HYG Options History — May 2009

In May 2009, HYG traded between $73.80 and $77.83. ATM implied volatility averaged 19.2%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.7% (HV 20d: 20.9%). Max pain ranged from $73.00 to $76.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.15.

Notable Days

2009-05-14: Highest Volume — 899 contracts
2009-05-14: Largest IV spike — 19.2% change
2009-05-14: Highest IV Rank — 15.7%
2009-05-04: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.16	$73.80	$77.83	$75.56	$77.83
Max Pain	$75.35	$73.00	$76.00	$73.00	$76.00
ATM IV	19.2%	16.5%	22.0%	20.2%	16.5%
Expected Move	5.7%	4.7%	6.6%	5.8%	4.7%
HV 20d	20.9%	18.1%	23.3%	23.2%	18.1%
HV 60d	28.2%	26.9%	28.7%	28.6%	26.9%
IV Rank	13.3%	10.9%	15.7%	14.2%	10.9%
IV Percentile	31.6%	21.8%	47.2%	36.1%	21.8%
Term Structure	-0.7%	-3.1%	2.2%	2.2%	2.2%
VWIV	20.7%	17.3%	28.7%	19.2%	28.7%
Skew 25d	2.8%	0.8%	4.5%	1.4%	1.9%
Skew 10d	5.2%	0.6%	10.4%	10.4%	3.0%
Call IV 25d	18.7%	15.8%	21.1%	19.7%	15.8%
Put IV 25d	21.5%	17.7%	24.8%	21.2%	17.7%
Bid-Ask Spread %	75.91	52.99	91.74	91.74	88.54
Gamma HHI	0.17	0.10	0.21	0.17	0.18
Net GEX	1.0M	229.7K	1.9M	953.9K	1.1M
Net DEX	-10.5M	-18.0M	-3.1M	-11.4M	-12.1M
Net VEX	-58.5K	-67.5K	-52.0K	-53.2K	-60.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.17	6.68	0.55	0.33
Total Volume	403.65	69	899	266	809
Total OI	8,442.3	6,877	9,733	6,877	9,463

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
2009-05-01	$75.56	$73.00	20.2%	5.8%	23.2%	14.2%	19.2%	1.4%	2.2%	953.9K	-11.4M	-53.2K	0.55	91.74	172	94	4,188	2,689
2009-05-04	$75.37	$75.00	20.7%	6.6%	23.0%	14.6%	22.5%	3.6%	-2.2%	988.5K	-10.9M	-57.3K	0.24	74.78	281	68	4,323	2,740
2009-05-05	$76.03	$75.00	20.2%	6.5%	23.0%	14.1%	22.3%	3.9%	-2.2%	1.2M	-12.6M	-60.1K	1.13	75.08	92	104	4,504	2,788
2009-05-06	$76.66	$75.00	19.9%	6.2%	22.2%	13.9%	21.8%	4.5%	-2.0%	1.3M	-15.1M	-57.7K	0.17	76.22	278	47	4,572	2,879
2009-05-07	$75.40	$75.00	20.6%	6.4%	23.3%	14.5%	22.5%	4.1%	-2.6%	1.3M	-11.8M	-53.1K	0.37	77.99	529	198	4,818	2,906
2009-05-08	$76.75	$75.00	20.7%	6.1%	22.2%	14.6%	21.0%	4.2%	-2.1%	1.7M	-18.0M	-56.2K	0.23	77.63	294	69	5,272	3,038
2009-05-11	$76.35	$75.00	20.9%	6.2%	22.3%	14.8%	21.6%	3.5%	-1.2%	1.8M	-16.3M	-56.5K	1.67	77.63	101	169	5,467	3,080
2009-05-12	$76.65	$75.00	17.4%	6.1%	22.1%	11.7%	22.5%	2.7%	-2.1%	1.9M	-17.5M	-52.0K	2.47	79.27	32	79	5,543	3,242
2009-05-13	$75.65	$75.00	18.4%	6.1%	22.8%	12.6%	22.0%	2.2%	-2.7%	1.5M	-13.0M	-55.4K	1.48	77.84	64	95	5,562	3,278
2009-05-14	$74.85	$75.00	22.0%	6.3%	22.6%	15.7%	22.8%	3.0%	-3.1%	1.0M	-9.3M	-56.4K	6.68	79.70	117	782	5,599	3,365
2009-05-15	$73.80	$75.00	21.1%	6.1%	21.8%	15.0%	20.8%	3.5%	-2.1%	229.7K	-3.1M	-61.9K	1.83	62.50	275	504	5,676	4,057
2009-05-18	$75.37	$76.00	20.0%	5.7%	18.5%	14.0%	19.4%	4.0%	0.5%	396.8K	-5.0M	-57.7K	1.69	57.37	316	535	4,197	3,462
2009-05-19	$75.87	$76.00	19.3%	5.5%	18.2%	13.3%	18.3%	3.3%	-0.8%	419.4K	-4.5M	-61.5K	0.39	83.80	140	54	4,411	3,957
2009-05-20	$76.99	$76.00	17.8%	5.1%	18.8%	12.0%	17.5%	2.5%	0.1%	625.1K	-8.3M	-58.4K	0.56	56.95	350	197	4,528	3,960
2009-05-21	$76.00	$76.00	17.9%	5.1%	19.5%	12.1%	17.7%	2.4%	1.4%	625.1K	-5.1M	-67.5K	0.18	85.41	92	17	4,789	4,127
2009-05-22	$77.05	$76.00	17.8%	5.1%	19.4%	12.0%	17.8%	1.1%	0.6%	807.7K	-8.5M	-63.3K	0.30	52.99	53	16	4,872	4,142
2009-05-26	$76.85	$76.00	17.5%	5.0%	19.1%	11.8%	19.1%	1.9%	0.7%	828.7K	-7.7M	-62.1K	0.84	77.04	103	87	4,890	4,157
2009-05-27	$76.99	$76.00	17.8%	5.1%	19.1%	12.0%	17.3%	1.6%	0.5%	923.4K	-8.5M	-61.5K	0.25	86.95	199	49	4,965	4,185
2009-05-28	$77.26	$76.00	17.4%	5.0%	18.1%	11.7%	18.1%	0.8%	1.4%	961.3K	-10.5M	-58.2K	1.52	78.87	243	369	4,959	4,196
2009-05-29	$77.83	$76.00	16.5%	4.7%	18.1%	10.9%	28.7%	1.9%	2.2%	1.1M	-12.1M	-60.0K	0.33	88.54	609	200	5,092	4,371