HYG Options History — November 2010

In November 2010, HYG traded between $88.35 and $91.89. ATM implied volatility averaged 8.1%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 0.3% (HV 20d: 8.4%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.46.

Notable Days

2010-11-10: Highest Volume — 1,410 contracts
2010-11-23: Largest IV spike — 29.5% change
2010-11-23: Highest IV Rank — 34.9%
2010-11-23: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.95	$88.35	$91.89	$89.97	$88.99
Max Pain	$89.95	$89.00	$90.00	$90.00	$90.00
ATM IV	8.1%	5.6%	10.8%	7.3%	9.1%
Expected Move	2.4%	1.6%	3.1%	2.1%	2.6%
HV 20d	8.4%	5.1%	11.4%	5.1%	11.1%
HV 60d	6.1%	5.2%	7.5%	5.3%	7.5%
IV Rank	22.2%	9.9%	34.9%	18.1%	26.8%
IV Percentile	39.2%	6.0%	73.8%	21.0%	54.4%
Term Structure	1.3%	0.2%	2.6%	1.6%	2.0%
VWIV	9.2%	4.7%	11.5%	7.5%	11.2%
Skew 25d	3.0%	0.9%	5.5%	2.2%	5.5%
Skew 10d	7.1%	2.9%	12.5%	5.8%	8.7%
Call IV 25d	7.7%	5.3%	9.4%	6.6%	7.0%
Put IV 25d	10.7%	6.5%	12.8%	8.7%	12.4%
Bid-Ask Spread %	56.49	23.87	89.92	36.55	53.39
Gamma HHI	0.21	0.16	0.42	0.21	0.18
Net GEX	-1.4M	-4.5M	1.5M	-528.0K	-3.6M
Net DEX	4.2M	-12.5M	23.6M	-983.3K	8.9M
Net VEX	-61.5K	-81.1K	-44.8K	-68.7K	-60.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.46	0.72	18.77	2.02	4.55
Total Volume	439.524	159	1,410	759	244
Total OI	11,907.19	10,327	13,851	10,327	11,757

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
2010-11-01	$89.97	$90.00	7.3%	2.1%	5.1%	18.1%	7.5%	2.2%	1.6%	-528.0K	-983.3K	-68.7K	2.02	36.55	251	508	2,437	7,890
2010-11-02	$90.41	$90.00	6.9%	2.0%	5.2%	16.3%	7.0%	1.2%	1.7%	614.8K	-5.0M	-51.6K	1.24	23.87	89	110	2,482	8,116
2010-11-03	$90.71	$90.00	6.2%	1.8%	5.2%	12.7%	7.4%	2.9%	1.2%	336.7K	-4.7M	-65.0K	0.85	31.46	159	135	2,508	8,159
2010-11-04	$91.89	$90.00	5.6%	1.6%	6.8%	9.9%	4.7%	0.9%	1.8%	816.0K	-12.5M	-44.9K	2.14	28.59	269	575	2,503	8,166
2010-11-05	$91.79	$89.00	5.7%	2.2%	6.8%	10.3%	10.2%	3.8%	2.2%	564.1K	-11.7M	-52.5K	5.03	62.93	35	176	2,689	8,675
2010-11-08	$91.52	$90.00	6.0%	2.2%	6.9%	11.7%	8.5%	2.5%	2.6%	918.5K	-11.7M	-44.8K	1.13	62.20	117	132	2,702	8,801
2010-11-09	$91.26	$90.00	6.7%	2.4%	7.0%	15.4%	9.7%	4.3%	1.6%	908.0K	-8.7M	-62.6K	5.64	62.61	47	265	2,800	8,871
2010-11-10	$90.51	$90.00	7.0%	2.5%	7.7%	16.8%	9.2%	2.5%	1.7%	67.8K	-3.1M	-67.2K	12.96	61.53	101	1,309	2,814	9,026
2010-11-11	$90.15	$90.00	8.7%	2.5%	7.6%	24.9%	8.4%	3.9%	1.0%	-2.3M	9.6M	-81.1K	0.72	66.75	341	247	2,911	10,032
2010-11-12	$89.82	$90.00	8.8%	2.5%	7.7%	25.3%	10.7%	3.5%	1.2%	-2.2M	11.1M	-79.7K	1.36	63.40	112	152	3,023	10,172
2010-11-15	$89.65	$90.00	9.4%	2.7%	7.7%	28.1%	10.5%	3.5%	1.1%	-2.5M	13.0M	-69.5K	3.75	62.06	61	229	3,092	10,181
2010-11-16	$88.66	$90.00	10.2%	2.9%	8.6%	32.3%	11.5%	3.5%	0.6%	-3.7M	23.6M	-70.7K	9.85	61.33	94	926	3,115	10,347
2010-11-17	$89.11	$90.00	10.2%	2.9%	8.8%	32.2%	10.0%	3.6%	0.6%	-3.7M	20.3M	-76.1K	1.66	64.68	95	158	3,135	10,684
2010-11-18	$90.24	$90.00	8.4%	2.4%	9.9%	23.4%	8.7%	2.1%	1.3%	1.5M	5.9M	-54.1K	1.36	62.01	107	145	3,129	10,722
2010-11-19	$90.21	$90.00	8.4%	2.4%	9.8%	23.7%	8.0%	3.0%	1.2%	1.3M	6.0M	-53.1K	1.01	60.04	79	80	3,129	10,707
2010-11-22	$89.58	$90.00	8.3%	2.4%	10.0%	23.0%	8.5%	2.9%	0.9%	-1.6M	2.4M	-48.0K	2.10	89.92	130	273	2,301	8,138
2010-11-23	$88.35	$90.00	10.8%	3.1%	11.0%	34.9%	11.3%	3.2%	0.2%	-3.5M	11.9M	-58.0K	7.35	60.23	71	522	2,353	8,341
2010-11-24	$88.88	$90.00	8.9%	2.6%	11.3%	25.9%	10.5%	3.3%	1.1%	-3.7M	9.0M	-57.8K	18.77	59.03	22	413	2,395	8,738
2010-11-26	$88.56	$90.00	9.1%	2.6%	11.3%	27.0%	9.9%	2.9%	1.1%	-4.1M	13.0M	-63.7K	6.07	58.97	28	170	2,399	9,029
2010-11-29	$88.79	$90.00	9.1%	2.6%	11.4%	27.0%	8.9%	2.6%	0.3%	-4.5M	11.6M	-62.3K	4.06	54.66	50	203	2,416	9,166
2010-11-30	$88.99	$90.00	9.1%	2.6%	11.1%	26.8%	11.2%	5.5%	2.0%	-3.6M	8.9M	-60.9K	4.55	53.39	44	200	2,418	9,339