HYG Options History — January 2010

In January 2010, HYG traded between $86.23 and $89.68. ATM implied volatility averaged 7.5%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 0.1% (HV 20d: 7.6%). Max pain ranged from $88.00 to $89.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 6.22.

Notable Days

2010-01-21: Highest Volume — 1,581 contracts
2010-01-08: Largest IV spike — 59.9% change
2010-01-22: Highest IV Rank — 24.0%
2010-01-22: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.36	$86.23	$89.68	$88.53	$86.23
Max Pain	$88.95	$88.00	$89.00	$89.00	$89.00
ATM IV	7.5%	3.5%	10.4%	4.9%	9.7%
Expected Move	2.4%	2.0%	3.0%	2.4%	2.8%
HV 20d	7.6%	6.6%	9.5%	6.7%	8.4%
HV 60d	7.3%	6.4%	8.2%	7.3%	6.5%
IV Rank	12.5%	0.0%	24.0%	0.0%	21.4%
IV Percentile	9.6%	0.0%	21.0%	0.0%	18.3%
Term Structure	1.6%	0.9%	2.5%	1.9%	1.7%
VWIV	8.6%	6.3%	10.7%	8.0%	10.4%
Skew 25d	2.1%	-0.3%	3.2%	2.6%	2.0%
Skew 10d	3.1%	1.7%	6.6%	3.2%	2.5%
Call IV 25d	7.6%	5.6%	10.1%	7.0%	8.5%
Put IV 25d	9.6%	8.2%	11.6%	9.7%	10.5%
Bid-Ask Spread %	36.99	23.96	49.15	38.27	49.14
Gamma HHI	0.19	0.10	0.45	0.24	0.14
Net GEX	-363.4K	-2.0M	666.6K	385.4K	-2.0M
Net DEX	4.2M	-8.0M	27.7M	-2.6M	27.7M
Net VEX	-74.5K	-97.8K	-55.2K	-55.2K	-94.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.22	0.32	57.40	0.42	11.45
Total Volume	544.158	81	1,581	478	523
Total OI	10,858.632	8,793	12,569	9,505	12,569

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
2010-01-04	$88.53	$89.00	4.9%	2.4%	6.7%	0.0%	8.0%	2.6%	1.9%	385.4K	-2.6M	-55.2K	0.42	38.27	336	142	2,458	7,047
2010-01-05	$88.95	$88.00	6.3%	2.2%	6.7%	3.0%	6.3%	3.0%	1.8%	626.8K	-6.0M	-57.5K	1.16	39.35	121	140	2,748	7,180
2010-01-06	$89.18	$89.00	6.0%	2.2%	6.7%	2.5%	8.1%	2.5%	1.5%	666.6K	-7.0M	-61.3K	0.98	34.62	322	317	2,831	7,429
2010-01-07	$89.54	$89.00	3.5%	2.0%	6.8%	0.0%	7.9%	2.6%	2.1%	407.4K	-7.6M	-62.0K	1.76	32.92	229	404	2,861	7,706
2010-01-08	$89.68	$89.00	5.7%	2.1%	6.7%	4.4%	7.4%	1.8%	2.0%	431.3K	-8.0M	-66.8K	0.80	36.65	45	36	2,999	8,051
2010-01-11	$89.60	$89.00	5.0%	2.0%	6.7%	4.6%	7.9%	1.9%	1.9%	558.5K	-7.6M	-67.0K	57.40	33.12	5	287	3,024	8,086
2010-01-12	$89.14	$89.00	6.2%	2.3%	7.1%	8.5%	9.4%	2.4%	2.5%	-144.3K	-5.0M	-66.9K	1.05	41.33	250	263	3,026	8,278
2010-01-13	$89.34	$89.00	5.4%	2.3%	6.7%	6.0%	7.3%	1.8%	1.6%	-607.9K	-7.2M	-66.9K	2.79	32.16	126	351	3,190	8,465
2010-01-14	$89.44	$89.00	7.9%	2.3%	6.6%	14.0%	7.7%	3.2%	0.9%	-470.9K	-7.4M	-69.6K	0.34	41.14	106	36	3,249	8,767
2010-01-15	$89.08	$89.00	8.1%	2.3%	6.8%	14.4%	8.3%	0.8%	1.5%	-1.8M	-5.1M	-68.3K	1.21	43.74	115	139	3,239	8,777
2010-01-19	$89.12	$89.00	8.0%	2.3%	6.8%	15.6%	8.0%	2.1%	1.1%	297.7K	2.2M	-68.9K	1.35	26.77	147	199	2,286	6,507
2010-01-20	$88.99	$89.00	8.1%	2.3%	6.9%	16.0%	7.7%	2.5%	1.3%	213.4K	3.2M	-71.2K	0.32	38.95	257	81	2,393	6,666
2010-01-21	$87.60	$89.00	9.2%	2.6%	9.0%	19.7%	9.2%	2.2%	1.4%	-38.6K	9.2M	-76.0K	6.06	34.20	224	1,357	2,561	6,743
2010-01-22	$86.77	$89.00	10.4%	3.0%	9.5%	24.0%	10.7%	-0.3%	1.0%	-703.5K	17.5M	-84.0K	3.55	49.15	233	828	2,661	7,704
2010-01-25	$86.90	$89.00	9.8%	2.8%	9.5%	21.9%	9.3%	1.2%	1.2%	-1.1M	19.2M	-92.0K	0.96	49.06	405	387	2,783	8,258
2010-01-26	$87.01	$89.00	9.6%	2.7%	9.3%	20.9%	9.5%	2.7%	1.1%	-808.8K	19.4M	-93.8K	0.83	23.96	280	232	3,079	8,441
2010-01-27	$87.04	$89.00	9.4%	2.7%	9.3%	20.3%	10.1%	2.4%	1.8%	-859.8K	19.3M	-96.2K	24.69	31.09	32	790	3,191	8,561
2010-01-28	$86.67	$89.00	9.3%	2.7%	8.5%	20.0%	9.5%	1.7%	1.3%	-2.0M	26.0M	-97.8K	1.01	27.11	296	298	3,182	9,318
2010-01-29	$86.23	$89.00	9.7%	2.8%	8.4%	21.4%	10.4%	2.0%	1.7%	-2.0M	27.7M	-94.8K	11.45	49.14	42	481	3,223	9,346