HYG Options History — January 2008

In January 2008, HYG traded between $96.97 and $99.50. ATM implied volatility averaged 16.3%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 7.5% (HV 20d: 8.8%). Max pain ranged from $97.00 to $101.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.98.

Notable Days

2008-01-07: Highest Volume — 188 contracts
2008-01-08: Largest IV spike — 135.5% change
2008-01-08: Highest IV Rank — 57.9%
2008-01-14: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$98.13	$96.97	$99.50	$99.50	$98.88
Max Pain	$98.29	$97.00	$101.00	$101.00	$97.00
ATM IV	16.3%	8.5%	36.5%	15.5%	15.8%
Expected Move	4.4%	2.4%	5.8%	4.4%	4.5%
HV 20d	8.8%	7.1%	10.4%	8.8%	9.2%
HV 60d	9.8%	9.6%	10.1%	9.7%	9.7%
IV Rank	19.5%	4.6%	57.9%	17.8%	18.5%
IV Percentile	69.7%	10.0%	96.3%	75.0%	76.0%
Term Structure	4.8%	-7.4%	14.7%	2.0%	6.3%
VWIV	11.4%	5.1%	14.9%	14.9%	5.1%
Skew 25d	1.2%	-8.7%	15.5%	6.9%	0.8%
Skew 10d	-1.8%	-24.8%	10.5%	5.5%	-5.8%
Call IV 25d	19.8%	6.4%	44.2%	9.9%	39.5%
Put IV 25d	21.0%	8.9%	40.4%	16.7%	40.4%
Bid-Ask Spread %	125.16	76.45	172.83	98.66	172.83
Gamma HHI	0.38	0.21	0.61	0.51	0.21
Net GEX	-143.1K	-367.2K	-42.1K	-367.2K	-42.1K
Net DEX	4.1M	2.2M	6.8M	6.3M	2.2M
Net VEX	-8.0K	-14.2K	-4.2K	-14.2K	-6.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.00	10.06	0.25	0.80
Total Volume	34.714	0	188	10	0
Total OI	764.095	569	1,039	1,039	631

Daily Data (21 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
2008-01-02	$99.50	$101.00	15.5%	4.4%	8.8%	17.8%	0.0%	6.9%	2.0%	-367.2K	6.3M	-14.2K	0.25	98.66	8	2	147	892
2008-01-03	$99.31	$100.00	14.7%	4.2%	8.7%	16.4%	0.0%	2.9%	1.6%	-274.1K	6.8M	-11.4K	0.00	92.17	10	0	155	878
2008-01-04	$99.20	$100.00	16.0%	4.7%	7.8%	18.8%	14.9%	1.6%	-0.1%	-330.6K	6.2M	-13.9K	0.00	76.45	15	0	151	878
2008-01-07	$98.61	$100.00	15.5%	4.3%	7.1%	17.9%	13.8%	1.9%	1.1%	-321.3K	6.6M	-11.6K	10.06	88.30	17	171	161	878
2008-01-08	$98.04	$99.00	36.5%	5.6%	7.2%	57.9%	7.3%	-8.0%	-3.2%	-160.9K	4.9M	-10.5K	0.10	156.02	10	1	171	709
2008-01-09	$96.97	$99.00	20.0%	3.8%	7.9%	26.5%	0.0%	-5.8%	8.3%	-154.9K	5.4M	-9.0K	0.00	151.22	0	1	176	710
2008-01-10	$97.69	$99.00	14.8%	4.2%	8.6%	16.5%	0.0%	-6.8%	8.7%	-135.9K	4.8M	-7.3K	0.00	153.74	0	2	176	625
2008-01-11	$97.90	$99.00	17.2%	4.9%	8.3%	21.2%	12.6%	6.6%	-1.0%	-162.4K	4.4M	-7.6K	1.30	83.86	10	13	176	588
2008-01-14	$97.56	$99.00	20.3%	5.8%	8.3%	26.9%	0.0%	4.5%	-7.4%	-174.5K	4.8M	-6.6K	0.00	100.23	0	150	186	601
2008-01-15	$97.81	$99.00	14.0%	4.0%	8.4%	15.0%	12.6%	4.4%	3.1%	-142.4K	3.3M	-5.9K	0.00	90.30	44	0	186	451
2008-01-16	$97.70	$98.00	14.8%	4.2%	8.3%	16.4%	0.0%	-7.0%	10.0%	-60.1K	3.1M	-6.3K	0.00	158.95	0	0	230	451
2008-01-17	$97.01	$98.00	13.9%	4.0%	8.4%	14.7%	13.7%	1.5%	1.9%	-108.5K	3.4M	-5.8K	0.00	94.14	7	0	230	451
2008-01-18	$97.77	$97.00	12.8%	3.7%	8.8%	12.8%	0.0%	-8.3%	14.1%	-42.7K	2.9M	-6.6K	0.00	159.99	1	0	237	451
2008-01-22	$97.09	$97.00	13.5%	3.9%	9.0%	14.1%	0.0%	15.5%	9.9%	-69.7K	3.3M	-4.2K	0.00	156.68	0	170	153	416
2008-01-23	$97.28	$97.00	15.5%	4.4%	8.9%	17.8%	0.0%	6.5%	0.4%	-84.2K	3.4M	-5.3K	0.25	93.95	20	5	153	446
2008-01-24	$98.50	$97.00	15.3%	4.4%	10.3%	17.4%	5.1%	-6.6%	13.7%	-97.4K	3.1M	-6.1K	0.00	169.13	2	0	173	451
2008-01-25	$98.65	$97.00	8.5%	2.4%	10.4%	4.6%	0.0%	9.6%	8.7%	-73.8K	3.2M	-6.2K	0.00	89.37	52	0	175	451
2008-01-28	$98.20	$97.00	19.0%	5.5%	10.4%	24.6%	0.0%	-8.7%	6.7%	-89.6K	2.6M	-8.3K	0.00	169.45	0	0	227	451
2008-01-29	$98.30	$97.00	14.1%	4.1%	9.9%	15.3%	0.0%	13.3%	1.7%	-47.4K	3.0M	-6.8K	0.80	100.96	10	8	227	451
2008-01-30	$98.68	$97.00	15.4%	4.4%	10.0%	17.8%	0.0%	0.2%	14.7%	-64.4K	2.8M	-7.4K	0.00	171.92	0	0	237	459
2008-01-31	$98.88	$97.00	15.8%	4.5%	9.2%	18.5%	0.0%	0.8%	6.3%	-42.1K	2.2M	-6.9K	0.00	172.83	0	0	237	394