HYG Options History — September 2008

In September 2008, HYG traded between $79.22 and $92.51. ATM implied volatility averaged 15.0%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 8.2% (HV 20d: 23.2%). Max pain ranged from $87.00 to $94.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2008-09-29: Highest Volume — 66 contracts
2008-09-19: Largest IV spike — 375.4% change
2008-09-29: Highest IV Rank — 42.8%
2008-09-29: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.69	$79.22	$92.51	$91.80	$82.00
Max Pain	$90.17	$87.00	$94.00	$94.00	$87.00
ATM IV	15.0%	4.7%	34.4%	4.8%	14.1%
Expected Move	4.5%	1.4%	9.9%	1.4%	4.1%
HV 20d	23.2%	5.3%	51.9%	6.1%	51.9%
HV 60d	16.0%	7.6%	30.5%	8.0%	30.5%
IV Rank	15.3%	0.6%	42.8%	0.9%	14.1%
IV Percentile	44.1%	0.8%	94.0%	0.8%	54.4%
Term Structure	-5.0%	-18.0%	1.5%	0.7%	-1.2%
VWIV	7.3%	4.8%	9.8%	4.8%	9.8%
Skew 25d	0.6%	-19.7%	15.0%	-0.4%	0.9%
Skew 10d	1.1%	-25.4%	14.5%	-0.1%	5.1%
Call IV 25d	18.7%	4.5%	45.9%	5.0%	13.4%
Put IV 25d	19.3%	4.6%	38.6%	4.6%	14.3%
Bid-Ask Spread %	143.56	76.94	190.27	124.63	82.62
Gamma HHI	0.31	0.18	0.48	0.22	0.31
Net GEX	-78.2K	-159.2K	-18.4K	-159.2K	-31.6K
Net DEX	1.1M	622.3K	1.9M	1.5M	881.5K
Net VEX	-2.6K	-5.1K	-1.1K	-4.3K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.00	0.00	1.00
Total Volume	11.714	0	66	0	0
Total OI	243.19	137	337	337	137

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
2008-09-02	$91.80	$94.00	4.8%	1.4%	6.1%	0.9%	0.0%	-0.4%	0.7%	-159.2K	1.5M	-4.3K	0.00	124.63	0	0	41	296
2008-09-03	$92.10	$93.00	5.6%	1.6%	5.7%	2.0%	0.0%	0.2%	0.8%	-121.9K	1.1M	-3.5K	0.00	121.30	0	30	41	274
2008-09-04	$92.50	$93.00	5.3%	1.5%	5.4%	1.5%	4.8%	0.7%	1.5%	-74.0K	622.3K	-1.8K	0.00	145.76	14	0	41	244
2008-09-05	$92.42	$0.00	4.7%	5.7%	5.4%	0.6%	0.0%	-0.8%	-15.5%	-79.1K	1.0M	-5.1K	0.00	190.27	1	0	41	244
2008-09-08	$92.31	$0.00	5.7%	1.8%	5.3%	2.1%	0.0%	2.0%	-0.5%	-67.4K	673.7K	-1.6K	0.00	152.11	1	0	35	244
2008-09-09	$92.51	$0.00	6.0%	1.4%	5.3%	2.6%	0.0%	1.7%	-0.2%	-85.4K	658.6K	-1.6K	0.00	159.37	0	0	35	244
2008-09-10	$92.00	$0.00	6.5%	1.6%	5.5%	3.2%	0.0%	9.3%	-0.4%	-84.5K	784.5K	-1.5K	0.00	154.40	0	0	35	244
2008-09-11	$92.00	$0.00	6.2%	1.8%	5.4%	2.8%	0.0%	2.1%	-1.1%	-74.0K	837.9K	-1.4K	0.00	156.37	0	0	35	244
2008-09-12	$92.00	$0.00	21.6%	6.2%	5.4%	24.7%	0.0%	-3.0%	-18.0%	-99.3K	907.8K	-3.6K	0.00	187.34	0	0	35	244
2008-09-15	$88.62	$0.00	11.6%	3.3%	14.2%	10.5%	0.0%	13.3%	-0.1%	-156.8K	1.6M	-3.6K	0.00	135.47	0	20	35	244
2008-09-16	$86.58	$0.00	13.0%	3.7%	16.0%	12.4%	0.0%	15.0%	-0.5%	-64.8K	1.9M	-2.3K	0.00	76.94	0	0	35	244
2008-09-17	$81.38	$0.00	28.0%	8.0%	26.1%	33.7%	0.0%	-19.7%	-14.9%	-22.0K	1.9M	-1.1K	0.00	130.61	0	51	35	244
2008-09-18	$87.80	$0.00	5.3%	1.5%	39.2%	1.5%	0.0%	0.9%	-0.3%	-106.5K	1.4M	-2.6K	0.00	130.64	0	0	35	193
2008-09-19	$88.92	$0.00	25.0%	7.2%	39.6%	29.4%	0.0%	4.7%	-10.4%	-63.7K	1.3M	-3.0K	0.00	163.33	0	5	35	193
2008-09-22	$88.84	$0.00	26.4%	7.6%	39.6%	31.4%	0.0%	0.6%	-9.1%	-57.1K	867.9K	-2.9K	0.00	162.78	0	20	0	144
2008-09-23	$87.97	$0.00	27.2%	7.8%	39.6%	32.6%	0.0%	0.6%	-9.4%	-56.7K	949.7K	-3.0K	0.00	162.48	0	0	0	164
2008-09-24	$88.76	$0.00	27.5%	7.9%	39.8%	32.9%	0.0%	0.6%	-9.9%	-56.0K	878.3K	-2.9K	0.00	162.40	0	20	0	164
2008-09-25	$86.50	$0.00	12.0%	3.5%	40.7%	11.1%	9.8%	0.4%	-0.9%	-104.5K	910.4K	-3.8K	1.00	115.15	9	9	0	184
2008-09-26	$86.20	$87.00	23.7%	6.8%	40.6%	27.6%	0.0%	0.8%	1.1%	-59.6K	1.2M	-3.3K	0.00	158.71	0	0	9	193
2008-09-29	$79.22	$87.00	34.4%	9.9%	49.7%	42.8%	0.0%	-16.6%	-16.9%	-18.4K	1.4M	-1.1K	0.00	142.07	0	66	9	193
2008-09-30	$82.00	$87.00	14.1%	4.1%	51.9%	14.1%	0.0%	0.9%	-1.2%	-31.6K	881.5K	-1.2K	0.00	82.62	0	0	9	128