HYG Options History — April 2008 In April 2008, HYG traded between $96.33 and $99.48. ATM implied volatility averaged 8.3%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.2% (HV 20d: 7.1%). Max pain ranged from $94.00 to $97.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.11.
Notable Days 2008-04-18 : Highest Volume — 46 contracts2008-04-07 : Largest IV spike — 200.5% change2008-04-07 : Highest IV Rank — 20.8%2008-04-07 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $97.63 $96.33 $99.48 $96.45 $99.29 Max Pain $95.64 $94.00 $97.00 $94.00 $97.00 ATM IV 8.3% 4.2% 19.8% 12.5% 7.1% Expected Move 2.3% 1.5% 5.6% 3.6% 2.0% HV 20d 7.1% 6.7% 8.1% 6.7% 7.0% HV 60d 7.4% 7.0% 7.8% 7.8% 7.1% IV Rank 5.4% 0.0% 20.8% 9.8% 4.2% IV Percentile 14.0% 0.0% 84.3% 46.1% 5.2% Term Structure 0.6% -1.6% 3.0% 2.2% 1.2% VWIV 9.1% 6.4% 12.8% 12.8% 6.7% Skew 25d 0.5% -1.9% 3.4% 0.1% 0.3% Skew 10d 2.3% 0.2% 7.8% 1.2% 3.7% Call IV 25d 7.4% 4.5% 21.1% 12.3% 7.4% Put IV 25d 7.9% 5.7% 21.4% 12.3% 7.7% Bid-Ask Spread % 134.46 84.54 183.01 88.35 156.73 Gamma HHI 0.37 0.25 0.56 0.25 0.29 Net GEX 47.9K -10.3K 147.3K -7.2K 35.9K Net DEX 146.8K -82.9K 381.1K 314.4K 85.5K Net VEX -2.7K -3.7K -1.3K -3.3K -2.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.11 0.00 0.40 0.40 0.05 Total Volume 6.5 0 46 0 0 Total OI 256.909 194 312 265 194
Daily Data (22 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 2008-04-01 $96.45 $94.00 12.5% 3.6% 6.7% 9.8% 0.0% 0.1% 2.2% -7.2K 314.4K -3.3K 0.00 88.35 0 0 116 149 2008-04-02 $96.50 $94.00 13.3% 3.8% 6.7% 10.9% 12.8% -1.9% 2.4% -689 353.1K -3.4K 0.00 84.54 0 3 116 149 2008-04-03 $96.33 $95.00 12.9% 3.7% 6.7% 10.3% 12.1% 3.4% 3.0% -10.3K 381.1K -3.3K 0.00 99.46 0 2 116 152 2008-04-04 $96.70 $95.00 6.6% 1.9% 6.7% 0.8% 6.4% 0.7% -0.1% 367 275.7K -2.4K 0.40 131.09 15 6 116 154 2008-04-07 $97.47 $95.00 19.8% 5.6% 7.1% 20.8% 0.0% 0.2% -1.6% 700 118.7K -3.7K 0.00 183.01 0 0 131 160 2008-04-08 $97.80 $95.00 11.3% 1.5% 7.1% 7.8% 0.0% 1.1% -0.7% 33.6K 50.6K -1.6K 0.00 128.95 0 0 131 160 2008-04-09 $96.95 $95.00 4.2% 2.0% 7.9% 0.0% 0.0% -0.3% -0.6% 128.5K 227.7K -2.9K 0.00 130.71 0 2 131 160 2008-04-10 $97.30 $95.00 7.1% 2.0% 7.9% 4.2% 0.0% 0.2% 0.6% 14.4K 61.0K -2.7K 0.00 125.35 22 0 131 158 2008-04-11 $96.52 $95.00 7.1% 2.0% 8.1% 4.3% 0.0% 0.7% 1.1% 69.5K 211.0K -3.0K 0.00 123.06 0 0 153 158 2008-04-14 $96.86 $95.00 7.0% 2.0% 7.7% 4.1% 0.0% -0.7% 0.5% 87.0K 61.4K -2.3K 0.00 130.57 0 1 153 158 2008-04-15 $96.85 $95.00 7.0% 2.0% 7.0% 4.0% 0.0% -0.4% 0.5% 144.6K 128.0K -2.8K 0.00 133.90 0 0 153 159 2008-04-16 $97.27 $95.00 7.3% 2.1% 7.1% 4.5% 0.0% 1.3% 0.7% 147.3K -37.5K -2.9K 0.00 142.44 0 0 153 159 2008-04-17 $97.37 $95.00 7.1% 2.0% 7.1% 4.2% 0.0% 1.1% 0.4% 111.8K -32.8K -2.8K 0.00 143.10 25 0 153 159 2008-04-18 $98.03 $95.00 6.7% 1.9% 7.3% 3.6% 7.6% 0.4% 1.4% 48.3K -82.9K -2.8K 0.05 133.98 44 2 128 159 2008-04-21 $97.87 $97.00 6.7% 1.9% 6.9% 3.6% 0.0% 1.0% 1.8% 4.8K 320.2K -2.7K 0.00 127.51 0 0 87 118 2008-04-22 $98.00 $97.00 7.2% 2.1% 6.9% 4.4% 6.7% 0.4% 0.1% 15.8K 318.9K -2.7K 0.00 142.11 0 10 87 118 2008-04-23 $98.40 $97.00 6.8% 1.9% 6.9% 3.8% 0.0% 0.8% -0.7% 36.2K 202.2K -2.4K 0.00 146.18 0 6 87 108 2008-04-24 $98.43 $97.00 6.7% 1.9% 6.7% 3.6% 0.0% 1.5% 0.1% 58.4K 58.2K -1.3K 0.00 147.85 0 0 87 108 2008-04-25 $98.90 $97.00 6.1% 1.7% 6.9% 2.8% 0.0% 1.9% -0.2% 54.2K 127.8K -2.4K 0.00 152.45 0 1 87 108 2008-04-28 $99.48 $97.00 6.8% 2.0% 7.0% 3.8% 0.0% -0.5% -0.7% 43.6K 18.6K -2.5K 0.00 156.43 0 2 87 107 2008-04-29 $99.19 $97.00 6.5% 1.9% 7.0% 3.4% 0.0% 0.2% 0.6% 37.5K 67.6K -2.4K 0.00 150.44 0 2 87 107 2008-04-30 $99.29 $97.00 7.1% 2.0% 7.0% 4.2% 0.0% 0.3% 1.2% 35.9K 85.5K -2.4K 0.00 156.73 0 0 87 107
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