HYG Options History — February 2008 In February 2008, HYG traded between $95.25 and $98.30. ATM implied volatility averaged 23.6%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 15.2% (HV 20d: 8.4%). Max pain ranged from $97.00 to $104.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.48.
Notable Days 2008-02-26 : Highest Volume — 38 contracts2008-02-08 : Largest IV spike — 169.7% change2008-02-12 : Highest IV Rank — 100.0%2008-02-07 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $96.43 $95.25 $98.30 $98.27 $96.38 Max Pain $101.55 $97.00 $104.00 $97.00 $99.00 ATM IV 23.6% 7.1% 72.0% 19.8% 9.0% Expected Move 4.2% 2.6% 5.8% 5.7% 2.6% HV 20d 8.4% 6.9% 9.6% 9.4% 7.1% HV 60d 9.2% 8.3% 9.8% 9.8% 8.3% IV Rank 30.1% 1.9% 100.0% 26.0% 4.4% IV Percentile 67.9% 1.9% 100.0% 84.4% 12.5% Term Structure 1.8% -5.8% 11.0% 6.2% 11.0% VWIV 17.3% 13.0% 41.8% 41.8% 13.5% Skew 25d 0.8% -12.6% 8.3% 1.1% -12.6% Skew 10d -4.6% -30.8% 4.9% -5.7% -30.8% Call IV 25d 19.2% 10.6% 41.1% 40.7% 20.0% Put IV 25d 19.9% 7.4% 48.1% 41.8% 7.4% Bid-Ask Spread % 128.58 90.08 174.60 174.60 158.31 Gamma HHI 0.19 0.14 0.26 0.19 0.20 Net GEX 8.7K -50.6K 66.7K -21.4K 41.7K Net DEX 1.3M 779.3K 2.3M 2.3M 912.2K Net VEX -4.0K -7.3K -2.3K -6.6K -4.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.00 2.00 0.86 2.00 Total Volume 6.05 0 38 14 17 Total OI 453 358 645 631 433
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 2008-02-01 $98.27 $97.00 19.8% 5.7% 9.4% 26.0% 41.8% 1.1% 6.2% -21.4K 2.3M -6.6K 0.00 174.60 0 14 237 394 2008-02-04 $98.30 $104.00 21.1% 3.6% 9.4% 28.4% 0.0% -1.3% 2.4% -50.6K 2.1M -7.3K 0.00 160.46 0 0 237 408 2008-02-05 $97.50 $104.00 22.9% 5.2% 9.6% 31.9% 0.0% -3.1% -5.0% -1.7K 1.3M -6.1K 0.00 159.19 0 0 237 298 2008-02-06 $97.30 $104.00 7.1% 5.2% 9.4% 1.9% 0.0% 6.9% -3.1% -34.9K 1.5M -5.4K 0.00 146.51 0 2 184 298 2008-02-07 $96.89 $104.00 16.3% 5.8% 8.7% 19.5% 0.0% 8.3% -5.8% 3.3K 1.8M -4.6K 0.00 143.74 0 0 237 300 2008-02-08 $96.16 $104.00 44.0% 4.9% 8.6% 72.1% 0.0% -5.9% -5.4% -20.6K 1.5M -5.2K 0.00 150.24 0 0 237 300 2008-02-11 $95.40 $102.00 56.1% 4.6% 8.9% 95.2% 0.0% 2.7% 0.7% 10.9K 788.8K -4.1K 0.00 144.01 0 0 237 200 2008-02-12 $95.76 $102.00 62.4% 3.1% 9.0% 100.0% 0.0% -1.0% 6.4% 21.1K 795.4K -4.2K 0.00 144.41 0 0 237 200 2008-02-13 $95.51 $102.00 72.0% 3.1% 8.9% 100.0% 0.0% 4.3% 6.2% 21.0K 892.1K -3.9K 0.00 150.34 0 0 237 200 2008-02-14 $95.98 $102.00 11.0% 3.2% 9.2% 7.5% 0.0% -2.6% 6.5% 23.9K 779.3K -4.1K 0.00 150.59 0 0 237 200 2008-02-15 $95.74 $102.00 14.7% 4.2% 8.9% 13.0% 14.2% 3.9% 1.5% -16.7K 1.4M -2.3K 0.86 90.08 7 6 237 200 2008-02-19 $95.25 $102.00 15.7% 4.5% 8.5% 14.6% 14.3% 1.6% -0.3% -166 1.3M -2.6K 0.00 96.16 14 0 166 192 2008-02-20 $95.50 $101.00 14.1% 4.0% 8.3% 12.1% 13.4% 2.1% 1.1% 3.9K 1.4M -2.6K 0.00 93.73 4 0 180 192 2008-02-21 $95.83 $101.00 15.5% 4.4% 8.4% 14.2% 0.0% 4.1% 1.0% 14.2K 1.4M -2.5K 0.00 98.30 0 0 184 192 2008-02-22 $96.00 $101.00 14.9% 4.3% 6.9% 13.4% 14.7% -1.4% 3.4% 8.8K 1.1M -3.4K 0.00 130.35 1 0 184 192 2008-02-25 $96.29 $101.00 14.7% 4.2% 7.0% 13.0% 0.0% 4.1% 1.1% 17.8K 1.3M -2.5K 0.00 92.67 0 0 185 192 2008-02-26 $96.91 $101.00 13.8% 4.0% 7.4% 11.7% 13.0% 1.3% 2.5% 20.9K 1.2M -2.9K 0.00 94.18 38 0 185 192 2008-02-27 $96.89 $99.00 13.6% 3.9% 7.3% 11.3% 13.3% 1.5% 2.7% 66.5K 1.1M -3.1K 2.00 96.68 3 6 223 192 2008-02-28 $96.75 $99.00 13.7% 3.9% 7.1% 11.5% 13.5% 1.1% 3.5% 66.7K 1.1M -3.2K 0.00 97.11 0 9 226 198 2008-02-29 $96.38 $99.00 9.0% 2.6% 7.1% 4.4% 0.0% -12.6% 11.0% 41.7K 912.2K -4.1K 0.00 158.31 0 17 226 207
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