HYG Options History — January 2012

In January 2012, HYG traded between $88.90 and $91.13. ATM implied volatility averaged 7.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.5% (HV 20d: 6.3%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 9.15.

Notable Days

2012-01-31: Highest Volume — 17,397 contracts
2012-01-05: Largest IV spike — 21.6% change
2012-01-17: Highest IV Rank — 23.0%
2012-01-06: Largest Expected Move — 2.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.75	$88.90	$91.13	$89.72	$90.74
Max Pain	$89.05	$88.00	$90.00	$88.00	$89.00
ATM IV	7.8%	5.8%	9.8%	7.2%	5.8%
Expected Move	2.3%	1.7%	2.8%	2.1%	1.7%
HV 20d	6.3%	4.7%	8.1%	8.0%	5.1%
HV 60d	14.1%	11.3%	16.3%	16.3%	11.3%
IV Rank	16.5%	9.8%	23.0%	14.5%	9.8%
IV Percentile	44.0%	18.7%	58.3%	42.9%	18.7%
Term Structure	1.2%	0.3%	2.2%	2.2%	1.0%
VWIV	8.5%	4.4%	11.9%	7.4%	6.6%
Skew 25d	4.0%	2.2%	5.4%	4.1%	3.5%
Skew 10d	8.0%	3.4%	11.7%	5.9%	6.2%
Call IV 25d	6.7%	4.5%	8.5%	5.2%	5.8%
Put IV 25d	10.7%	8.0%	13.0%	9.3%	9.2%
Bid-Ask Spread %	67.58	56.28	78.83	56.90	68.40
Gamma HHI	0.28	0.15	0.44	0.21	0.31
Net GEX	-146.3K	-8.5M	16.6M	-318.9K	16.6M
Net DEX	12.3M	-52.9M	40.1M	4.4M	-52.9M
Net VEX	-267.7K	-297.7K	-202.3K	-202.3K	-292.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.15	0.02	71.64	7.70	0.08
Total Volume	3,689.9	226	17,397	3,551	17,397
Total OI	34,319.3	22,381	42,452	22,381	42,182

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
2012-01-03	$89.72	$88.00	7.2%	2.1%	8.0%	14.5%	7.4%	4.1%	2.2%	-318.9K	4.4M	-202.3K	7.70	56.90	408	3,143	5,970	16,411
2012-01-04	$89.57	$90.00	7.0%	2.0%	7.9%	13.8%	7.8%	2.4%	1.1%	-6.0M	21.0M	-227.6K	1.77	57.73	121	214	6,254	19,320
2012-01-05	$89.18	$90.00	8.5%	2.4%	8.1%	18.8%	8.9%	2.6%	1.5%	-6.2M	30.1M	-237.7K	1.01	56.28	3,644	3,681	6,341	19,461
2012-01-06	$88.90	$89.00	8.6%	2.8%	8.0%	18.9%	10.1%	4.3%	0.3%	-5.7M	37.5M	-252.6K	71.64	61.56	87	6,233	9,856	23,077
2012-01-09	$89.02	$89.00	8.1%	2.8%	7.6%	17.6%	9.8%	4.4%	0.5%	-7.1M	34.0M	-270.2K	0.95	64.16	1,210	1,147	9,892	25,538
2012-01-10	$89.33	$89.00	8.5%	2.8%	7.1%	18.7%	8.5%	4.2%	0.7%	-2.8M	25.3M	-284.7K	0.77	74.34	304	235	10,910	26,384
2012-01-11	$89.24	$89.00	8.8%	2.8%	6.8%	19.7%	11.9%	5.4%	0.9%	-6.4M	25.8M	-275.7K	1.39	78.83	683	952	10,159	26,537
2012-01-12	$89.12	$89.00	9.3%	2.7%	6.6%	21.4%	9.8%	4.6%	1.4%	-5.5M	34.9M	-285.7K	6.29	72.46	31	195	10,818	26,442
2012-01-13	$89.02	$89.00	9.4%	2.7%	6.5%	22.0%	10.2%	4.8%	1.2%	-8.5M	39.1M	-270.5K	63.71	66.92	66	4,205	10,847	26,488
2012-01-17	$89.20	$89.00	9.8%	2.8%	6.5%	23.0%	11.0%	4.5%	1.1%	-7.5M	40.1M	-274.7K	8.68	71.08	92	799	10,863	28,542
2012-01-18	$89.45	$89.00	9.4%	2.7%	6.4%	21.7%	9.6%	4.8%	1.4%	3.6M	24.0M	-253.2K	2.56	70.00	200	512	10,884	26,717
2012-01-19	$89.58	$89.00	8.8%	2.5%	6.3%	19.7%	10.0%	3.9%	0.3%	9.9M	15.6M	-256.5K	0.86	72.53	3,172	2,730	11,026	26,987
2012-01-20	$89.58	$89.00	8.0%	2.3%	4.8%	17.0%	8.8%	4.8%	2.0%	14.3M	13.4M	-282.3K	0.80	75.06	572	459	14,025	28,427
2012-01-23	$89.89	$89.00	6.9%	2.0%	4.8%	13.4%	7.8%	4.7%	2.0%	-263.6K	13.9M	-264.2K	0.47	60.71	1,870	883	8,341	17,792
2012-01-24	$90.12	$89.00	7.1%	2.0%	4.7%	14.1%	7.3%	4.8%	1.1%	2.6M	4.1M	-280.6K	10.33	62.90	537	5,547	10,124	18,095
2012-01-25	$90.91	$89.00	6.0%	1.7%	5.4%	10.4%	4.4%	4.0%	1.6%	53.0K	-15.5M	-270.5K	0.53	68.91	2,527	1,351	10,425	23,432
2012-01-26	$91.13	$89.00	5.9%	1.7%	5.3%	10.1%	5.9%	2.3%	1.5%	1.5M	-27.3M	-283.2K	1.18	72.17	347	410	11,786	23,801
2012-01-27	$90.80	$89.00	6.6%	1.9%	5.2%	12.3%	6.8%	2.2%	0.9%	2.6M	-16.1M	-291.4K	2.27	71.96	481	1,090	11,628	23,986
2012-01-30	$90.51	$89.00	6.7%	1.9%	5.0%	12.8%	7.2%	3.1%	1.7%	2.1M	-6.4M	-297.7K	0.02	68.69	6,147	116	11,951	24,667
2012-01-31	$90.74	$89.00	5.8%	1.7%	5.1%	9.8%	6.6%	3.5%	1.0%	16.6M	-52.9M	-292.6K	0.08	68.40	16,080	1,317	17,466	24,716