HYG Options History — October 2008

In October 2008, HYG traded between $66.25 and $84.85. ATM implied volatility averaged 46.3%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 17.5% (HV 20d: 63.7%). Max pain ranged from $69.00 to $87.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.21.

Notable Days

2008-10-20: Highest Volume — 110 contracts
2008-10-16: Largest IV drop — 69.7% change
2008-10-10: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.59	$66.25	$84.85	$84.85	$72.00
Max Pain	$75.75	$69.00	$87.00	$87.00	$69.00
ATM IV	46.3%	26.6%	115.9%	34.2%	26.6%
Expected Move	8.7%	6.3%	10.8%	9.8%	7.6%
HV 20d	63.7%	53.7%	75.0%	53.7%	65.1%
HV 60d	41.4%	31.4%	48.4%	31.4%	48.4%
IV Rank	47.0%	20.0%	100.0%	42.5%	20.0%
IV Percentile	92.4%	80.2%	100.0%	93.7%	80.2%
Term Structure	-7.8%	-15.2%	6.5%	-13.7%	6.5%
VWIV	38.8%	26.5%	47.5%	28.5%	33.2%
Skew 25d	-11.0%	-32.8%	1.4%	1.4%	0.6%
Skew 10d	-19.5%	-40.9%	-4.5%	-4.5%	-7.7%
Call IV 25d	41.9%	30.1%	51.0%	45.6%	49.2%
Put IV 25d	30.9%	9.1%	49.8%	47.1%	49.8%
Bid-Ask Spread %	141.36	118.65	162.97	162.97	146.67
Gamma HHI	0.26	0.16	0.54	0.23	0.17
Net GEX	14.4K	-39.1K	76.8K	-39.1K	76.8K
Net DEX	271.4K	-448.3K	892.3K	590.2K	-448.3K
Net VEX	-1.5K	-3.6K	-108	-2.2K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	1.00	0.60	0.31
Total Volume	23.217	0	110	2	85
Total OI	206.087	62	424	137	424

Daily Data (23 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
2008-10-01	$84.85	$87.00	34.2%	9.8%	53.7%	42.5%	0.0%	1.4%	-13.7%	-39.1K	590.2K	-2.2K	0.00	162.97	0	2	9	128
2008-10-02	$82.64	$87.00	36.1%	10.4%	54.2%	45.2%	0.0%	-2.2%	-15.2%	-28.3K	873.2K	-1.5K	0.00	157.43	0	1	9	130
2008-10-03	$82.33	$87.00	37.6%	10.8%	54.2%	47.3%	0.0%	-3.5%	-15.1%	-26.9K	886.5K	-1.4K	0.00	157.22	0	0	9	130
2008-10-06	$79.35	$0.00	45.3%	6.3%	55.2%	58.2%	0.0%	-6.3%	-2.1%	-16.0K	892.3K	-924	0.00	156.68	0	11	9	126
2008-10-07	$78.01	$0.00	48.2%	6.5%	55.2%	62.3%	0.0%	-9.6%	-4.0%	-10.1K	771.3K	-555	0.60	153.06	5	3	9	107
2008-10-08	$74.75	$0.00	57.4%	7.3%	56.5%	75.4%	0.0%	-13.4%	-5.8%	-5.1K	796.5K	-304	0.00	131.13	0	0	12	110
2008-10-09	$73.01	$0.00	61.9%	6.8%	56.6%	81.8%	0.0%	-23.4%	-6.0%	-2.0K	720.5K	-108	0.00	134.61	0	3	12	100
2008-10-10	$68.14	$0.00	90.0%	9.6%	59.9%	100.0%	0.0%	-20.2%	-8.7%	-1.7K	526.4K	-154	0.00	118.65	0	8	12	79
2008-10-13	$76.50	$0.00	79.1%	7.1%	75.0%	87.3%	0.0%	-9.8%	-4.6%	-2.2K	358.2K	-173	0.00	143.03	2	0	12	50
2008-10-14	$77.00	$0.00	73.8%	7.1%	75.0%	81.1%	28.5%	-6.3%	-5.1%	-1.8K	363.8K	-211	1.00	152.83	10	10	14	51
2008-10-15	$73.64	$76.00	115.9%	7.8%	73.5%	100.0%	26.5%	-14.8%	-6.9%	-451	398.3K	-226	0.75	131.88	20	15	24	61
2008-10-16	$70.85	$76.00	35.2%	10.1%	67.8%	27.7%	0.0%	-9.1%	-8.3%	239	354.6K	-620	0.00	128.51	9	0	44	67
2008-10-17	$70.00	$76.00	28.5%	8.2%	67.2%	21.7%	0.0%	-11.5%	-6.2%	1.3K	388.7K	-549	0.00	137.22	73	0	53	67
2008-10-20	$71.40	$76.00	29.3%	8.4%	68.0%	22.5%	42.4%	-7.5%	-6.6%	16.4K	106.5K	-1.6K	0.00	141.49	110	0	114	48
2008-10-21	$70.99	$76.00	29.8%	8.5%	68.1%	22.9%	44.2%	-9.6%	-7.2%	36.9K	-134.2K	-2.7K	0.00	139.76	18	0	224	33
2008-10-22	$70.40	$76.00	30.7%	8.8%	67.7%	23.7%	42.8%	-13.0%	-7.3%	38.2K	-135.1K	-2.7K	0.00	137.18	40	0	242	33
2008-10-23	$71.59	$73.00	30.4%	8.7%	68.2%	23.4%	37.3%	-32.8%	-8.1%	53.5K	-250.0K	-3.0K	0.00	141.91	20	0	282	33
2008-10-24	$69.80	$73.00	31.8%	9.1%	68.4%	24.7%	0.0%	-15.8%	-8.5%	46.8K	-156.8K	-2.6K	0.00	134.63	15	0	302	33
2008-10-27	$66.25	$73.00	37.8%	10.8%	64.6%	30.0%	47.5%	-21.3%	-12.8%	29.6K	-14.0K	-1.8K	0.19	124.06	31	6	317	33
2008-10-28	$67.00	$69.00	35.3%	10.1%	63.0%	27.8%	0.0%	-20.8%	-11.5%	34.9K	-7.9K	-1.9K	0.00	131.32	0	0	348	39
2008-10-29	$70.05	$69.00	35.0%	10.0%	64.1%	27.5%	47.3%	-5.0%	-10.4%	55.7K	-211.1K	-2.8K	0.29	142.69	21	6	348	39
2008-10-30	$71.97	$69.00	34.7%	10.0%	65.0%	27.3%	0.0%	0.5%	-10.7%	74.1K	-427.2K	-3.5K	0.00	146.42	10	0	369	45
2008-10-31	$72.00	$69.00	26.6%	7.6%	65.1%	20.0%	33.2%	0.6%	6.5%	76.8K	-448.3K	-3.6K	0.31	146.67	65	20	379	45