	2,964	1,034

Daily Data (20 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
2007-12-03	$102.39	$106.00	11.0%	3.2%	11.4%	9.3%	8.9%	-11.2%	6.8%	-991.4K	16.9M	-26.3K	0.00	91.50	27	0	601	2,363
2007-12-04	$102.00	$106.00	17.0%	4.9%	11.5%	20.8%	17.0%	23.2%	11.7%	-521.8K	17.4M	-24.0K	1.00	167.40	8	8	628	2,363
2007-12-05	$100.80	$106.00	20.1%	5.8%	12.0%	26.7%	0.0%	27.8%	6.7%	-746.1K	17.3M	-26.6K	0.75	167.11	4	3	636	2,371
2007-12-06	$101.70	$106.00	17.1%	4.9%	12.5%	20.9%	7.9%	24.7%	13.3%	-461.4K	18.1M	-22.2K	0.00	162.82	1	0	640	2,374
2007-12-07	$101.65	$99.00	12.0%	3.9%	11.6%	11.3%	15.0%	1.1%	1.0%	-800.7K	19.3M	-18.2K	0.00	69.07	0	9	640	2,374
2007-12-10	$101.50	$99.00	11.3%	4.3%	11.5%	9.8%	0.0%	2.4%	2.0%	-822.2K	18.9M	-20.3K	0.00	62.57	0	0	640	2,383
2007-12-11	$101.40	$99.00	21.6%	5.4%	11.4%	29.5%	0.0%	-2.1%	-0.9%	-539.9K	18.1M	-21.8K	0.00	169.36	15	0	640	2,383
2007-12-12	$101.95	$99.00	12.3%	4.4%	11.5%	11.8%	0.0%	2.1%	0.2%	-837.6K	17.8M	-22.2K	0.00	54.91	0	0	655	2,383
2007-12-13	$101.90	$99.00	21.4%	6.1%	11.5%	29.1%	20.0%	-0.6%	-7.1%	-318.8K	17.8M	-21.1K	11.00	171.40	3	33	655	2,383
2007-12-14	$102.05	$99.00	14.6%	4.2%	11.5%	16.2%	0.0%	2.8%	0.9%	-382.8K	19.1M	-18.9K	0.00	61.77	11	0	658	2,416
2007-12-17	$101.50	$99.00	20.6%	5.9%	11.7%	27.6%	0.0%	-2.1%	-1.6%	-436.5K	18.8M	-19.9K	0.10	179.88	10	1	663	2,416
2007-12-18	$101.60	$99.00	14.4%	4.1%	11.7%	15.8%	0.0%	2.7%	0.6%	-272.3K	19.2M	-16.8K	0.00	70.72	0	2	663	2,367
2007-12-19	$102.10	$99.00	15.5%	4.5%	11.2%	17.9%	0.0%	6.7%	0.6%	365.2K	17.4M	-16.7K	0.00	65.68	0	17	663	2,217
2007-12-20	$101.88	$99.00	15.3%	4.4%	8.6%	17.5%	0.0%	2.6%	0.6%	-541.8K	16.6M	-17.7K	0.00	65.53	0	19	663	2,206
2007-12-21	$102.20	$99.00	14.4%	4.1%	8.5%	15.7%	14.2%	0.3%	6.0%	-796.5K	13.5M	-21.0K	0.62	185.44	104	64	663	2,171
2007-12-24	$101.84	$99.00	15.2%	4.3%	8.0%	17.2%	8.5%	-1.3%	8.9%	-324.1K	5.1M	-17.8K	0.00	186.48	1	0	115	866
2007-12-26	$101.39	$99.00	15.5%	4.4%	8.2%	17.8%	14.7%	5.9%	1.2%	-317.6K	6.0M	-15.1K	0.92	78.41	26	24	116	866
2007-12-27	$101.49	$101.00	16.3%	4.7%	7.5%	19.3%	0.0%	4.0%	0.7%	-331.4K	5.6M	-16.8K	0.00	76.20	0	2	142	890
2007-12-28	$100.50	$101.00	12.1%	3.5%	8.1%	11.4%	15.9%	5.2%	1.8%	-334.7K	6.5M	-13.5K	0.00	81.74	0	14	142	892
2007-12-31	$100.72	$101.00	13.8%	3.9%	8.0%	14.6%	0.0%	6.1%	1.9%	-347.8K	6.6M	-12.8K	0.00	86.12	5	0	142	892