HYG Options History — February 2012

In February 2012, HYG traded between $90.22 and $92.13. ATM implied volatility averaged 7.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 2.6% (HV 20d: 5.3%). Max pain ranged from $89.00 to $91.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.30.

Notable Days

2012-02-29: Highest Volume — 11,665 contracts
2012-02-09: Largest IV spike — 32.8% change
2012-02-15: Highest IV Rank — 25.6%
2012-02-15: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.97	$90.22	$92.13	$90.40	$92.13
Max Pain	$90.05	$89.00	$91.00	$89.00	$91.00
ATM IV	7.9%	6.3%	10.5%	8.4%	6.3%
Expected Move	2.4%	1.8%	3.0%	2.4%	1.8%
HV 20d	5.3%	4.5%	6.0%	5.2%	4.9%
HV 60d	9.3%	6.1%	11.2%	11.2%	6.1%
IV Rank	16.9%	11.3%	25.6%	18.6%	11.3%
IV Percentile	42.7%	21.8%	59.9%	52.0%	21.8%
Term Structure	0.7%	-0.6%	1.5%	1.2%	0.6%
VWIV	9.9%	6.6%	14.4%	8.9%	7.1%
Skew 25d	4.5%	3.7%	5.3%	4.2%	3.7%
Skew 10d	9.2%	6.4%	12.1%	7.8%	6.4%
Call IV 25d	6.8%	4.6%	8.9%	5.7%	4.6%
Put IV 25d	11.2%	8.3%	14.0%	9.9%	8.3%
Bid-Ask Spread %	30.25	7.19	73.58	73.58	7.50
Gamma HHI	0.23	0.15	0.34	0.28	0.34
Net GEX	2.7M	-3.7M	12.1M	4.7M	5.9M
Net DEX	-7.4M	-44.8M	20.5M	-6.1M	-20.1M
Net VEX	-321.0K	-389.0K	-247.8K	-331.2K	-264.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.30	0.11	20.55	0.64	0.11
Total Volume	3,586.3	162	11,665	2,212	11,665
Total OI	44,928.3	35,947	51,560	38,210	50,986

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
2012-02-01	$90.40	$89.00	8.4%	2.4%	5.2%	18.6%	8.9%	4.2%	1.2%	4.7M	-6.1M	-331.2K	0.64	73.58	1,352	860	12,558	25,652
2012-02-02	$90.46	$89.00	8.0%	2.3%	5.2%	17.0%	8.5%	4.0%	1.0%	5.2M	-10.7M	-319.8K	1.29	16.47	303	392	12,799	26,095
2012-02-03	$90.72	$90.00	7.0%	2.6%	4.9%	13.7%	10.4%	4.9%	0.3%	5.9M	-16.6M	-309.3K	1.90	44.16	3,446	6,536	12,938	25,327
2012-02-06	$90.74	$90.00	7.4%	2.5%	4.7%	15.2%	10.1%	4.2%	0.1%	9.3M	-22.0M	-362.1K	1.21	41.85	248	300	16,215	29,389
2012-02-07	$90.92	$90.00	7.0%	2.5%	4.7%	13.8%	8.5%	4.1%	0.1%	11.7M	-30.2M	-389.0K	0.11	42.25	4,872	522	17,719	33,841
2012-02-08	$91.00	$90.00	6.4%	2.4%	4.6%	11.7%	10.6%	5.1%	0.7%	8.4M	-35.0M	-344.9K	1.52	36.99	324	492	16,237	29,715
2012-02-09	$91.04	$90.00	8.5%	2.4%	4.5%	18.7%	10.3%	4.8%	0.6%	12.1M	-44.8M	-334.5K	0.62	31.30	994	613	17,179	29,940
2012-02-10	$90.25	$90.00	9.7%	2.8%	5.7%	22.7%	10.7%	4.9%	0.3%	6.9M	1.2M	-364.5K	5.60	31.89	1,191	6,665	16,348	30,244
2012-02-13	$90.51	$90.00	9.0%	2.6%	5.7%	20.6%	14.4%	4.6%	0.5%	-2.1M	5.3M	-353.3K	4.32	31.96	93	402	16,204	33,989
2012-02-14	$90.51	$90.00	8.6%	2.5%	5.7%	19.1%	10.6%	4.4%	0.5%	-1.8M	1.2M	-338.3K	1.16	35.74	75	87	16,234	33,913
2012-02-15	$90.22	$90.00	10.5%	3.0%	5.8%	25.6%	12.1%	5.1%	-0.3%	-2.6M	14.1M	-341.9K	12.46	34.61	143	1,782	16,251	33,962
2012-02-16	$90.60	$90.00	9.0%	2.6%	5.9%	20.6%	10.0%	5.0%	1.4%	-1.1M	-5.5M	-332.6K	2.91	42.19	395	1,149	16,229	34,907
2012-02-17	$90.57	$90.00	8.9%	2.6%	5.9%	20.1%	10.4%	4.2%	1.5%	-2.4M	-14.7M	-310.9K	0.90	33.03	810	732	16,069	35,482
2012-02-21	$90.91	$90.00	8.0%	2.3%	5.9%	17.2%	13.3%	5.3%	0.9%	-3.7M	20.5M	-281.3K	5.14	34.09	544	2,795	9,017	26,930
2012-02-22	$91.20	$90.00	7.4%	2.1%	6.0%	15.1%	7.7%	4.7%	1.1%	-1.9M	9.6M	-265.6K	0.75	25.65	525	395	9,344	26,931
2012-02-23	$91.53	$90.00	6.4%	1.8%	5.3%	11.9%	8.5%	4.3%	1.5%	1.8M	-3.3M	-247.8K	2.89	12.82	593	1,716	9,719	27,228
2012-02-24	$91.81	$90.00	7.8%	2.2%	5.3%	16.6%	8.7%	4.3%	-0.6%	74.7K	-2.5M	-270.5K	1.81	12.16	2,409	4,349	10,054	28,581
2012-02-27	$91.83	$91.00	7.1%	2.0%	5.1%	14.1%	11.0%	3.7%	0.9%	-20.6K	3.7M	-309.4K	20.55	9.49	430	8,837	12,253	32,455
2012-02-28	$92.01	$91.00	7.0%	2.0%	4.9%	13.7%	6.6%	3.7%	1.0%	-2.0M	7.3M	-348.3K	0.12	7.19	2,410	280	12,070	37,562
2012-02-29	$92.13	$91.00	6.3%	1.8%	4.9%	11.3%	7.1%	3.7%	0.6%	5.9M	-20.1M	-264.7K	0.11	7.50	10,466	1,199	13,296	37,690