HYG Options History — September 2012

In September 2012, HYG traded between $91.74 and $93.89. ATM implied volatility averaged 5.9%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.8% (HV 20d: 5.2%). Max pain ranged from $92.00 to $93.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.80.

Notable Days

2012-09-26: Highest Volume — 16,167 contracts
2012-09-10: Largest IV spike — 56.3% change
2012-09-26: Highest IV Rank — 14.7%
2012-09-10: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.88	$91.74	$93.89	$91.82	$92.30
Max Pain	$92.21	$92.00	$93.00	$92.00	$93.00
ATM IV	5.9%	4.2%	6.9%	6.6%	5.6%
Expected Move	1.8%	1.5%	2.2%	1.9%	1.6%
HV 20d	5.2%	3.8%	7.7%	3.9%	7.7%
HV 60d	5.9%	5.6%	6.4%	6.4%	6.1%
IV Rank	11.0%	4.5%	14.7%	13.8%	10.0%
IV Percentile	12.5%	0.8%	28.6%	18.7%	9.5%
Term Structure	1.1%	0.1%	1.9%	1.3%	0.9%
VWIV	7.5%	5.9%	11.6%	6.9%	5.9%
Skew 25d	4.0%	1.6%	6.1%	4.8%	1.6%
Skew 10d	6.8%	3.7%	10.6%	8.3%	3.7%
Call IV 25d	4.7%	3.1%	6.2%	4.3%	5.9%
Put IV 25d	8.7%	7.0%	10.4%	9.1%	7.5%
Bid-Ask Spread %	30.63	11.23	63.69	60.04	20.65
Gamma HHI	0.19	0.15	0.24	0.18	0.18
Net GEX	-8.0M	-23.2M	739.8K	-23.2M	-19.5M
Net DEX	14.1M	-59.1M	116.4M	66.0M	79.5M
Net VEX	-422.0K	-590.7K	-237.3K	-526.6K	-490.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.80	0.24	8.58	0.98	1.15
Total Volume	3,111.947	384	16,167	571	2,878
Total OI	87,945	44,702	104,654	97,630	54,601

Daily Data (19 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
2012-09-04	$91.82	$92.00	6.6%	1.9%	3.9%	13.8%	6.9%	4.8%	1.3%	-23.2M	66.0M	-526.6K	0.98	60.04	289	282	12,653	84,977
2012-09-05	$91.83	$92.00	5.9%	1.7%	3.8%	10.8%	11.6%	4.5%	1.7%	-21.5M	62.2M	-519.2K	4.40	62.46	104	458	12,915	85,201
2012-09-06	$92.37	$92.00	5.7%	1.6%	4.3%	10.4%	6.5%	3.9%	1.4%	-10.8M	16.4M	-449.6K	1.66	63.69	320	530	13,009	85,351
2012-09-07	$92.53	$92.00	4.2%	1.7%	4.3%	4.5%	8.4%	5.2%	1.6%	-3.1M	5.6M	-423.2K	0.24	42.89	2,732	652	13,160	85,560
2012-09-10	$92.38	$92.00	6.6%	2.2%	4.3%	13.6%	8.7%	4.5%	0.6%	-645.4K	9.1M	-404.6K	1.20	42.06	337	406	13,120	85,749
2012-09-11	$93.01	$92.00	5.5%	1.9%	4.9%	9.6%	7.6%	4.0%	0.8%	-2.0M	-19.5M	-384.1K	4.34	38.79	782	3,395	13,376	85,993
2012-09-12	$93.29	$92.00	6.5%	1.9%	4.9%	13.2%	7.4%	4.0%	1.4%	-4.3M	-18.7M	-397.3K	0.88	34.43	660	580	12,617	89,195
2012-09-13	$93.89	$92.00	6.0%	1.7%	4.8%	11.5%	8.5%	6.1%	1.1%	143.5K	-36.2M	-387.9K	1.44	30.16	713	1,026	12,729	89,611
2012-09-14	$93.88	$92.00	6.0%	1.7%	4.8%	11.4%	8.1%	3.9%	1.9%	-897.8K	-45.6M	-333.3K	3.48	20.79	593	2,066	12,956	89,982
2012-09-17	$93.80	$92.00	6.0%	1.7%	4.8%	11.2%	9.2%	4.3%	1.2%	739.8K	-59.1M	-237.3K	5.40	19.59	96	518	13,110	91,544
2012-09-18	$93.84	$92.00	5.6%	1.6%	4.8%	9.9%	6.2%	5.1%	1.4%	-2.2M	-36.9M	-381.8K	6.84	11.89	49	335	13,181	90,999
2012-09-19	$93.72	$92.00	5.9%	1.7%	4.9%	11.1%	6.7%	4.8%	1.2%	-2.5M	-33.7M	-379.6K	0.28	18.59	1,559	443	13,209	91,218
2012-09-20	$93.28	$92.00	6.1%	1.8%	5.3%	11.9%	6.4%	3.4%	1.1%	-1.4M	-19.2M	-373.2K	0.70	23.83	932	648	12,714	91,493
2012-09-21	$93.15	$92.00	5.6%	1.6%	5.3%	9.7%	6.3%	2.5%	1.4%	580.9K	-13.5M	-360.0K	8.58	15.42	655	5,617	12,567	91,730
2012-09-24	$93.03	$92.00	5.2%	1.5%	5.2%	8.4%	6.0%	2.4%	0.6%	-10.8M	46.6M	-403.3K	2.43	11.23	891	2,165	6,901	37,801
2012-09-25	$92.20	$93.00	6.2%	1.8%	6.2%	12.3%	7.0%	3.2%	0.1%	-15.1M	69.4M	-401.4K	2.27	24.52	2,842	6,441	7,303	37,406
2012-09-26	$91.74	$93.00	6.9%	2.0%	6.4%	14.7%	7.6%	3.8%	0.3%	-20.5M	116.4M	-573.7K	2.62	21.73	4,465	11,702	9,841	42,777
2012-09-27	$92.74	$93.00	6.2%	1.8%	7.5%	12.1%	7.9%	4.1%	1.4%	-15.3M	80.1M	-590.7K	4.28	19.26	183	783	10,162	44,244
2012-09-28	$92.30	$93.00	5.6%	1.6%	7.7%	10.0%	5.9%	1.6%	0.9%	-19.5M	79.5M	-490.8K	1.15	20.65	1,336	1,542	10,148	44,453