HYG Options History — October 2010

In October 2010, HYG traded between $88.91 and $90.75. ATM implied volatility averaged 6.3%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.5% (HV 20d: 4.7%). Max pain ranged from $89.00 to $89.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.61.

Notable Days

2010-10-29: Highest Volume — 5,725 contracts
2010-10-14: Largest IV spike — 41.0% change
2010-10-15: Highest IV Rank — 20.5%
2010-10-04: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.88	$88.91	$90.75	$89.22	$90.74
Max Pain	$89.00	$89.00	$89.00	$89.00	$89.00
ATM IV	6.3%	4.5%	7.8%	6.5%	5.5%
Expected Move	2.1%	1.3%	2.7%	1.9%	1.6%
HV 20d	4.7%	4.1%	5.0%	4.6%	4.1%
HV 60d	5.2%	4.9%	5.7%	5.7%	5.0%
IV Rank	13.2%	4.9%	20.5%	14.2%	9.7%
IV Percentile	10.4%	0.4%	28.6%	7.5%	5.2%
Term Structure	1.7%	1.1%	2.3%	2.0%	2.1%
VWIV	7.7%	5.9%	9.4%	7.0%	6.4%
Skew 25d	2.7%	1.3%	4.2%	2.6%	3.3%
Skew 10d	4.6%	2.8%	8.4%	4.9%	4.8%
Call IV 25d	6.3%	4.9%	7.6%	5.4%	5.0%
Put IV 25d	9.0%	6.5%	10.9%	7.9%	8.2%
Bid-Ask Spread %	49.34	28.60	68.64	28.60	43.36
Gamma HHI	0.25	0.16	0.39	0.17	0.35
Net GEX	897.5K	-1.9M	3.2M	-1.9M	3.0M
Net DEX	-5.6M	-13.2M	2.5M	-719.5K	-11.8M
Net VEX	-56.4K	-75.5K	-35.1K	-53.7K	-44.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	0.02	4.93	2.13	0.02
Total Volume	596.238	92	5,725	1,100	5,725
Total OI	9,804.095	8,584	10,740	8,877	10,740

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
2010-10-01	$89.22	$89.00	6.5%	1.9%	4.6%	14.2%	7.0%	2.6%	2.0%	-1.9M	-719.5K	-53.7K	2.13	28.60	351	749	1,887	6,990
2010-10-04	$88.91	$89.00	6.2%	2.7%	4.8%	12.8%	9.3%	3.1%	1.1%	-1.2M	2.5M	-72.4K	1.25	39.41	52	65	2,185	7,432
2010-10-05	$89.23	$89.00	6.7%	2.6%	4.8%	15.4%	8.0%	3.1%	1.3%	-482.3K	-46.6K	-72.1K	1.01	43.27	168	169	2,229	7,449
2010-10-06	$89.15	$89.00	6.7%	2.4%	4.8%	15.2%	8.8%	2.6%	1.8%	-1.1M	-751.1K	-66.8K	1.30	30.99	40	52	2,342	7,438
2010-10-07	$89.33	$89.00	6.3%	2.5%	4.7%	13.2%	9.4%	3.2%	1.3%	-16.1K	514.1K	-75.5K	2.72	34.17	79	215	2,361	7,474
2010-10-08	$89.63	$89.00	5.0%	2.1%	4.8%	7.1%	7.5%	3.3%	1.2%	821.4K	-4.0M	-67.0K	0.89	51.46	73	65	2,400	7,475
2010-10-11	$89.82	$89.00	5.6%	2.2%	4.5%	9.8%	7.7%	4.2%	2.2%	1.0M	-5.7M	-64.3K	0.24	42.55	285	68	2,457	7,527
2010-10-12	$89.74	$89.00	4.6%	2.2%	4.5%	5.3%	7.9%	2.4%	1.8%	2.2M	-6.3M	-62.0K	1.31	53.48	86	113	2,659	7,539
2010-10-13	$90.04	$89.00	5.4%	2.1%	4.6%	8.8%	8.8%	2.8%	1.7%	2.3M	-9.1M	-60.7K	4.93	54.95	59	291	2,671	7,596
2010-10-14	$89.61	$89.00	7.6%	2.2%	5.0%	19.4%	8.0%	2.2%	1.3%	836.3K	-6.9M	-50.6K	1.13	66.19	46	52	2,684	7,779
2010-10-15	$89.84	$89.00	7.8%	2.2%	5.0%	20.5%	7.7%	2.1%	1.7%	2.9M	-9.8M	-42.9K	0.66	66.09	140	92	2,704	7,784
2010-10-18	$89.72	$89.00	7.7%	2.2%	5.0%	20.0%	7.9%	3.0%	1.6%	-752.5K	-1.4M	-63.2K	2.64	58.36	144	380	1,992	6,592
2010-10-19	$89.71	$89.00	7.3%	2.1%	5.0%	18.3%	8.1%	2.5%	2.3%	-905.4K	-2.4M	-59.4K	3.51	53.07	102	358	2,128	6,856
2010-10-20	$89.99	$89.00	7.0%	2.0%	4.8%	16.5%	7.8%	2.0%	1.3%	1.3M	-6.4M	-44.8K	0.77	62.45	100	77	2,198	6,898
2010-10-21	$89.85	$89.00	7.4%	2.1%	4.7%	18.6%	7.7%	2.4%	1.4%	-481.8K	-3.6M	-57.5K	0.93	59.38	380	355	2,229	6,923
2010-10-22	$90.26	$89.00	6.3%	1.8%	4.8%	13.4%	6.9%	1.4%	1.7%	1.0M	-7.2M	-51.8K	2.44	68.64	36	88	2,591	7,200
2010-10-25	$90.61	$89.00	5.6%	1.6%	4.9%	10.2%	7.1%	2.5%	1.8%	2.3M	-10.4M	-45.5K	1.00	50.99	177	177	2,625	7,206
2010-10-26	$90.75	$89.00	4.5%	1.3%	4.9%	4.9%	7.1%	1.3%	1.7%	3.2M	-13.2M	-35.1K	2.43	45.02	61	148	2,729	7,368
2010-10-27	$90.65	$89.00	5.6%	1.6%	4.9%	10.0%	5.9%	3.2%	2.2%	2.5M	-10.0M	-51.1K	1.09	45.52	102	111	2,767	7,462
2010-10-28	$90.70	$89.00	6.5%	1.9%	4.6%	14.3%	6.8%	3.1%	1.4%	2.2M	-10.6M	-44.0K	1.50	38.30	276	414	2,780	7,540
2010-10-29	$90.74	$89.00	5.5%	1.6%	4.1%	9.7%	6.4%	3.3%	2.1%	3.0M	-11.8M	-44.5K	0.02	43.36	5,602	123	2,911	7,829