HYG Options History — February 2011

In February 2011, HYG traded between $91.37 and $92.50. ATM implied volatility averaged 6.5%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.4% (HV 20d: 5.1%). Max pain ranged from $91.00 to $91.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 15.62.

Notable Days

2011-02-28: Highest Volume — 5,623 contracts
2011-02-10: Largest IV spike — 30.1% change
2011-02-22: Highest IV Rank — 16.6%
2011-02-22: Largest Expected Move — 2.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.86	$91.37	$92.50	$91.37	$92.50
Max Pain	$91.00	$91.00	$91.00	$91.00	$91.00
ATM IV	6.5%	5.2%	7.4%	6.1%	7.1%
Expected Move	2.0%	1.7%	2.1%	1.7%	2.0%
HV 20d	5.1%	4.6%	5.7%	4.9%	5.5%
HV 60d	5.9%	4.6%	6.9%	6.9%	4.8%
IV Rank	12.0%	5.4%	16.6%	10.0%	15.1%
IV Percentile	18.9%	2.4%	34.5%	11.5%	30.2%
Term Structure	1.3%	-0.6%	1.8%	1.2%	-0.6%
VWIV	7.7%	5.5%	12.4%	5.5%	12.4%
Skew 25d	3.0%	1.7%	4.7%	1.7%	2.6%
Skew 10d	5.1%	1.7%	7.8%	1.8%	6.7%
Call IV 25d	5.6%	4.2%	6.3%	5.2%	5.6%
Put IV 25d	8.6%	6.9%	9.7%	6.9%	8.2%
Bid-Ask Spread %	18.22	8.11	24.86	19.65	12.67
Gamma HHI	0.23	0.19	0.30	0.20	0.28
Net GEX	-1.7M	-3.1M	-349.0K	-1.6M	-1.1M
Net DEX	2.1M	-4.7M	8.3M	4.9M	-154.4K
Net VEX	-78.2K	-97.3K	-52.6K	-82.0K	-52.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	15.62	0.04	97.00	4.41	0.04
Total Volume	695.579	46	5,623	784	5,623
Total OI	9,807	8,646	11,008	8,667	9,910

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
2011-02-01	$91.37	$91.00	6.1%	1.7%	4.9%	10.0%	5.5%	1.7%	1.2%	-1.6M	4.9M	-82.0K	4.41	19.65	145	639	1,829	6,838
2011-02-02	$91.47	$91.00	6.0%	1.7%	4.7%	9.3%	5.7%	1.9%	1.3%	-1.3M	4.4M	-80.5K	2.51	23.22	68	171	1,928	6,774
2011-02-03	$91.47	$91.00	6.6%	1.9%	4.7%	12.4%	6.5%	2.5%	1.0%	-1.3M	3.5M	-78.0K	0.49	23.12	105	51	1,996	6,896
2011-02-04	$91.87	$91.00	5.4%	1.9%	4.9%	6.3%	8.0%	3.1%	1.7%	-852.0K	834.8K	-77.0K	1.94	19.82	163	317	2,101	6,884
2011-02-07	$92.04	$91.00	5.2%	2.0%	4.6%	5.4%	7.3%	3.3%	1.7%	-415.7K	-2.3M	-70.9K	1.01	22.82	131	132	2,254	6,991
2011-02-08	$92.14	$91.00	5.6%	2.1%	4.6%	7.4%	8.6%	3.2%	1.5%	-349.0K	-2.6M	-74.3K	38.52	24.86	23	886	2,376	7,026
2011-02-09	$91.62	$91.00	5.4%	2.0%	5.0%	6.6%	7.9%	2.7%	1.7%	-1.7M	3.0M	-84.8K	10.10	23.15	10	101	2,399	7,732
2011-02-10	$91.72	$91.00	7.0%	2.0%	4.9%	14.7%	8.0%	2.9%	1.7%	-1.8M	3.2M	-83.3K	42.20	21.11	20	844	2,409	7,763
2011-02-11	$91.95	$91.00	7.2%	2.1%	5.0%	15.6%	7.5%	2.6%	1.7%	-3.1M	1.9M	-80.6K	1.18	20.43	76	90	2,429	8,338
2011-02-14	$92.02	$91.00	7.0%	2.0%	5.0%	14.3%	8.0%	2.8%	1.8%	-2.4M	474.6K	-78.3K	38.83	20.72	12	466	2,480	8,352
2011-02-15	$91.84	$91.00	7.0%	2.0%	5.1%	14.6%	8.4%	2.7%	1.7%	-2.9M	1.5M	-80.8K	1.71	20.20	17	29	2,480	8,407
2011-02-16	$91.87	$91.00	6.8%	2.0%	4.9%	13.6%	8.0%	2.9%	1.7%	-2.6M	-143.6K	-76.4K	6.40	20.89	10	64	2,488	8,406
2011-02-17	$92.08	$91.00	7.0%	2.0%	4.8%	14.4%	8.2%	2.7%	1.5%	-2.6M	-1.8M	-74.0K	97.00	20.10	1	97	2,498	8,447
2011-02-18	$92.36	$91.00	6.8%	2.0%	4.8%	13.6%	7.1%	3.3%	1.7%	-1.9M	-4.7M	-64.3K	2.65	14.66	104	276	2,498	8,510
2011-02-22	$91.60	$91.00	7.4%	2.1%	5.7%	16.6%	7.6%	3.4%	0.8%	-1.5M	5.5M	-74.6K	23.97	8.11	35	839	1,815	6,831
2011-02-23	$91.69	$91.00	7.0%	2.0%	5.7%	14.4%	7.0%	4.7%	0.7%	-1.7M	7.1M	-85.6K	2.98	9.57	168	500	1,844	7,342
2011-02-24	$91.76	$91.00	6.6%	1.9%	5.6%	12.6%	9.1%	3.1%	0.8%	-1.6M	8.3M	-97.3K	7.10	10.10	42	298	1,968	7,500
2011-02-25	$92.04	$91.00	6.2%	1.8%	5.7%	10.4%	6.0%	4.4%	1.5%	-1.6M	6.1M	-90.6K	13.73	11.06	45	618	1,972	7,622
2011-02-28	$92.50	$91.00	7.1%	2.0%	5.5%	15.1%	12.4%	2.6%	-0.6%	-1.1M	-154.4K	-52.6K	0.04	12.67	5,381	242	1,892	8,018