HYG Options History — November 2009

In November 2009, HYG traded between $85.14 and $86.30. ATM implied volatility averaged 11.1%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.0% (HV 20d: 9.1%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.61.

Notable Days

2009-11-02: Highest Volume — 3,001 contracts
2009-11-12: Largest IV spike — 43.1% change
2009-11-02: Highest IV Rank — 16.8%
2009-11-02: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.90	$85.14	$86.30	$85.14	$85.90
Max Pain	$84.25	$83.00	$85.00	$85.00	$85.00
ATM IV	11.1%	6.9%	16.8%	16.8%	7.6%
Expected Move	3.3%	2.0%	4.8%	4.8%	2.2%
HV 20d	9.1%	4.0%	10.4%	10.4%	4.0%
HV 60d	13.1%	11.8%	14.7%	14.7%	11.8%
IV Rank	5.7%	0.0%	16.8%	16.8%	1.5%
IV Percentile	10.3%	0.0%	40.9%	40.9%	1.2%
Term Structure	2.1%	-0.9%	4.2%	1.2%	2.3%
VWIV	12.7%	8.7%	17.9%	17.9%	14.5%
Skew 25d	3.5%	2.3%	4.5%	3.4%	4.4%
Skew 10d	7.0%	0.5%	10.7%	10.1%	4.8%
Call IV 25d	9.9%	4.7%	15.5%	15.5%	5.1%
Put IV 25d	13.3%	8.9%	18.9%	18.9%	9.5%
Bid-Ask Spread %	28.96	11.02	93.00	38.95	14.20
Gamma HHI	0.34	0.20	0.62	0.27	0.53
Net GEX	-282.3K	-7.9M	7.6M	-7.9M	5.5M
Net DEX	-12.9M	-36.1M	25.5M	25.5M	-15.3M
Net VEX	-150.3K	-256.8K	-69.4K	-256.8K	-69.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.61	0.15	13.99	2.43	0.50
Total Volume	688.5	163	3,001	3,001	1,030
Total OI	33,193.35	18,419	39,342	35,071	18,995

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
2009-11-02	$85.14	$85.00	16.8%	4.8%	10.4%	16.8%	17.9%	3.4%	1.2%	-7.9M	25.5M	-256.8K	2.43	38.95	874	2,127	8,734	26,337
2009-11-03	$85.33	$85.00	16.3%	4.7%	10.4%	15.6%	15.4%	2.5%	0.3%	-5.7M	11.8M	-250.2K	1.08	41.49	175	189	9,456	26,122
2009-11-04	$85.46	$85.00	15.3%	4.4%	10.1%	13.2%	15.2%	2.3%	-0.1%	-6.3M	7.0M	-229.2K	13.99	28.49	157	2,197	9,447	26,126
2009-11-05	$85.53	$85.00	12.9%	3.7%	9.8%	7.9%	12.5%	2.5%	0.7%	-7.6M	6.7M	-227.7K	4.66	27.53	179	834	9,489	27,939
2009-11-06	$85.61	$83.00	12.3%	3.8%	9.7%	6.5%	16.2%	3.9%	-0.9%	-7.4M	5.3M	-229.6K	2.33	30.62	96	224	9,552	28,455
2009-11-09	$85.95	$83.00	12.0%	3.8%	9.8%	5.8%	14.6%	3.7%	2.3%	-6.2M	-8.4M	-189.9K	0.98	32.65	85	83	9,587	28,626
2009-11-10	$85.92	$83.00	11.4%	3.7%	9.8%	4.3%	12.9%	3.0%	2.2%	-5.6M	-8.9M	-181.8K	1.08	29.60	126	136	9,566	28,671
2009-11-11	$85.97	$83.00	8.7%	3.5%	9.7%	0.0%	13.0%	3.0%	2.7%	-4.8M	-14.1M	-169.1K	0.84	31.98	463	390	9,637	28,747
2009-11-12	$86.07	$84.00	12.4%	3.6%	9.7%	8.4%	12.6%	4.2%	2.6%	-3.7M	-17.2M	-160.6K	3.39	27.23	57	193	9,875	28,977
2009-11-13	$85.90	$84.00	11.9%	3.4%	9.8%	7.3%	13.1%	4.0%	3.6%	-4.7M	-15.3M	-156.6K	2.62	26.92	45	118	9,888	29,148
2009-11-16	$86.30	$84.00	12.1%	3.5%	9.9%	7.8%	13.0%	3.0%	2.1%	4.5M	-32.8M	-124.1K	1.59	22.79	136	216	9,899	29,155
2009-11-17	$86.28	$84.00	11.6%	3.3%	9.9%	6.5%	12.4%	3.9%	2.5%	4.0M	-32.0M	-122.8K	3.69	30.34	101	373	9,860	29,223
2009-11-18	$86.06	$84.00	11.1%	3.2%	9.9%	5.5%	11.3%	4.1%	3.6%	5.3M	-29.9M	-112.2K	5.66	25.00	88	498	9,803	29,171
2009-11-19	$86.24	$84.00	10.3%	3.0%	9.5%	3.7%	11.4%	3.6%	4.2%	7.6M	-34.4M	-104.6K	1.11	14.25	140	156	9,808	29,534
2009-11-20	$86.22	$84.00	10.0%	2.9%	9.5%	2.9%	12.1%	3.3%	3.4%	7.5M	-36.1M	-89.1K	0.26	21.45	502	133	9,727	29,478
2009-11-23	$86.13	$85.00	8.2%	2.3%	9.5%	0.0%	9.3%	2.9%	1.8%	5.0M	-20.6M	-82.2K	0.98	18.52	287	282	5,978	12,441
2009-11-24	$86.18	$85.00	7.5%	2.2%	9.1%	0.0%	9.7%	4.3%	2.2%	5.6M	-19.3M	-79.8K	0.76	11.02	304	230	5,988	12,631
2009-11-25	$86.22	$85.00	7.4%	2.1%	6.7%	0.0%	8.7%	3.0%	2.5%	5.6M	-20.9M	-81.0K	0.15	13.26	310	45	6,011	12,835
2009-11-27	$85.62	$85.00	6.9%	2.0%	5.2%	0.0%	8.7%	4.5%	1.9%	3.8M	-8.6M	-89.1K	4.16	93.00	37	154	6,084	12,867
2009-11-30	$85.90	$85.00	7.6%	2.2%	4.0%	1.5%	14.5%	4.4%	2.3%	5.5M	-15.3M	-69.4K	0.50	14.20	685	345	6,018	12,977