HYG Options History — July 2011

In July 2011, HYG traded between $90.33 and $91.84. ATM implied volatility averaged 6.9%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 2.4% (HV 20d: 9.3%). Max pain ranged from $90.00 to $91.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 29.39.

Notable Days

2011-07-27: Highest Volume — 3,035 contracts
2011-07-07: Largest IV drop — 44.9% change
2011-07-12: Highest IV Rank — 58.0%
2011-07-12: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.18	$90.33	$91.84	$91.21	$91.05
Max Pain	$90.85	$90.00	$91.00	$91.00	$91.00
ATM IV	6.9%	3.7%	8.3%	7.2%	6.8%
Expected Move	2.2%	1.7%	2.7%	2.1%	1.9%
HV 20d	9.3%	6.7%	11.5%	11.2%	6.7%
HV 60d	7.9%	7.7%	8.2%	7.7%	8.2%
IV Rank	43.0%	8.4%	58.0%	46.0%	41.5%
IV Percentile	50.0%	0.4%	71.8%	55.6%	46.8%
Term Structure	0.8%	0.1%	1.7%	0.7%	0.4%
VWIV	9.0%	7.3%	12.3%	8.1%	8.8%
Skew 25d	3.8%	2.1%	5.5%	3.4%	2.1%
Skew 10d	8.0%	4.7%	11.3%	6.2%	5.5%
Call IV 25d	6.5%	5.0%	7.5%	5.7%	6.8%
Put IV 25d	10.3%	8.5%	12.2%	9.1%	8.9%
Bid-Ask Spread %	38.37	20.32	54.35	20.32	54.35
Gamma HHI	0.20	0.13	0.31	0.26	0.18
Net GEX	-12.3M	-25.6M	-4.5M	-18.8M	-16.0M
Net DEX	43.4M	25.8M	70.2M	50.4M	40.1M
Net VEX	-248.7K	-304.0K	-175.4K	-279.0K	-175.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	29.39	0.21	167.61	1.07	3.60
Total Volume	880.05	155	3,035	568	253
Total OI	30,983.3	22,688	38,248	34,770	28,735

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
2011-07-01	$91.21	$91.00	7.2%	2.1%	11.2%	46.0%	8.1%	3.4%	0.7%	-18.8M	50.4M	-279.0K	1.07	20.32	275	293	2,930	31,840
2011-07-05	$91.33	$90.00	7.7%	2.5%	11.1%	51.0%	9.5%	5.5%	0.4%	-19.6M	42.2M	-227.4K	3.54	28.45	139	492	3,120	31,975
2011-07-06	$91.37	$90.00	6.7%	2.4%	11.1%	40.3%	10.1%	4.7%	0.4%	-18.6M	37.9M	-219.6K	2.40	32.75	240	577	3,174	32,140
2011-07-07	$91.73	$90.00	3.7%	2.0%	11.0%	8.4%	8.0%	4.8%	1.1%	-10.4M	26.1M	-205.0K	0.21	38.79	1,378	291	3,271	32,196
2011-07-08	$91.48	$91.00	4.5%	2.3%	11.1%	16.7%	9.8%	4.3%	0.9%	-9.9M	30.2M	-246.7K	2.20	40.43	177	389	4,257	32,358
2011-07-11	$90.58	$91.00	6.3%	2.4%	11.4%	36.8%	9.5%	4.4%	1.3%	-21.1M	61.1M	-279.6K	1.57	35.26	361	565	4,260	32,366
2011-07-12	$90.33	$91.00	8.3%	2.7%	11.4%	58.0%	9.7%	4.1%	0.4%	-25.6M	70.2M	-274.3K	11.69	33.23	55	643	4,098	32,743
2011-07-13	$91.03	$91.00	6.4%	2.2%	11.5%	37.3%	9.4%	4.6%	1.3%	-13.0M	45.4M	-262.8K	2.66	39.52	68	181	4,108	33,144
2011-07-14	$90.98	$91.00	8.1%	2.3%	11.4%	55.4%	8.0%	3.8%	0.8%	-14.5M	44.4M	-250.2K	18.03	39.39	91	1,641	4,125	33,224
2011-07-15	$90.95	$91.00	7.6%	2.2%	9.0%	49.7%	8.6%	3.3%	1.0%	-12.4M	45.9M	-257.7K	2.53	49.46	116	293	4,160	34,088
2011-07-18	$90.79	$91.00	7.5%	2.2%	8.4%	49.5%	10.0%	3.7%	0.6%	-6.3M	41.7M	-223.9K	147.63	33.06	8	1,181	2,739	19,949
2011-07-19	$91.20	$91.00	7.8%	2.2%	8.2%	51.7%	12.3%	3.3%	1.1%	-6.2M	41.1M	-255.1K	13.14	33.03	134	1,761	2,741	20,757
2011-07-20	$91.28	$91.00	8.0%	2.3%	7.9%	53.8%	8.1%	3.4%	0.9%	-6.5M	41.1M	-269.2K	2.23	34.40	48	107	2,807	22,345
2011-07-21	$91.72	$91.00	7.0%	2.0%	7.4%	43.7%	8.5%	3.1%	0.7%	-6.6M	37.8M	-271.6K	4.09	28.70	78	319	2,827	22,358
2011-07-22	$91.84	$91.00	6.6%	1.9%	7.3%	39.0%	7.3%	3.1%	1.7%	-4.5M	25.8M	-197.9K	16.88	23.68	26	439	2,876	22,348
2011-07-25	$91.35	$91.00	7.0%	2.0%	7.3%	43.6%	7.3%	3.4%	0.3%	-6.9M	36.1M	-245.8K	30.32	52.69	28	849	2,902	22,462
2011-07-26	$91.54	$91.00	6.0%	1.7%	7.3%	33.3%	7.7%	3.8%	1.4%	-6.8M	37.6M	-246.8K	153.60	53.88	5	768	2,924	22,743
2011-07-27	$90.82	$91.00	8.2%	2.3%	7.9%	56.4%	9.3%	3.6%	0.1%	-8.9M	52.4M	-282.7K	167.61	48.79	18	3,017	2,925	22,964
2011-07-28	$90.96	$91.00	7.3%	2.1%	7.1%	47.4%	9.2%	4.0%	0.9%	-12.7M	60.6M	-304.0K	2.76	47.12	79	218	2,924	25,763
2011-07-29	$91.05	$91.00	6.8%	1.9%	6.7%	41.5%	8.8%	2.1%	0.4%	-16.0M	40.1M	-175.4K	3.60	54.35	55	198	2,960	25,775