HYG Options History — July 2010

In July 2010, HYG traded between $84.68 and $88.89. ATM implied volatility averaged 8.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 0.1% (HV 20d: 8.5%). Max pain ranged from $85.00 to $87.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.73.

Notable Days

2010-07-30: Highest Volume — 3,861 contracts
2010-07-13: Largest IV spike — 38.9% change
2010-07-01: Highest IV Rank — 54.0%
2010-07-01: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.27	$84.68	$88.89	$84.68	$88.62
Max Pain	$86.33	$85.00	$87.00	$86.00	$87.00
ATM IV	8.6%	5.5%	14.7%	14.7%	5.5%
Expected Move	2.4%	1.6%	4.2%	4.2%	1.6%
HV 20d	8.5%	7.5%	9.2%	8.7%	7.5%
HV 60d	13.9%	13.3%	14.1%	13.8%	13.3%
IV Rank	24.5%	9.5%	54.0%	54.0%	9.5%
IV Percentile	24.8%	1.6%	79.0%	79.0%	1.6%
Term Structure	1.1%	-0.5%	2.6%	0.3%	2.5%
VWIV	8.6%	4.8%	14.1%	14.1%	4.8%
Skew 25d	2.8%	1.2%	5.1%	4.5%	1.9%
Skew 10d	5.5%	2.3%	13.5%	13.5%	4.4%
Call IV 25d	7.2%	5.3%	10.7%	10.7%	5.7%
Put IV 25d	10.0%	7.3%	15.3%	15.3%	7.6%
Bid-Ask Spread %	44.52	26.12	94.73	92.82	36.38
Gamma HHI	0.20	0.11	0.52	0.23	0.28
Net GEX	404.1K	-3.8M	3.7M	-2.6M	3.6M
Net DEX	-5.5M	-15.4M	18.3M	18.3M	-11.5M
Net VEX	-71.4K	-119.2K	-47.6K	-111.9K	-60.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.02	6.59	0.47	0.02
Total Volume	677.095	186	3,861	810	3,861
Total OI	15,079	12,235	18,119	14,900	13,922

Daily Data (21 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
2010-07-01	$84.68	$86.00	14.7%	4.2%	8.7%	54.0%	14.1%	4.5%	0.3%	-2.6M	18.3M	-111.9K	0.47	92.82	551	259	3,801	11,099
2010-07-02	$84.70	$85.00	11.9%	3.4%	8.4%	40.2%	12.4%	5.1%	-0.5%	-2.3M	17.5M	-119.2K	1.73	94.73	441	764	4,292	11,109
2010-07-06	$85.37	$86.00	12.0%	3.2%	8.3%	41.1%	11.5%	2.7%	0.2%	-2.2M	9.7M	-101.6K	1.17	35.31	216	253	4,621	11,695
2010-07-07	$86.40	$86.00	10.4%	2.7%	9.1%	33.0%	7.2%	1.2%	0.5%	-1.4M	-2.7M	-84.8K	1.80	41.20	101	182	4,653	11,754
2010-07-08	$86.80	$86.00	8.2%	2.5%	9.2%	22.7%	8.3%	4.9%	1.6%	-169.6K	-8.8M	-77.8K	1.20	44.45	122	146	4,740	11,783
2010-07-09	$86.60	$86.00	8.8%	2.6%	8.8%	25.6%	9.3%	3.5%	0.5%	-814.6K	-5.5M	-88.6K	0.77	30.80	305	236	4,824	11,847
2010-07-12	$86.53	$86.00	7.9%	2.5%	8.8%	21.0%	10.1%	4.4%	1.3%	-599.4K	-6.6M	-61.7K	6.59	50.32	41	270	4,955	11,876
2010-07-13	$87.20	$86.00	11.0%	2.1%	9.1%	35.8%	8.3%	3.2%	2.6%	188.8K	-13.8M	-56.4K	3.40	60.19	140	476	4,938	12,058
2010-07-14	$87.12	$86.00	8.2%	2.5%	8.6%	22.4%	8.2%	3.2%	1.5%	-151.6K	-13.2M	-59.5K	0.26	33.06	276	72	4,955	12,386
2010-07-15	$87.25	$86.00	8.1%	2.3%	8.6%	22.0%	9.0%	2.3%	0.9%	-83.3K	-15.4M	-61.1K	2.26	26.12	329	744	5,097	12,375
2010-07-16	$86.72	$86.00	8.4%	2.4%	8.6%	23.4%	9.6%	2.5%	0.9%	-3.8M	-7.3M	-49.5K	1.32	32.98	248	328	5,104	13,015
2010-07-19	$87.01	$86.00	8.1%	2.3%	8.6%	22.1%	7.9%	2.7%	1.0%	-451.2K	1.9M	-75.6K	0.69	35.28	312	214	3,125	9,110
2010-07-20	$87.71	$86.00	8.1%	2.3%	8.9%	22.1%	8.0%	1.3%	-0.2%	280.1K	-2.7M	-66.1K	0.32	50.91	570	183	3,284	9,204
2010-07-21	$87.67	$87.00	8.6%	2.5%	8.5%	24.5%	8.6%	2.1%	0.3%	976.5K	-4.1M	-70.3K	0.33	39.06	598	196	3,727	9,320
2010-07-22	$88.45	$87.00	7.7%	2.2%	8.9%	20.0%	7.9%	1.9%	1.2%	3.0M	-10.9M	-62.1K	1.52	49.45	105	160	4,087	9,385
2010-07-23	$88.85	$87.00	7.0%	2.0%	8.4%	16.8%	7.6%	1.8%	1.3%	3.1M	-13.4M	-60.5K	2.65	36.65	55	146	4,096	9,465
2010-07-26	$88.89	$87.00	6.9%	2.0%	8.3%	16.2%	8.0%	1.8%	1.9%	2.5M	-9.7M	-81.4K	0.66	36.42	220	146	4,125	9,514
2010-07-27	$88.77	$87.00	6.7%	1.9%	8.4%	15.2%	7.0%	3.2%	1.7%	2.7M	-13.4M	-51.9K	0.36	38.13	396	142	4,140	9,561
2010-07-28	$88.58	$87.00	6.7%	1.9%	7.9%	15.1%	7.3%	2.1%	1.8%	2.8M	-10.0M	-51.7K	3.67	37.56	49	180	4,176	9,603
2010-07-29	$88.85	$87.00	6.1%	1.7%	7.5%	12.2%	5.8%	1.9%	2.3%	3.7M	-12.9M	-47.6K	5.20	33.08	30	156	4,196	9,642
2010-07-30	$88.62	$87.00	5.5%	1.6%	7.5%	9.5%	4.8%	1.9%	2.5%	3.6M	-11.5M	-60.4K	0.02	36.38	3,782	79	4,222	9,700