HYG Options History — May 2008

In May 2008, HYG traded between $97.83 and $100.82. ATM implied volatility averaged 11.7%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 3.3% (HV 20d: 8.4%). Max pain ranged from $98.00 to $99.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2008-05-12: Highest Volume — 15 contracts
2008-05-07: Largest IV spike — 473.5% change
2008-05-07: Highest IV Rank — 50.2%
2008-05-01: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$98.97	$97.83	$100.82	$100.82	$98.22
Max Pain	$98.90	$98.00	$99.00	$98.00	$99.00
ATM IV	11.7%	4.9%	38.3%	29.7%	6.9%
Expected Move	2.9%	1.4%	8.5%	8.5%	2.0%
HV 20d	8.4%	5.9%	9.7%	8.5%	5.9%
HV 60d	7.4%	7.3%	7.8%	7.5%	7.4%
IV Rank	11.0%	1.0%	50.2%	37.6%	4.0%
IV Percentile	27.8%	0.4%	96.8%	94.8%	7.5%
Term Structure	-1.8%	-12.7%	1.7%	-9.5%	1.6%
VWIV	7.8%	7.2%	8.5%	7.2%	8.5%
Skew 25d	0.4%	-7.4%	7.4%	7.4%	0.5%
Skew 10d	-0.1%	-11.8%	5.2%	2.6%	0.4%
Call IV 25d	11.6%	5.1%	35.8%	27.1%	7.6%
Put IV 25d	12.0%	5.7%	34.5%	34.5%	8.1%
Bid-Ask Spread %	146.61	118.95	168.07	161.03	153.26
Gamma HHI	0.26	0.20	0.45	0.32	0.24
Net GEX	-39.8K	-97.3K	1.2K	-14.5K	-51.4K
Net DEX	314.7K	13.8K	573.3K	13.8K	573.3K
Net VEX	-2.1K	-2.8K	-1.3K	-2.6K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	1.25	1.25	1.25	1.25
Total Volume	2.619	0	15	2	0
Total OI	189.095	166	205	168	201

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
2008-05-01	$100.82	$98.00	29.7%	8.5%	8.5%	37.6%	0.0%	7.4%	-9.5%	-14.5K	13.8K	-2.6K	0.00	161.03	0	2	61	107
2008-05-02	$99.80	$98.00	6.4%	1.8%	9.5%	3.2%	0.0%	2.6%	0.4%	1.2K	64.5K	-2.1K	1.25	148.80	4	5	61	105
2008-05-05	$99.64	$99.00	5.3%	1.9%	9.3%	1.6%	0.0%	0.2%	1.7%	-6.0K	89.4K	-2.2K	0.00	127.93	0	0	65	110
2008-05-06	$98.93	$99.00	6.7%	1.9%	9.7%	3.6%	0.0%	0.6%	1.4%	-18.5K	230.0K	-2.1K	0.00	122.68	0	0	65	110
2008-05-07	$99.00	$99.00	38.3%	5.2%	9.0%	50.2%	0.0%	0.8%	-5.7%	-18.5K	168.6K	-2.6K	0.00	167.53	0	0	65	110
2008-05-08	$98.79	$99.00	7.4%	1.9%	9.0%	4.7%	0.0%	1.4%	0.9%	-15.6K	249.0K	-2.1K	0.00	122.70	0	0	65	110
2008-05-09	$99.00	$99.00	8.8%	2.0%	8.4%	6.8%	0.0%	0.3%	1.2%	-12.7K	151.9K	-1.3K	0.00	118.95	0	0	65	110
2008-05-12	$98.87	$99.00	8.1%	2.0%	8.4%	5.7%	7.2%	0.6%	1.4%	-16.9K	222.8K	-2.0K	0.00	121.46	0	15	65	110
2008-05-13	$98.84	$99.00	9.0%	1.9%	8.4%	7.1%	8.5%	1.8%	1.2%	-29.8K	290.6K	-2.1K	0.00	123.68	0	15	65	115
2008-05-14	$98.70	$99.00	14.0%	2.1%	8.4%	14.5%	0.0%	0.7%	0.3%	-63.9K	338.0K	-1.9K	0.00	140.18	0	10	65	130
2008-05-15	$98.96	$99.00	18.6%	5.3%	8.4%	21.2%	0.0%	-5.6%	-12.1%	-46.5K	487.5K	-2.8K	0.00	168.07	0	0	65	140
2008-05-16	$99.10	$99.00	6.7%	1.9%	8.1%	3.7%	0.0%	2.0%	1.3%	-58.3K	261.3K	-1.7K	0.00	146.92	0	0	65	140
2008-05-19	$99.49	$99.00	6.6%	1.9%	8.1%	3.5%	0.0%	0.2%	0.6%	-35.9K	286.7K	-2.6K	0.00	154.67	0	0	65	133
2008-05-20	$99.30	$99.00	6.2%	1.8%	8.2%	2.8%	0.0%	2.0%	0.4%	-53.0K	317.5K	-2.2K	0.00	153.51	0	2	65	133
2008-05-21	$99.12	$99.00	20.7%	5.9%	8.1%	24.3%	0.0%	-5.1%	-10.3%	-40.2K	417.1K	-2.6K	0.00	168.00	0	2	65	135
2008-05-22	$98.97	$99.00	6.2%	1.8%	8.2%	2.9%	0.0%	2.6%	1.2%	-55.1K	389.2K	-2.4K	0.00	153.89	0	0	65	136
2008-05-23	$98.38	$99.00	4.9%	1.4%	8.3%	1.0%	0.0%	0.4%	1.0%	-97.3K	499.6K	-1.6K	0.00	153.29	0	0	65	136
2008-05-27	$97.83	$99.00	5.6%	1.6%	8.1%	2.0%	0.0%	2.1%	-1.1%	-84.7K	520.6K	-1.6K	0.00	152.78	0	0	65	136
2008-05-28	$98.31	$99.00	24.0%	6.9%	8.4%	29.2%	0.0%	-7.4%	-12.7%	-45.4K	534.3K	-2.5K	0.00	167.46	0	0	65	136
2008-05-29	$98.21	$99.00	5.4%	1.5%	8.3%	1.7%	0.0%	1.3%	-0.7%	-73.5K	503.3K	-1.7K	0.00	152.05	0	0	65	136
2008-05-30	$98.22	$99.00	6.9%	2.0%	5.9%	4.0%	0.0%	0.5%	1.6%	-51.4K	573.3K	-2.3K	0.00	153.26	0	0	65	136