HYG Options History — January 2009

In January 2009, HYG traded between $73.31 and $80.10. ATM implied volatility averaged 31.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.9% (HV 20d: 30.2%). Max pain ranged from $63.00 to $78.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.52.

Notable Days

2009-01-22: Highest Volume — 1,603 contracts
2009-01-08: Largest IV spike — 86.7% change
2009-01-08: Highest IV Rank — 42.1%
2009-01-02: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.13	$73.31	$80.10	$75.77	$75.24
Max Pain	$76.37	$63.00	$78.00	$63.00	$78.00
ATM IV	31.1%	21.4%	51.3%	40.9%	21.6%
Expected Move	8.6%	6.1%	11.7%	11.7%	6.2%
HV 20d	30.2%	24.4%	34.8%	28.0%	29.0%
HV 60d	33.0%	27.6%	43.5%	43.3%	28.5%
IV Rank	24.1%	15.4%	42.1%	32.9%	15.5%
IV Percentile	72.6%	56.3%	95.2%	90.9%	56.3%
Term Structure	0.2%	-12.1%	9.4%	-5.1%	0.5%
VWIV	29.5%	18.4%	48.3%	48.3%	21.7%
Skew 25d	2.7%	-6.7%	20.6%	-6.7%	3.8%
Skew 10d	3.9%	-6.5%	33.5%	33.5%	4.6%
Call IV 25d	28.4%	18.0%	37.7%	37.7%	18.0%
Put IV 25d	31.1%	21.8%	43.2%	31.1%	21.8%
Bid-Ask Spread %	98.73	77.13	144.82	144.82	100.97
Gamma HHI	0.50	0.11	0.76	0.14	0.51
Net GEX	-265.1K	-543.8K	93.2K	59.5K	-404.9K
Net DEX	4.6M	-2.1M	8.2M	-1.3M	7.9M
Net VEX	-16.0K	-22.2K	-5.2K	-5.2K	-14.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.52	0.00	29.33	0.17	0.90
Total Volume	210.35	1	1,603	28	57
Total OI	1,899.3	380	2,556	380	2,556

Daily Data (20 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
2009-01-02	$75.77	$63.00	40.9%	11.7%	28.0%	32.9%	48.3%	-6.7%	-5.1%	59.5K	-1.3M	-5.2K	0.17	144.82	24	4	358	22
2009-01-05	$79.43	$0.00	51.2%	7.6%	30.8%	42.1%	23.0%	10.1%	9.4%	62.5K	-1.8M	-5.3K	0.04	127.94	106	4	380	26
2009-01-06	$80.10	$70.00	45.1%	8.9%	30.6%	36.6%	0.0%	2.3%	1.1%	83.4K	-2.1M	-6.3K	0.00	126.55	32	0	465	30
2009-01-07	$78.65	$70.00	27.5%	8.4%	32.3%	20.8%	32.0%	-2.2%	-0.7%	93.2K	-1.8M	-5.8K	29.33	93.03	52	1,525	462	30
2009-01-08	$77.51	$78.00	51.3%	10.2%	32.9%	42.1%	30.8%	-0.4%	-0.7%	-311.1K	4.8M	-22.0K	0.00	126.50	108	0	450	1,555
2009-01-09	$78.65	$78.00	28.1%	9.9%	32.7%	21.4%	34.0%	0.9%	-1.0%	-335.4K	3.8M	-22.2K	0.38	81.13	24	9	490	1,555
2009-01-12	$76.94	$78.00	27.4%	10.0%	34.1%	20.7%	35.1%	-0.1%	-1.2%	-327.9K	4.8M	-21.2K	1.00	83.15	9	9	503	1,564
2009-01-13	$76.66	$78.00	26.4%	10.0%	34.3%	19.8%	0.0%	-2.6%	-1.2%	-348.8K	5.2M	-21.0K	0.00	82.72	22	0	503	1,573
2009-01-14	$75.68	$78.00	26.3%	9.9%	34.8%	19.8%	33.9%	1.3%	-0.8%	-324.5K	5.6M	-20.3K	1.09	85.44	35	38	500	1,573
2009-01-15	$75.38	$78.00	34.8%	10.0%	34.8%	27.4%	36.0%	0.6%	-4.5%	-347.6K	5.8M	-20.2K	0.00	85.22	1	0	522	1,607
2009-01-16	$75.99	$78.00	29.1%	8.3%	34.1%	22.2%	28.4%	1.4%	4.8%	-439.4K	5.8M	-20.0K	0.97	95.41	77	75	523	1,607
2009-01-20	$74.69	$78.00	28.5%	8.2%	29.3%	21.7%	38.5%	20.6%	-12.1%	-249.7K	5.7M	-20.1K	1.13	131.66	8	9	630	1,618
2009-01-21	$74.70	$78.00	28.3%	8.1%	29.1%	21.5%	26.5%	4.3%	6.7%	-373.5K	6.9M	-17.8K	0.03	77.13	144	4	578	1,627
2009-01-22	$74.50	$78.00	29.7%	8.5%	25.7%	22.8%	18.4%	5.4%	4.2%	-356.8K	6.9M	-18.7K	14.56	80.57	103	1,500	702	1,631
2009-01-23	$73.31	$78.00	30.1%	8.6%	25.8%	23.2%	30.1%	4.8%	1.9%	-279.1K	7.8M	-16.0K	0.33	78.90	57	19	781	1,631
2009-01-26	$73.50	$78.00	29.2%	8.4%	25.2%	22.3%	25.8%	3.3%	1.3%	-279.5K	8.1M	-14.3K	0.14	86.90	29	4	808	1,636
2009-01-27	$74.18	$78.00	24.2%	6.9%	24.4%	17.9%	23.9%	3.3%	-1.2%	-313.0K	8.2M	-13.7K	0.15	96.23	46	7	812	1,640
2009-01-28	$76.81	$78.00	21.4%	6.1%	27.5%	15.4%	23.0%	1.9%	2.3%	-543.8K	5.6M	-19.1K	0.13	92.67	30	4	857	1,647
2009-01-29	$74.90	$78.00	22.1%	6.3%	29.0%	16.0%	20.9%	2.8%	0.4%	-365.4K	7.1M	-16.4K	0.14	97.66	28	4	887	1,647
2009-01-30	$75.24	$78.00	21.6%	6.2%	29.0%	15.5%	21.7%	3.8%	0.5%	-404.9K	7.9M	-14.5K	0.90	100.97	30	27	907	1,649