HYG Options History — February 2009

In February 2009, HYG traded between $67.25 and $74.40. ATM implied volatility averaged 20.3%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 4.5% (HV 20d: 24.7%). Max pain ranged from $70.00 to $78.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.50.

Notable Days

2009-02-20: Highest Volume — 347 contracts
2009-02-12: Largest IV spike — 21.3% change
2009-02-18: Highest IV Rank — 17.1%
2009-02-18: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.83	$67.25	$74.40	$72.90	$67.25
Max Pain	$71.95	$70.00	$78.00	$78.00	$71.00
ATM IV	20.3%	18.0%	23.3%	18.9%	19.4%
Expected Move	5.8%	4.7%	6.7%	5.4%	5.6%
HV 20d	24.7%	21.5%	31.0%	31.0%	21.5%
HV 60d	28.6%	27.3%	29.4%	29.2%	27.4%
IV Rank	14.4%	12.4%	17.1%	13.2%	13.6%
IV Percentile	53.4%	46.0%	60.7%	50.4%	48.8%
Term Structure	0.7%	-2.0%	5.5%	1.2%	2.5%
VWIV	20.5%	16.2%	22.6%	19.7%	18.3%
Skew 25d	2.3%	0.5%	3.8%	3.8%	2.2%
Skew 10d	0.2%	-12.2%	7.9%	-12.2%	1.6%
Call IV 25d	19.4%	16.5%	22.3%	16.5%	19.1%
Put IV 25d	21.7%	18.6%	24.8%	20.3%	21.2%
Bid-Ask Spread %	81.34	31.92	115.07	102.09	35.38
Gamma HHI	0.21	0.11	0.38	0.34	0.15
Net GEX	-40.7K	-210.7K	143.4K	-183.6K	-17.5K
Net DEX	7.4M	307.1K	10.7M	9.5M	1.7M
Net VEX	-8.1K	-10.0K	-5.9K	-9.5K	-6.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	2.39	2.39	0.56
Total Volume	92.842	9	347	61	100
Total OI	2,496.211	1,348	3,138	2,580	1,812

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
2009-02-02	$72.90	$78.00	18.9%	5.4%	31.0%	13.2%	19.7%	3.8%	1.2%	-183.6K	9.5M	-9.5K	2.39	102.09	18	43	904	1,676
2009-02-03	$73.03	$78.00	20.8%	6.0%	25.1%	14.9%	20.9%	2.2%	-0.0%	-210.7K	9.5M	-10.0K	0.00	114.23	67	0	901	1,712
2009-02-04	$72.97	$78.00	18.5%	5.3%	24.7%	12.8%	19.1%	2.1%	1.6%	-161.8K	9.6M	-9.5K	2.27	114.61	11	25	947	1,712
2009-02-05	$72.37	$78.00	20.5%	5.9%	24.2%	14.5%	16.2%	2.9%	-0.7%	-140.8K	9.6M	-9.5K	0.07	115.07	29	2	958	1,737
2009-02-06	$73.83	$70.00	19.0%	5.4%	25.3%	13.2%	20.4%	2.3%	1.5%	-176.4K	9.3M	-10.0K	0.00	101.59	93	0	987	1,737
2009-02-09	$74.40	$70.00	19.6%	5.6%	24.8%	13.7%	20.5%	1.1%	0.7%	-74.5K	9.2M	-9.7K	0.29	105.40	7	2	1,043	1,737
2009-02-10	$73.91	$70.00	18.2%	4.7%	23.8%	12.5%	20.4%	1.1%	5.5%	-60.3K	9.5M	-8.7K	0.10	103.37	10	1	1,047	1,739
2009-02-11	$73.74	$70.00	18.0%	5.2%	23.8%	12.4%	21.9%	1.7%	2.0%	13.8K	9.7M	-8.2K	0.35	107.31	20	7	1,057	1,738
2009-02-12	$73.51	$70.00	21.9%	6.3%	23.5%	15.8%	20.8%	2.1%	-1.8%	38.2K	9.8M	-7.9K	0.49	98.60	93	46	1,056	1,739
2009-02-13	$73.80	$70.00	21.8%	6.3%	23.5%	15.8%	20.3%	3.1%	-1.8%	143.4K	9.7M	-8.2K	0.00	98.96	25	0	1,149	1,785
2009-02-17	$71.92	$70.00	20.7%	5.9%	24.8%	14.8%	22.2%	3.8%	-1.8%	23.3K	10.6M	-6.4K	0.20	88.60	15	3	1,174	1,785
2009-02-18	$71.49	$70.00	23.3%	6.7%	24.3%	17.1%	22.6%	3.5%	-2.0%	-9.5K	10.7M	-6.6K	0.25	42.67	142	35	1,188	1,788
2009-02-19	$71.85	$70.00	22.0%	6.3%	24.4%	15.9%	21.1%	2.8%	0.5%	-23.7K	10.6M	-7.3K	0.00	42.75	14	0	1,316	1,818
2009-02-20	$70.80	$70.00	21.8%	6.2%	24.8%	15.7%	22.2%	0.5%	0.8%	-142.3K	8.7M	-8.5K	1.05	87.55	169	178	1,321	1,817
2009-02-23	$69.02	$71.00	21.8%	6.3%	25.7%	15.8%	22.2%	1.3%	-0.1%	46.7K	667.6K	-5.9K	0.40	87.64	167	67	1,072	276
2009-02-24	$70.00	$71.00	19.5%	5.6%	26.3%	13.7%	19.8%	3.2%	1.7%	71.9K	307.1K	-7.8K	0.22	34.16	79	17	1,156	343
2009-02-25	$69.66	$71.00	20.8%	6.0%	26.0%	14.9%	19.5%	2.2%	0.5%	70.8K	457.5K	-7.9K	0.33	31.92	43	14	1,219	358
2009-02-26	$68.28	$71.00	18.4%	5.3%	22.4%	12.6%	20.4%	1.9%	3.0%	19.3K	1.1M	-6.7K	0.62	33.61	137	85	1,257	367
2009-02-27	$67.25	$71.00	19.4%	5.6%	21.5%	13.6%	18.3%	2.2%	2.5%	-17.5K	1.7M	-6.2K	0.56	35.38	64	36	1,378	434