HYG Options History — January 2011

In January 2011, HYG traded between $90.36 and $91.84. ATM implied volatility averaged 6.2%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 1.8% (HV 20d: 4.3%). Max pain ranged from $90.00 to $91.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 6.06.

Notable Days

2011-01-31: Highest Volume — 5,008 contracts
2011-01-25: Largest IV drop — 36.6% change
2011-01-03: Highest IV Rank — 17.4%
2011-01-14: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.18	$90.36	$91.84	$90.36	$91.78
Max Pain	$90.25	$90.00	$91.00	$90.00	$91.00
ATM IV	6.2%	4.1%	7.5%	7.1%	5.4%
Expected Move	1.8%	1.2%	2.2%	2.0%	1.6%
HV 20d	4.3%	3.5%	5.1%	4.9%	4.6%
HV 60d	7.4%	7.2%	7.5%	7.5%	7.3%
IV Rank	9.7%	0.0%	17.4%	17.4%	6.6%
IV Percentile	12.6%	0.0%	26.2%	21.0%	4.0%
Term Structure	1.2%	0.2%	1.8%	1.3%	0.2%
VWIV	7.1%	4.9%	8.9%	6.1%	6.0%
Skew 25d	2.6%	1.0%	3.6%	2.1%	2.5%
Skew 10d	5.2%	1.7%	7.4%	4.9%	5.1%
Call IV 25d	5.7%	4.6%	6.6%	5.3%	5.3%
Put IV 25d	8.3%	6.5%	10.0%	7.4%	7.8%
Bid-Ask Spread %	38.22	23.77	52.37	41.05	29.87
Gamma HHI	0.33	0.16	0.52	0.16	0.20
Net GEX	372.8K	-1.9M	2.1M	-1.9M	-508.5K
Net DEX	-979.3K	-6.2M	4.6M	4.6M	-331.9K
Net VEX	-83.2K	-95.5K	-56.0K	-86.2K	-82.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.06	0.12	65.80	0.25	0.12
Total Volume	618	72	5,008	442	5,008
Total OI	9,466.45	8,155	10,430	8,458	9,179

Daily Data (20 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
2011-01-03	$90.36	$90.00	7.1%	2.0%	4.9%	17.4%	6.1%	2.1%	1.3%	-1.9M	4.6M	-86.2K	0.25	41.05	355	87	1,915	6,543
2011-01-04	$90.77	$90.00	6.1%	1.7%	5.1%	12.3%	8.9%	2.4%	1.6%	-1.0M	844.9K	-84.0K	12.48	40.45	29	362	2,175	6,528
2011-01-05	$91.00	$90.00	6.1%	1.7%	4.9%	12.2%	8.9%	1.4%	1.4%	-1.0M	210.2K	-85.7K	2.02	30.96	128	259	2,187	6,756
2011-01-06	$91.11	$90.00	5.7%	1.6%	4.7%	10.2%	6.3%	1.0%	1.6%	-475.4K	133.8K	-81.4K	0.36	30.89	669	241	2,300	6,872
2011-01-07	$90.76	$90.00	5.8%	2.0%	4.9%	6.4%	8.4%	3.1%	1.3%	-210.1K	1.0M	-95.5K	4.73	38.29	143	676	2,873	6,977
2011-01-10	$90.69	$90.00	6.4%	2.0%	4.9%	9.5%	8.3%	3.6%	1.2%	-547.4K	3.2M	-95.3K	2.00	31.13	24	48	2,878	7,165
2011-01-11	$91.04	$90.00	5.9%	2.1%	4.5%	6.9%	7.2%	3.4%	1.5%	-16.7K	-617.7K	-91.7K	2.40	48.58	63	151	2,895	7,176
2011-01-12	$91.23	$90.00	5.9%	2.1%	4.3%	6.6%	8.1%	2.6%	1.1%	195.4K	-2.7M	-88.6K	6.96	45.18	110	766	2,926	7,240
2011-01-13	$91.21	$90.00	7.4%	2.1%	3.9%	14.3%	8.4%	2.9%	1.3%	199.8K	-2.8M	-90.1K	2.72	47.61	58	158	2,988	7,442
2011-01-14	$91.36	$90.00	7.5%	2.2%	3.8%	15.1%	7.6%	2.2%	1.4%	893.7K	-4.5M	-86.6K	1.38	45.29	74	102	3,042	7,220
2011-01-18	$91.35	$90.00	7.2%	2.1%	3.8%	13.2%	7.7%	3.0%	1.8%	1.3M	-5.1M	-83.4K	2.89	46.38	35	101	3,058	7,266
2011-01-19	$91.07	$90.00	7.1%	2.0%	4.1%	13.1%	6.2%	3.4%	1.5%	956.9K	-1.2M	-83.3K	0.77	52.37	75	58	2,848	7,310
2011-01-20	$90.89	$90.00	7.4%	2.1%	4.2%	14.7%	8.2%	3.5%	0.7%	1.3M	956.0K	-89.0K	3.63	45.60	35	127	2,880	7,314
2011-01-21	$91.26	$90.00	6.9%	2.0%	4.3%	11.7%	7.1%	3.0%	1.3%	1.1M	-2.1M	-81.6K	4.70	31.74	53	249	2,890	7,356
2011-01-24	$91.39	$90.00	6.7%	1.9%	4.3%	10.7%	7.0%	3.5%	0.8%	397.1K	1.3M	-85.6K	2.57	33.34	118	303	2,399	5,756
2011-01-25	$91.53	$91.00	4.2%	1.2%	4.3%	0.0%	4.9%	2.2%	1.1%	2.1M	-2.0M	-78.1K	1.14	34.62	270	307	2,497	5,922
2011-01-26	$91.72	$91.00	4.1%	1.2%	3.6%	0.0%	5.0%	2.0%	0.9%	2.1M	-5.8M	-56.0K	2.99	39.77	139	416	2,599	6,153
2011-01-27	$91.84	$91.00	4.5%	1.3%	3.5%	2.3%	5.1%	1.8%	1.1%	1.9M	-6.2M	-56.4K	1.22	23.77	103	126	2,582	6,313
2011-01-28	$91.29	$91.00	6.2%	1.8%	4.3%	10.5%	7.1%	2.1%	0.6%	853.9K	1.6M	-83.7K	65.80	27.56	5	329	2,558	6,351
2011-01-31	$91.78	$91.00	5.4%	1.6%	4.6%	6.6%	6.0%	2.5%	0.2%	-508.5K	-331.9K	-82.5K	0.12	29.87	4,486	522	2,561	6,618