HYG Options History — August 2008

In August 2008, HYG traded between $92.00 and $92.83. ATM implied volatility averaged 17.1%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 8.6% (HV 20d: 8.4%). Max pain ranged from $94.00 to $96.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.57.

Notable Days

2008-08-13: Highest Volume — 47 contracts
2008-08-12: Largest IV spike — 643.6% change
2008-08-13: Highest IV Rank — 100.0%
2008-08-26: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.38	$92.00	$92.83	$92.82	$92.40
Max Pain	$95.33	$94.00	$96.00	$94.00	$95.00
ATM IV	17.1%	4.4%	74.8%	7.0%	6.4%
Expected Move	3.0%	1.3%	7.5%	2.0%	1.8%
HV 20d	8.4%	6.2%	10.7%	9.9%	6.2%
HV 60d	8.3%	7.9%	8.4%	8.1%	7.9%
IV Rank	18.5%	0.3%	100.0%	4.2%	3.1%
IV Percentile	36.7%	0.4%	100.0%	14.3%	7.1%
Term Structure	-0.3%	-10.6%	13.9%	1.2%	-0.0%
VWIV	13.1%	4.9%	24.0%	11.6%	4.9%
Skew 25d	-4.7%	-36.1%	9.9%	0.1%	0.5%
Skew 10d	-7.5%	-41.5%	8.3%	-0.3%	0.5%
Call IV 25d	16.7%	4.6%	39.3%	8.1%	4.6%
Put IV 25d	12.0%	3.2%	29.2%	8.3%	5.0%
Bid-Ask Spread %	150.93	123.36	166.04	164.85	123.36
Gamma HHI	0.19	0.16	0.28	0.28	0.20
Net GEX	-115.0K	-159.5K	-70.8K	-148.1K	-159.5K
Net DEX	1.0M	810.5K	1.3M	894.4K	1.3M
Net VEX	-3.2K	-6.0K	-1.7K	-1.7K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.57	0.00	7.67	2.36	0.83
Total Volume	8.81	0	47	0	44
Total OI	256.81	182	297	182	297

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
2008-08-01	$92.82	$94.00	7.0%	2.0%	9.9%	4.2%	0.0%	0.1%	1.2%	-148.1K	894.4K	-1.7K	0.00	164.85	0	0	6	176
2008-08-04	$92.18	$96.00	37.5%	3.4%	10.2%	49.1%	0.0%	-7.0%	-6.5%	-74.9K	864.2K	-2.9K	0.00	161.50	0	20	6	176
2008-08-05	$92.83	$96.00	6.0%	2.0%	10.5%	2.6%	0.0%	-1.5%	-0.3%	-129.0K	1.0M	-3.1K	0.00	146.51	0	0	6	196
2008-08-06	$92.21	$96.00	6.1%	1.8%	10.7%	2.8%	0.0%	-0.8%	1.0%	-121.9K	1.2M	-2.6K	0.00	134.33	0	0	6	196
2008-08-07	$92.09	$96.00	6.5%	1.7%	10.7%	3.3%	0.0%	-0.9%	0.9%	-108.6K	1.1M	-2.1K	0.00	132.96	0	30	6	196
2008-08-08	$92.26	$96.00	7.0%	1.8%	10.7%	4.1%	0.0%	-0.7%	0.6%	-132.0K	1.1M	-2.8K	0.00	135.56	0	0	6	226
2008-08-11	$92.00	$96.00	8.7%	1.7%	10.7%	6.6%	0.0%	-1.3%	0.8%	-129.6K	1.2M	-2.7K	0.00	133.33	0	0	6	226
2008-08-12	$92.36	$96.00	64.8%	3.8%	9.2%	89.4%	0.0%	-7.2%	-7.8%	-100.6K	886.4K	-2.8K	0.00	162.23	0	0	6	226
2008-08-13	$92.50	$96.00	74.8%	3.8%	9.1%	100.0%	11.6%	9.9%	-7.9%	-102.9K	977.4K	-2.5K	2.36	161.14	14	33	6	226
2008-08-14	$92.50	$95.00	6.6%	1.9%	9.1%	3.4%	0.0%	-0.6%	0.6%	-103.0K	1.1M	-2.3K	0.00	137.52	0	0	20	256
2008-08-15	$92.72	$95.00	22.2%	6.4%	7.1%	25.5%	16.2%	-6.4%	-10.6%	-87.1K	822.6K	-3.0K	7.67	165.51	3	23	20	256
2008-08-18	$92.50	$95.00	14.3%	4.1%	6.9%	14.3%	0.0%	-1.9%	-5.1%	-102.6K	1.3M	-5.8K	0.00	166.04	0	0	20	265
2008-08-19	$92.68	$95.00	6.2%	1.8%	6.8%	2.8%	0.0%	-0.9%	-2.7%	-150.4K	1.2M	-4.3K	0.00	146.66	0	10	20	265
2008-08-20	$92.66	$95.00	13.2%	3.8%	6.7%	12.7%	24.0%	-4.9%	13.9%	-110.0K	1.3M	-6.0K	2.00	165.40	1	2	20	275
2008-08-21	$92.53	$95.00	5.6%	1.6%	6.7%	1.9%	0.0%	-0.9%	-0.8%	-146.7K	1.3M	-4.4K	0.00	149.14	0	0	21	275
2008-08-22	$92.00	$95.00	4.4%	1.3%	6.8%	0.3%	0.0%	-1.3%	1.3%	-118.8K	851.2K	-2.5K	0.00	150.18	0	0	21	276
2008-08-25	$92.50	$95.00	6.6%	1.9%	7.1%	3.4%	0.0%	-1.7%	0.1%	-157.2K	1.3M	-4.4K	0.00	150.07	0	0	21	276
2008-08-26	$92.00	$95.00	26.0%	7.5%	7.3%	30.9%	0.0%	-36.1%	-7.6%	-82.2K	810.5K	-2.7K	0.00	160.11	0	0	21	276
2008-08-27	$92.10	$95.00	17.0%	4.9%	7.3%	18.1%	0.0%	-28.8%	11.3%	-78.5K	857.0K	-2.6K	0.00	162.06	0	0	21	276
2008-08-28	$92.23	$95.00	11.2%	3.2%	7.3%	9.9%	8.9%	-6.7%	10.8%	-70.8K	835.3K	-2.6K	0.00	161.05	5	0	21	276
2008-08-29	$92.40	$95.00	6.4%	1.8%	6.2%	3.1%	4.9%	0.5%	-0.0%	-159.5K	1.3M	-4.2K	0.83	123.36	24	20	21	276