HYG Options History — November 2008

In November 2008, HYG traded between $63.40 and $72.86. ATM implied volatility averaged 31.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 8.4% (HV 20d: 40.0%). Max pain ranged from $67.00 to $77.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.46.

Notable Days

2008-11-24: Highest Volume — 60 contracts
2008-11-25: Largest IV spike — 88.3% change
2008-11-11: Highest IV Rank — 40.6%
2008-11-06: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.11	$63.40	$72.86	$71.89	$66.25
Max Pain	$73.74	$67.00	$77.00	$70.00	$67.00
ATM IV	31.6%	19.1%	49.5%	38.2%	19.9%
Expected Move	7.9%	4.8%	11.9%	11.0%	5.7%
HV 20d	40.0%	23.5%	64.2%	64.1%	23.5%
HV 60d	48.9%	48.4%	49.9%	48.4%	49.9%
IV Rank	24.5%	13.3%	40.6%	30.4%	14.1%
IV Percentile	82.2%	64.7%	94.8%	92.9%	65.9%
Term Structure	-7.1%	-19.4%	10.9%	-12.5%	0.7%
VWIV	31.4%	15.2%	54.7%	49.0%	19.4%
Skew 25d	-9.3%	-35.1%	5.6%	0.7%	-6.8%
Skew 10d	-10.7%	-38.2%	4.7%	-3.4%	-11.6%
Call IV 25d	39.1%	14.7%	67.4%	50.9%	23.4%
Put IV 25d	29.7%	13.8%	51.6%	51.6%	16.6%
Bid-Ask Spread %	115.79	56.50	148.98	148.49	65.70
Gamma HHI	0.19	0.14	0.34	0.18	0.34
Net GEX	53.2K	10.1K	109.5K	81.2K	44.8K
Net DEX	-230.6K	-686.8K	280.3K	-518.1K	-41.9K
Net VEX	-2.7K	-4.2K	-914	-4.1K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.00	1.25	0.00	0.00
Total Volume	8.211	0	60	0	15
Total OI	426.842	258	471	459	318

Daily Data (19 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
2008-11-03	$71.89	$70.00	38.2%	11.0%	64.1%	30.4%	0.0%	0.7%	-12.5%	81.2K	-518.1K	-4.1K	0.00	148.49	0	0	394	65
2008-11-04	$72.70	$70.00	20.5%	5.9%	64.2%	14.6%	0.0%	5.6%	0.7%	109.5K	-544.6K	-3.8K	0.00	106.85	10	0	394	65
2008-11-05	$72.10	$70.00	24.4%	7.0%	62.5%	18.1%	49.0%	-17.8%	-13.8%	85.6K	-571.7K	-4.1K	1.25	148.98	4	5	404	65
2008-11-06	$72.10	$70.00	41.6%	11.9%	62.0%	33.4%	54.7%	-31.2%	-14.7%	80.3K	-547.6K	-3.9K	0.00	148.42	0	1	400	70
2008-11-07	$72.85	$76.00	42.4%	7.2%	56.6%	34.2%	0.0%	0.3%	-5.6%	86.0K	-667.0K	-4.2K	1.00	133.90	5	5	400	71
2008-11-10	$72.86	$76.00	47.4%	4.8%	37.9%	38.7%	0.0%	0.4%	10.9%	72.3K	-686.8K	-4.0K	0.00	134.07	0	0	395	66
2008-11-11	$72.73	$76.00	49.5%	7.5%	37.8%	40.6%	0.0%	0.4%	-7.5%	75.4K	-654.5K	-3.9K	0.00	134.29	0	0	395	66
2008-11-12	$71.70	$76.00	19.1%	4.8%	34.7%	13.3%	18.5%	0.9%	3.0%	89.8K	-279.5K	-2.9K	0.00	85.35	30	0	395	66
2008-11-13	$71.31	$77.00	27.7%	7.9%	31.9%	21.0%	0.0%	-1.0%	-8.1%	70.7K	-377.0K	-3.1K	0.00	132.91	0	0	385	66
2008-11-14	$70.45	$77.00	20.1%	5.8%	31.9%	14.2%	0.0%	-1.1%	2.0%	45.7K	-65.3K	-2.3K	0.00	83.59	0	10	385	66
2008-11-17	$69.36	$77.00	20.0%	5.7%	31.5%	14.1%	0.0%	1.5%	1.8%	14.1K	88.8K	-1.9K	1.00	77.92	1	1	385	76
2008-11-18	$67.90	$77.00	31.1%	8.9%	32.2%	24.1%	0.0%	-11.1%	-14.1%	38.6K	13.2K	-2.0K	0.00	127.09	0	1	386	77
2008-11-19	$65.58	$77.00	33.0%	9.5%	34.2%	25.8%	0.0%	-18.5%	-16.6%	21.3K	204.5K	-1.5K	0.00	120.77	0	7	386	78
2008-11-20	$63.40	$77.00	34.7%	9.9%	34.9%	27.3%	0.0%	-35.1%	-19.4%	10.1K	280.3K	-925	0.00	118.98	0	1	386	66
2008-11-21	$64.03	$77.00	34.2%	9.8%	34.6%	26.9%	0.0%	-18.9%	-17.4%	10.7K	280.2K	-960	0.00	121.31	0	0	386	59
2008-11-24	$64.32	$77.00	19.6%	5.6%	29.7%	13.8%	15.2%	-1.2%	2.1%	10.5K	142.2K	-914	0.00	56.50	60	0	223	35
2008-11-25	$64.99	$67.00	36.9%	10.6%	29.6%	29.2%	0.0%	-25.2%	-10.7%	29.8K	-194.3K	-2.5K	0.00	125.64	0	0	283	35
2008-11-26	$66.50	$67.00	39.2%	11.2%	26.0%	31.3%	0.0%	-19.3%	-14.8%	35.0K	-242.6K	-2.6K	0.00	129.18	0	0	283	35
2008-11-28	$66.25	$67.00	19.9%	5.7%	23.5%	14.1%	19.4%	-6.8%	0.7%	44.8K	-41.9K	-1.6K	0.00	65.70	15	0	283	35