HYG Options History — July 2008

In July 2008, HYG traded between $91.00 and $93.99. ATM implied volatility averaged 17.2%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 9.1% (HV 20d: 8.2%). Max pain ranged from $94.00 to $94.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2008-07-23: Highest Volume — 40 contracts
2008-07-28: Largest IV spike — 352.8% change
2008-07-07: Highest IV Rank — 48.5%
2008-07-03: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.04	$91.00	$93.99	$93.25	$93.90
Max Pain	$94.00	$94.00	$94.00	$94.00	$94.00
ATM IV	17.2%	5.8%	37.1%	30.3%	31.9%
Expected Move	4.7%	1.6%	9.2%	8.7%	9.1%
HV 20d	8.2%	6.5%	9.9%	7.5%	9.0%
HV 60d	8.1%	7.6%	8.9%	8.1%	7.8%
IV Rank	19.2%	2.2%	48.5%	38.4%	40.8%
IV Percentile	46.2%	2.0%	96.4%	94.4%	93.7%
Term Structure	-4.8%	-13.6%	1.3%	-10.0%	-13.2%
VWIV	5.8%	5.8%	5.8%	5.8%	5.8%
Skew 25d	-2.7%	-11.3%	1.9%	-10.1%	-2.0%
Skew 10d	-6.7%	-20.0%	2.2%	-18.2%	-6.0%
Call IV 25d	20.7%	5.4%	44.1%	41.4%	43.3%
Put IV 25d	18.0%	6.3%	41.3%	31.3%	41.3%
Bid-Ask Spread %	156.88	135.93	177.13	167.57	175.39
Gamma HHI	0.31	0.19	0.48	0.29	0.19
Net GEX	-70.3K	-101.8K	-44.8K	-54.6K	-68.0K
Net DEX	773.3K	537.0K	1.0M	674.2K	696.9K
Net VEX	-1.8K	-3.0K	-842	-2.1K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	1.00	1.00	1.00	1.00
Total Volume	7.727	0	40	0	0
Total OI	130.545	82	182	125	182

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
2008-07-01	$93.25	$0.00	30.3%	8.7%	7.5%	38.4%	0.0%	-10.1%	-10.0%	-54.6K	674.2K	-2.1K	0.00	167.57	0	0	3	122
2008-07-02	$93.18	$0.00	31.2%	8.9%	7.5%	39.8%	0.0%	-10.8%	-10.7%	-53.1K	674.1K	-2.1K	0.00	163.77	0	1	3	122
2008-07-03	$93.14	$0.00	32.2%	9.2%	7.2%	41.2%	0.0%	-11.3%	-11.5%	-53.7K	683.3K	-2.1K	0.00	163.97	0	0	3	123
2008-07-07	$93.22	$94.00	37.1%	5.8%	7.2%	48.5%	0.0%	-8.6%	-4.9%	-55.9K	685.3K	-2.1K	0.00	166.58	0	0	3	123
2008-07-08	$92.97	$94.00	6.2%	1.9%	7.0%	2.9%	0.0%	0.6%	0.4%	-101.8K	877.2K	-1.5K	0.00	138.20	0	0	3	123
2008-07-09	$92.65	$94.00	6.6%	1.7%	6.9%	3.6%	0.0%	0.8%	0.4%	-98.8K	879.1K	-1.5K	0.00	135.93	0	0	3	123
2008-07-10	$92.77	$94.00	6.8%	1.9%	7.0%	3.8%	0.0%	0.5%	0.4%	-90.9K	892.0K	-1.5K	0.00	145.07	0	0	3	123
2008-07-11	$92.65	$94.00	6.0%	1.7%	7.0%	2.6%	0.0%	1.5%	1.3%	-92.3K	909.9K	-1.4K	0.00	144.62	0	0	3	123
2008-07-14	$92.42	$94.00	7.1%	2.0%	6.5%	4.2%	5.8%	1.1%	-0.2%	-82.0K	972.3K	-1.1K	1.00	143.83	3	3	3	123
2008-07-15	$91.00	$94.00	22.9%	6.6%	6.9%	27.6%	0.0%	-6.3%	-7.4%	-44.8K	786.9K	-1.8K	0.00	153.35	0	12	6	126
2008-07-16	$91.30	$94.00	7.1%	2.0%	7.1%	4.2%	0.0%	1.7%	0.1%	-58.0K	1.0M	-842	0.00	143.87	0	0	6	126
2008-07-17	$91.57	$94.00	23.7%	6.8%	7.1%	28.8%	0.0%	-5.0%	-7.5%	-49.6K	778.7K	-1.8K	0.00	163.62	0	26	6	126
2008-07-18	$93.04	$94.00	6.6%	1.9%	9.6%	3.5%	0.0%	-0.5%	-0.0%	-72.1K	743.6K	-1.0K	0.00	150.83	0	25	6	100
2008-07-21	$93.50	$94.00	8.5%	2.4%	9.8%	6.3%	0.0%	1.9%	-1.4%	-55.5K	542.1K	-877	0.00	145.32	0	0	6	76
2008-07-22	$93.81	$94.00	6.6%	1.9%	9.9%	3.5%	0.0%	-0.4%	-0.7%	-59.7K	537.0K	-851	0.00	149.12	0	20	6	76
2008-07-23	$93.57	$94.00	5.8%	1.6%	9.8%	2.2%	0.0%	0.1%	-1.1%	-66.9K	645.9K	-1.3K	0.00	158.58	0	40	6	96
2008-07-24	$93.79	$94.00	5.9%	1.7%	9.7%	2.5%	0.0%	0.0%	-1.2%	-93.1K	858.4K	-2.2K	0.00	158.84	0	0	6	136
2008-07-25	$93.99	$94.00	6.5%	1.9%	9.4%	3.3%	0.0%	-0.1%	-0.9%	-99.1K	822.4K	-2.2K	0.00	151.67	0	0	6	136
2008-07-28	$93.67	$94.00	29.3%	8.4%	9.4%	36.9%	0.0%	-4.3%	-12.2%	-59.6K	713.6K	-2.5K	0.00	177.13	0	40	6	136
2008-07-29	$93.69	$94.00	30.0%	8.6%	9.4%	38.1%	0.0%	-4.4%	-12.8%	-68.6K	801.2K	-3.0K	0.00	176.94	0	0	6	176
2008-07-30	$93.70	$94.00	30.9%	8.9%	9.0%	39.4%	0.0%	-4.5%	-13.6%	-68.4K	801.0K	-3.0K	0.00	177.13	0	0	6	176
2008-07-31	$93.90	$94.00	31.9%	9.1%	9.0%	40.8%	0.0%	-2.0%	-13.2%	-68.0K	696.9K	-3.0K	0.00	175.39	0	0	6	176