HYG Options History — June 2008 In June 2008, HYG traded between $94.00 and $97.50. ATM implied volatility averaged 13.9%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 6.2% (HV 20d: 7.7%). Max pain ranged from $99.00 to $99.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days.
Notable Days 2008-06-13 : Highest Volume — 69 contracts2008-06-30 : Largest IV spike — 340.7% change2008-06-30 : Highest IV Rank — 36.9%2008-06-30 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $96.13 $94.00 $97.50 $96.78 $94.00 Max Pain $99.00 $99.00 $99.00 $99.00 $99.00 ATM IV 13.9% 6.4% 29.3% 8.0% 29.3% Expected Move 3.9% 1.8% 8.4% 2.3% 8.4% HV 20d 7.7% 6.7% 8.7% 6.9% 7.2% HV 60d 7.9% 7.5% 8.2% 8.0% 8.2% IV Rank 14.3% 3.3% 36.9% 5.6% 36.9% IV Percentile 45.5% 3.6% 94.0% 13.1% 94.0% Term Structure -2.0% -10.4% 11.5% 1.7% -10.4% Skew 25d -2.5% -10.7% 3.7% 3.5% -9.7% Skew 10d -5.3% -17.7% 0.9% 0.7% -17.7% Call IV 25d 19.7% 5.3% 44.2% 7.8% 40.4% Put IV 25d 17.3% 6.8% 43.5% 11.3% 30.7% Bid-Ask Spread % 157.97 130.54 178.06 152.25 165.37 Gamma HHI 0.27 0.18 0.37 0.32 0.29 Net GEX -78.7K -152.7K -37.5K -97.2K -54.6K Net DEX 700.9K 454.6K 1.2M 688.2K 665.3K Net VEX -2.1K -2.7K -1.4K -1.7K -2.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 4.952 0 69 0 0 Total OI 190.429 112 250 201 125
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 2008-06-02 $96.78 $99.00 8.0% 2.3% 6.9% 5.6% 0.0% 3.5% 1.7% -97.2K 688.2K -1.7K 0.00 152.25 0 0 65 136 2008-06-03 $96.85 $99.00 15.6% 4.5% 7.0% 16.7% 0.0% -2.2% -4.2% -44.0K 476.7K -2.1K 0.00 168.83 0 0 65 136 2008-06-04 $96.75 $99.00 7.9% 2.3% 6.7% 5.5% 0.0% 3.7% 2.0% -81.3K 713.1K -1.7K 0.00 152.36 0 0 65 136 2008-06-05 $97.17 $99.00 16.5% 4.7% 6.9% 18.1% 0.0% -0.6% -4.8% -37.5K 458.0K -2.3K 0.00 169.22 0 0 65 136 2008-06-06 $96.91 $0.00 17.0% 3.1% 6.9% 18.9% 0.0% -5.7% 11.5% -38.2K 489.8K -2.2K 0.00 175.59 0 0 65 136 2008-06-09 $97.21 $0.00 7.8% 2.3% 7.0% 5.3% 0.0% 2.2% 0.6% -124.2K 746.8K -1.4K 0.00 130.54 0 0 65 136 2008-06-10 $97.25 $0.00 19.8% 5.7% 7.0% 23.0% 0.0% -6.0% -4.8% -38.0K 459.0K -2.1K 0.00 177.26 0 2 65 136 2008-06-11 $97.23 $0.00 20.8% 5.7% 7.0% 24.5% 0.0% -6.2% -5.1% -38.1K 454.6K -2.0K 0.00 178.06 0 20 65 136 2008-06-12 $97.07 $0.00 20.3% 5.8% 7.0% 23.6% 0.0% -6.6% -6.7% -51.4K 598.1K -2.4K 0.00 177.26 0 0 65 156 2008-06-13 $97.50 $0.00 7.5% 2.1% 7.2% 4.8% 0.0% 2.2% -0.0% -74.3K 636.6K -2.0K 0.00 134.21 0 69 65 156 2008-06-16 $96.15 $0.00 7.7% 2.2% 8.5% 5.1% 0.0% 0.9% -0.2% -135.3K 1.0M -2.2K 0.00 134.30 0 0 65 185 2008-06-17 $96.32 $0.00 22.0% 6.3% 8.3% 26.2% 0.0% -9.1% -8.3% -63.6K 767.3K -2.7K 0.00 172.44 0 0 65 185 2008-06-18 $96.53 $0.00 7.0% 2.0% 8.4% 4.1% 0.0% 2.2% -1.3% -99.9K 938.5K -2.4K 0.00 145.16 0 0 65 180 2008-06-19 $95.92 $0.00 6.9% 2.0% 8.6% 3.9% 0.0% 0.2% -0.0% -129.2K 1.1M -2.2K 0.00 145.27 0 0 65 180 2008-06-20 $95.54 $0.00 6.6% 1.9% 8.7% 3.5% 0.0% 1.2% 0.6% -152.7K 1.2M -2.0K 0.00 147.07 0 0 65 180 2008-06-23 $95.19 $0.00 24.7% 7.1% 8.6% 30.2% 0.0% -10.6% -7.0% -56.2K 576.0K -2.1K 0.00 172.49 0 0 3 109 2008-06-24 $94.79 $0.00 7.1% 2.0% 8.5% 4.2% 0.0% 1.8% 1.0% -89.0K 672.9K -1.8K 0.00 154.10 0 3 3 109 2008-06-25 $95.11 $0.00 6.4% 1.8% 8.3% 3.3% 0.0% -2.9% 1.0% -93.4K 668.0K -1.9K 0.00 150.57 0 10 3 112 2008-06-26 $94.36 $0.00 26.6% 7.6% 8.6% 32.9% 0.0% -10.7% -8.1% -55.4K 646.5K -2.3K 0.00 164.36 0 0 3 122 2008-06-27 $94.10 $0.00 6.6% 1.9% 8.6% 3.6% 0.0% 0.8% 0.6% -100.4K 823.9K -1.8K 0.00 150.57 0 0 3 122 2008-06-30 $94.00 $0.00 29.3% 8.4% 7.2% 36.9% 0.0% -9.7% -10.4% -54.6K 665.3K -2.2K 0.00 165.37 0 0 3 122
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