HYG Options History — February 2010

In February 2010, HYG traded between $83.61 and $87.17. ATM implied volatility averaged 12.8%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.9% (HV 20d: 9.9%). Max pain ranged from $87.00 to $89.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 9.78.

Notable Days

2010-02-09: Highest Volume — 6,563 contracts
2010-02-04: Largest IV spike — 42.8% change
2010-02-12: Highest IV Rank — 43.6%
2010-02-12: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.61	$83.61	$87.17	$85.98	$87.17
Max Pain	$87.37	$87.00	$89.00	$89.00	$87.00
ATM IV	12.8%	9.2%	16.1%	9.5%	11.3%
Expected Move	3.7%	2.6%	4.6%	2.7%	3.2%
HV 20d	9.9%	7.9%	12.0%	8.4%	11.1%
HV 60d	7.9%	6.5%	8.8%	6.5%	8.7%
IV Rank	32.3%	19.6%	43.6%	20.8%	27.0%
IV Percentile	38.2%	15.9%	63.9%	17.5%	27.8%
Term Structure	0.6%	-0.9%	1.5%	1.5%	1.1%
VWIV	13.8%	9.0%	18.3%	10.1%	11.6%
Skew 25d	3.3%	1.1%	4.8%	1.1%	4.2%
Skew 10d	6.7%	2.4%	10.5%	2.4%	6.7%
Call IV 25d	11.8%	8.4%	14.5%	9.4%	10.0%
Put IV 25d	15.1%	10.0%	19.0%	10.5%	14.2%
Bid-Ask Spread %	30.55	16.11	81.17	30.21	19.30
Gamma HHI	0.17	0.12	0.20	0.15	0.20
Net GEX	-5.8M	-9.9M	-2.4M	-2.7M	-6.4M
Net DEX	45.9M	22.9M	79.4M	29.0M	29.9M
Net VEX	-162.0K	-211.7K	-95.9K	-95.9K	-166.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.78	0.25	69.07	0.80	1.08
Total Volume	1,766.158	137	6,563	806	421
Total OI	22,522.211	12,992	29,790	12,992	29,318

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
2010-02-01	$85.98	$89.00	9.5%	2.7%	8.4%	20.8%	10.1%	1.1%	1.5%	-2.7M	29.0M	-95.9K	0.80	30.21	447	359	3,245	9,747
2010-02-02	$86.24	$88.00	9.4%	2.7%	7.9%	20.4%	9.2%	1.3%	1.3%	-2.7M	26.0M	-103.9K	0.63	24.61	88	55	3,638	10,068
2010-02-03	$86.68	$88.00	9.2%	2.6%	7.9%	19.6%	9.0%	1.5%	1.4%	-2.6M	22.9M	-99.1K	1.01	30.11	68	69	3,697	10,098
2010-02-04	$85.45	$88.00	13.1%	3.8%	9.0%	33.3%	13.2%	1.3%	0.8%	-2.4M	31.8M	-103.3K	23.09	30.20	66	1,524	3,702	10,164
2010-02-05	$84.95	$88.00	12.8%	3.8%	8.8%	32.2%	13.3%	4.6%	1.3%	-3.2M	40.6M	-96.2K	4.93	65.34	917	4,520	3,819	11,110
2010-02-08	$84.58	$88.00	13.6%	4.1%	8.7%	34.9%	13.4%	3.0%	-0.2%	-3.3M	46.6M	-116.6K	1.52	81.17	467	708	4,280	12,200
2010-02-09	$84.75	$87.00	13.3%	4.1%	8.8%	33.9%	15.8%	3.6%	0.4%	-3.5M	45.4M	-120.4K	31.33	40.77	203	6,360	4,217	12,238
2010-02-10	$83.61	$87.00	14.0%	4.2%	9.6%	36.2%	15.4%	2.7%	-0.1%	-6.5M	73.2M	-180.6K	69.07	27.79	43	2,970	4,333	18,190
2010-02-11	$83.95	$87.00	14.4%	4.1%	9.8%	37.8%	14.9%	2.9%	0.2%	-8.3M	79.3M	-205.4K	0.25	32.79	1,127	284	4,364	20,875
2010-02-12	$83.90	$87.00	16.1%	4.6%	9.7%	43.6%	18.3%	4.5%	-0.9%	-7.1M	79.4M	-202.9K	9.32	26.49	247	2,301	5,091	20,941
2010-02-16	$84.73	$87.00	14.9%	4.3%	10.7%	39.6%	16.1%	3.3%	0.0%	-8.4M	70.8M	-211.7K	3.28	23.50	248	814	5,213	22,457
2010-02-17	$85.38	$87.00	14.7%	4.2%	11.3%	38.7%	16.4%	4.0%	-0.3%	-8.5M	59.6M	-202.2K	9.95	31.38	107	1,065	5,246	22,941
2010-02-18	$86.19	$87.00	14.1%	4.0%	12.0%	36.6%	14.4%	3.6%	0.1%	-7.7M	48.4M	-198.7K	2.18	19.96	300	653	5,277	23,938
2010-02-19	$86.77	$87.00	13.4%	3.8%	11.1%	34.3%	14.7%	4.1%	0.5%	-9.9M	40.7M	-198.3K	5.63	20.96	227	1,277	5,361	24,429
2010-02-22	$86.88	$87.00	12.8%	3.7%	10.6%	32.1%	14.7%	4.4%	1.4%	-5.5M	30.7M	-190.4K	7.14	19.92	153	1,093	3,520	21,556
2010-02-23	$86.25	$87.00	13.2%	3.8%	10.9%	33.6%	14.8%	4.0%	1.0%	-6.7M	40.1M	-204.0K	5.72	18.57	388	2,221	3,557	22,253
2010-02-24	$86.58	$87.00	12.2%	3.5%	11.0%	30.0%	14.2%	4.3%	0.7%	-7.8M	39.7M	-207.4K	4.34	21.18	160	695	3,860	24,261
2010-02-25	$86.59	$87.00	12.0%	3.4%	11.0%	29.4%	12.9%	4.8%	0.7%	-7.4M	38.4M	-175.0K	4.63	16.11	162	750	3,939	24,779
2010-02-26	$87.17	$87.00	11.3%	3.2%	11.1%	27.0%	11.6%	4.2%	1.1%	-6.4M	29.9M	-166.6K	1.08	19.30	202	219	3,994	25,324