HYG Options History — April 2011

In April 2011, HYG traded between $91.28 and $92.85. ATM implied volatility averaged 4.5%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 1.4% (HV 20d: 5.9%). Max pain ranged from $91.00 to $92.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.45.

Notable Days

2011-04-29: Highest Volume — 6,436 contracts
2011-04-14: Largest IV spike — 34.7% change
2011-04-14: Highest IV Rank — 8.7%
2011-04-04: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.05	$91.28	$92.85	$91.28	$92.85
Max Pain	$91.95	$91.00	$92.00	$92.00	$92.00
ATM IV	4.5%	2.9%	5.7%	5.3%	2.9%
Expected Move	1.4%	0.8%	1.7%	1.5%	0.8%
HV 20d	5.9%	4.7%	7.2%	6.8%	5.2%
HV 60d	5.9%	5.7%	6.0%	5.8%	5.7%
IV Rank	3.1%	0.0%	8.7%	5.9%	0.0%
IV Percentile	3.7%	0.0%	13.9%	4.4%	0.0%
Term Structure	1.0%	-0.0%	1.7%	1.5%	-0.0%
VWIV	5.9%	4.0%	8.6%	5.1%	4.0%
Skew 25d	2.6%	0.1%	4.1%	0.1%	1.6%
Skew 10d	3.3%	0.2%	6.4%	1.8%	2.6%
Call IV 25d	4.0%	1.9%	5.6%	4.6%	3.3%
Put IV 25d	6.6%	4.7%	8.3%	4.7%	4.9%
Bid-Ask Spread %	22.98	14.68	43.21	17.62	15.08
Gamma HHI	0.46	0.20	0.84	0.36	0.25
Net GEX	4.7M	-1.1M	20.8M	1.6M	-418.0K
Net DEX	8.5M	-189.7K	15.9M	14.7M	715.7K
Net VEX	-109.3K	-124.2K	-57.3K	-122.8K	-57.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.45	0.03	9.74	1.35	0.03
Total Volume	561.25	36	6,436	352	6,436
Total OI	12,605.5	10,644	13,816	12,914	11,932

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
2011-04-01	$91.28	$92.00	5.3%	1.5%	6.8%	5.9%	5.1%	0.1%	1.5%	1.6M	14.7M	-122.8K	1.35	17.62	150	202	3,470	9,444
2011-04-04	$91.84	$92.00	4.5%	1.7%	7.2%	1.9%	6.9%	3.0%	0.7%	5.2M	6.1M	-105.0K	1.49	34.50	156	232	3,549	9,476
2011-04-05	$91.74	$92.00	4.5%	1.6%	7.2%	2.1%	5.8%	1.9%	0.7%	5.0M	6.6M	-117.8K	0.22	43.21	185	40	3,662	9,605
2011-04-06	$91.94	$92.00	4.6%	1.6%	7.2%	2.6%	6.2%	2.7%	0.9%	6.6M	3.7M	-114.9K	2.94	27.28	65	191	3,681	9,609
2011-04-07	$92.03	$92.00	4.1%	1.6%	6.9%	0.0%	5.5%	2.5%	1.5%	8.7M	2.6M	-114.8K	3.41	24.73	22	75	3,641	9,708
2011-04-08	$92.03	$92.00	3.9%	1.6%	6.9%	0.0%	5.7%	1.8%	0.5%	9.7M	-189.7K	-98.4K	9.74	19.14	39	380	3,653	9,774
2011-04-11	$91.94	$92.00	4.9%	1.6%	6.7%	4.9%	5.7%	1.3%	0.2%	9.4M	4.0M	-111.1K	3.30	26.48	10	33	3,692	10,115
2011-04-12	$91.65	$92.00	4.5%	1.7%	6.5%	3.1%	7.5%	2.7%	0.2%	6.7M	10.9M	-113.5K	2.10	28.51	51	107	3,692	10,124
2011-04-13	$92.09	$92.00	4.2%	1.6%	6.1%	1.5%	6.4%	4.1%	0.8%	20.8M	2.4M	-108.4K	1.02	15.83	40	41	3,667	10,086
2011-04-14	$91.72	$92.00	5.7%	1.6%	5.3%	8.7%	5.2%	2.3%	1.4%	9.3M	10.7M	-108.3K	0.64	32.32	176	112	3,661	10,075
2011-04-15	$91.84	$92.00	4.9%	1.4%	5.0%	5.0%	4.8%	2.7%	1.3%	13.8M	8.3M	-106.0K	4.56	33.27	94	429	3,666	10,143
2011-04-18	$91.52	$92.00	4.8%	1.4%	4.7%	4.2%	6.4%	2.5%	1.5%	-1.1M	15.9M	-103.5K	3.15	19.24	55	173	1,683	8,961
2011-04-19	$91.84	$92.00	4.9%	1.4%	4.9%	4.8%	5.8%	3.0%	0.4%	-392.0K	13.5M	-97.5K	4.75	20.65	144	684	1,731	9,074
2011-04-20	$92.19	$91.00	4.7%	1.4%	5.1%	4.1%	5.5%	2.9%	1.3%	-272.9K	13.1M	-116.8K	0.44	17.03	117	52	1,824	9,801
2011-04-21	$92.41	$92.00	4.6%	1.3%	5.1%	3.3%	4.6%	3.2%	1.3%	-89.7K	11.5M	-115.3K	0.99	16.54	79	78	1,832	9,743
2011-04-25	$92.31	$92.00	4.9%	1.4%	5.1%	4.7%	5.7%	2.6%	0.2%	-661.8K	14.1M	-124.2K	6.20	16.34	5	31	1,858	9,817
2011-04-26	$92.52	$92.00	4.2%	1.2%	5.2%	1.5%	7.4%	3.7%	1.6%	-414.5K	11.5M	-116.1K	0.38	14.68	265	101	1,863	9,830
2011-04-27	$92.58	$92.00	4.4%	1.3%	5.2%	2.7%	6.1%	3.4%	1.5%	-73.2K	10.6M	-118.6K	2.10	19.29	21	44	2,103	9,875
2011-04-28	$92.63	$92.00	4.0%	1.1%	5.2%	0.5%	8.6%	3.8%	1.7%	-89.1K	8.6M	-114.9K	0.21	17.92	91	19	2,112	9,878
2011-04-29	$92.85	$92.00	2.9%	0.8%	5.2%	0.0%	4.0%	1.6%	-0.0%	-418.0K	715.7K	-57.3K	0.03	15.08	6,234	202	2,040	9,892