HYG Options History — April 2012

In April 2012, HYG traded between $88.80 and $91.20. ATM implied volatility averaged 7.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.6% (HV 20d: 6.2%). 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 19 of 20 days. Put/call ratio averaged 11.46.

Notable Days

2012-04-10: Highest Volume — 14,067 contracts
2012-04-09: Largest IV spike — 19.0% change
2012-04-10: Highest IV Rank — 21.7%
2012-04-10: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.18	$88.80	$91.20	$90.33	$91.20
Max Pain	$90.40	$90.00	$91.00	$91.00	$90.00
ATM IV	7.9%	5.8%	9.4%	7.1%	5.8%
Expected Move	2.3%	1.7%	3.1%	2.0%	1.7%
HV 20d	6.2%	5.3%	7.6%	7.6%	6.4%
HV 60d	6.4%	6.1%	6.7%	6.1%	6.5%
IV Rank	16.6%	9.7%	21.7%	14.3%	9.7%
IV Percentile	39.6%	8.7%	56.0%	34.1%	8.7%
Term Structure	0.9%	-0.1%	1.5%	1.1%	1.1%
VWIV	8.9%	6.6%	11.7%	6.6%	7.0%
Skew 25d	4.3%	1.9%	5.9%	2.5%	3.5%
Skew 10d	9.0%	6.0%	12.0%	7.0%	11.6%
Call IV 25d	6.4%	3.9%	8.9%	5.4%	4.2%
Put IV 25d	10.6%	7.6%	14.8%	7.9%	7.6%
Bid-Ask Spread %	68.66	55.82	79.21	70.30	55.82
Gamma HHI	0.29	0.22	0.40	0.35	0.25
Net GEX	-39.3M	-72.7M	-18.6M	-26.8M	-19.3M
Net DEX	116.9M	18.4M	210.0M	72.3M	18.4M
Net VEX	-486.4K	-584.7K	-354.0K	-390.1K	-393.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.46	0.41	93.99	2.07	3.55
Total Volume	3,336.9	295	14,067	4,003	2,487
Total OI	67,237	51,461	83,276	51,461	63,932

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
2012-04-02	$90.33	$91.00	7.1%	2.0%	7.6%	14.3%	6.6%	2.5%	1.1%	-26.8M	72.3M	-390.1K	2.07	70.30	1,304	2,699	15,475	35,986
2012-04-03	$90.25	$91.00	7.4%	2.1%	5.9%	15.1%	7.0%	1.9%	0.7%	-25.5M	76.8M	-416.5K	1.91	71.32	1,194	2,277	16,631	37,935
2012-04-04	$89.92	$91.00	7.9%	2.3%	6.0%	16.6%	8.4%	3.4%	0.6%	-27.6M	104.7M	-446.5K	6.03	72.15	204	1,230	17,757	39,929
2012-04-05	$89.70	$91.00	7.1%	2.0%	5.3%	14.0%	7.9%	3.9%	1.0%	-33.9M	126.9M	-424.3K	3.17	71.23	248	786	17,807	40,439
2012-04-09	$89.24	$91.00	8.4%	2.9%	5.5%	18.5%	10.7%	5.1%	-0.1%	-34.5M	152.1M	-354.0K	93.99	70.76	90	8,459	17,684	40,774
2012-04-10	$88.80	$90.00	9.4%	3.1%	5.7%	21.7%	11.7%	5.9%	0.5%	-35.2M	195.7M	-420.2K	21.29	68.21	631	13,436	17,736	45,957
2012-04-11	$89.34	$91.00	8.4%	3.0%	5.4%	18.6%	11.3%	5.3%	0.5%	-52.7M	210.0M	-534.8K	2.02	64.53	123	248	18,214	54,726
2012-04-12	$90.14	$90.00	8.8%	2.5%	6.5%	20.0%	10.5%	5.3%	1.0%	-50.2M	133.2M	-543.8K	2.07	71.93	583	1,206	18,224	54,627
2012-04-13	$89.85	$90.00	8.6%	2.5%	6.4%	19.0%	9.4%	3.5%	1.2%	-53.5M	152.5M	-531.5K	34.36	72.78	74	2,543	18,654	54,809
2012-04-16	$89.99	$90.00	9.0%	2.6%	6.4%	20.6%	10.9%	4.0%	0.8%	-61.8M	160.0M	-505.8K	5.16	75.80	1,032	5,329	18,712	56,689
2012-04-17	$90.38	$90.00	8.6%	2.5%	6.4%	19.2%	7.5%	3.8%	1.2%	-48.8M	121.3M	-518.3K	2.77	78.23	2,133	5,898	18,727	58,986
2012-04-18	$90.35	$91.00	8.4%	2.4%	6.4%	18.6%	9.9%	4.3%	1.1%	-57.4M	131.4M	-584.7K	9.17	78.35	29	266	20,320	62,944
2012-04-19	$90.18	$91.00	8.6%	2.5%	6.4%	19.2%	9.1%	3.8%	0.7%	-69.9M	144.9M	-577.3K	9.41	78.98	74	696	20,330	62,946
2012-04-20	$90.32	$90.00	8.5%	2.4%	6.3%	18.7%	9.2%	4.6%	1.4%	-72.7M	130.9M	-530.3K	24.83	79.21	230	5,710	20,319	62,705
2012-04-23	$90.13	$90.00	8.2%	2.3%	6.3%	17.7%	9.1%	4.2%	1.1%	-29.2M	117.7M	-528.8K	1.57	59.48	524	823	15,145	46,921
2012-04-24	$90.34	$90.00	7.4%	2.1%	6.0%	15.1%	8.7%	4.4%	1.2%	-29.4M	103.4M	-529.6K	1.20	61.98	487	584	15,293	47,341
2012-04-25	$91.00	$90.00	6.5%	1.9%	6.5%	11.9%	8.0%	5.7%	1.5%	-20.0M	61.9M	-508.9K	2.94	59.22	274	805	15,688	47,228
2012-04-26	$91.06	$90.00	6.3%	1.8%	6.4%	11.4%	8.2%	5.5%	1.3%	-18.6M	63.0M	-500.8K	0.41	56.39	1,126	457	15,808	47,572
2012-04-27	$91.02	$90.00	6.6%	1.9%	6.4%	12.6%	7.8%	4.9%	0.6%	-19.3M	61.2M	-487.9K	1.29	56.58	192	247	16,311	47,459
2012-04-30	$91.20	$90.00	5.8%	1.7%	6.4%	9.7%	7.0%	3.5%	1.1%	-19.3M	18.4M	-393.9K	3.55	55.82	546	1,941	16,343	47,589