HYG Options History — March 2008

In March 2008, HYG traded between $94.26 and $96.73. ATM implied volatility averaged 12.6%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 6.0% (HV 20d: 6.6%). Max pain ranged from $94.00 to $99.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.08.

Notable Days

2008-03-24: Highest Volume — 32 contracts
2008-03-18: Largest IV spike — 100.5% change
2008-03-18: Highest IV Rank — 24.5%
2008-03-18: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$95.71	$94.26	$96.73	$95.79	$96.66
Max Pain	$95.70	$94.00	$99.00	$99.00	$94.00
ATM IV	12.6%	7.2%	22.2%	11.9%	11.3%
Expected Move	4.0%	3.2%	6.4%	3.4%	3.2%
HV 20d	6.6%	5.4%	7.3%	7.1%	7.1%
HV 60d	8.0%	7.7%	8.3%	8.3%	7.8%
IV Rank	9.9%	1.7%	24.5%	8.8%	7.9%
IV Percentile	46.7%	2.2%	90.3%	42.2%	39.8%
Term Structure	3.2%	-7.6%	16.1%	4.5%	2.9%
VWIV	14.9%	10.1%	23.1%	10.6%	10.2%
Skew 25d	1.6%	-6.6%	11.3%	2.3%	2.5%
Skew 10d	-0.7%	-14.7%	7.2%	1.4%	-0.6%
Call IV 25d	15.2%	7.1%	30.4%	10.1%	9.3%
Put IV 25d	16.8%	7.3%	33.7%	12.4%	11.7%
Bid-Ask Spread %	94.14	58.46	180.71	102.39	93.76
Gamma HHI	0.23	0.14	0.35	0.27	0.26
Net GEX	13.3K	-19.4K	48.4K	48.4K	-458
Net DEX	1.1M	341.4K	1.7M	1.4M	475.1K
Net VEX	-3.3K	-4.5K	-2.7K	-3.2K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.08	0.00	6.00	3.00	1.73
Total Volume	9.25	0	32	12	0
Total OI	401.2	188	501	449	265

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
2008-03-03	$95.79	$99.00	11.9%	3.4%	7.1%	8.8%	10.6%	2.3%	4.5%	48.4K	1.4M	-3.2K	3.00	102.39	3	9	226	223
2008-03-04	$95.68	$99.00	11.4%	3.3%	7.1%	8.0%	18.3%	9.5%	16.1%	26.7K	1.0M	-4.4K	1.50	140.64	2	3	229	232
2008-03-05	$95.94	$99.00	12.6%	3.6%	6.7%	9.8%	18.7%	11.3%	15.1%	32.4K	916.7K	-4.5K	6.00	152.97	1	6	231	232
2008-03-06	$95.70	$99.00	12.1%	3.5%	6.8%	9.0%	19.4%	9.8%	11.0%	30.5K	1.1M	-4.2K	0.00	141.34	0	12	232	236
2008-03-07	$95.50	$96.00	10.6%	4.7%	6.7%	6.9%	0.0%	0.7%	-0.1%	16.6K	1.6M	-3.0K	3.00	59.82	3	9	232	233
2008-03-10	$95.28	$96.00	11.4%	4.4%	6.2%	8.0%	0.0%	1.3%	-0.0%	23.8K	1.6M	-3.0K	0.00	61.93	0	5	235	236
2008-03-11	$95.52	$96.00	8.6%	4.3%	5.6%	3.8%	0.0%	1.4%	0.1%	-286	1.6M	-2.8K	0.00	58.46	6	0	235	231
2008-03-12	$95.50	$96.00	7.2%	4.4%	5.4%	1.7%	0.0%	1.2%	-0.0%	2.0K	1.6M	-2.8K	3.00	59.47	2	6	241	231
2008-03-13	$94.83	$96.00	13.8%	4.0%	5.9%	11.7%	0.0%	1.8%	2.9%	-8.3K	1.7M	-2.9K	0.00	65.38	0	0	243	236
2008-03-14	$94.26	$96.00	15.5%	4.4%	5.9%	14.3%	0.0%	-6.6%	1.4%	23.1K	1.4M	-3.4K	0.00	101.23	0	0	243	236
2008-03-17	$95.20	$96.00	11.1%	3.2%	7.0%	7.6%	10.1%	-5.2%	1.4%	8.0K	1.1M	-3.4K	1.58	98.55	12	19	243	236
2008-03-18	$95.20	$94.00	22.2%	6.4%	6.7%	24.5%	23.1%	-4.4%	-7.6%	16.2K	959.1K	-3.8K	0.00	180.71	6	0	255	246
2008-03-19	$95.30	$94.00	14.7%	4.2%	6.7%	13.0%	0.0%	-0.9%	0.5%	8.3K	1.3M	-2.9K	0.00	75.98	0	0	258	216
2008-03-20	$95.75	$94.00	14.2%	4.1%	6.8%	12.4%	12.8%	-0.5%	1.2%	36.0K	1.2M	-3.0K	3.00	74.51	1	3	258	216
2008-03-24	$96.48	$94.00	13.8%	3.9%	7.3%	11.6%	14.3%	-0.4%	2.8%	-19.4K	450.8K	-2.7K	0.10	78.81	29	3	76	112
2008-03-25	$96.73	$94.00	13.2%	3.8%	7.3%	10.8%	11.8%	-1.8%	2.7%	9.4K	341.4K	-3.1K	1.73	69.21	11	19	105	115
2008-03-26	$96.50	$94.00	13.4%	3.9%	6.9%	11.1%	0.0%	0.4%	1.9%	5.9K	427.6K	-3.4K	0.00	85.88	0	0	116	134
2008-03-27	$96.19	$94.00	11.6%	3.3%	7.0%	8.3%	0.0%	5.1%	3.3%	3.4K	432.1K	-3.4K	0.00	83.46	0	0	116	134
2008-03-28	$96.24	$94.00	11.6%	3.3%	7.0%	8.3%	10.2%	4.4%	3.6%	3.8K	454.1K	-3.4K	0.00	98.31	0	15	116	134
2008-03-31	$96.66	$94.00	11.3%	3.2%	7.1%	7.9%	0.0%	2.5%	2.9%	-458	475.1K	-3.4K	0.00	93.76	0	0	116	149