HYG Options History — February 2013

In February 2013, HYG traded between $92.98 and $94.08. ATM implied volatility averaged 6.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 2.2% (HV 20d: 4.0%). Max pain ranged from $94.00 to $94.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 18.36.

Notable Days

2013-02-21: Highest Volume — 104,057 contracts
2013-02-25: Largest IV spike — 33.5% change
2013-02-25: Highest IV Rank — 32.5%
2013-02-01: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.44	$92.98	$94.08	$93.48	$94.04
Max Pain	$94.00	$94.00	$94.00	$94.00	$94.00
ATM IV	6.2%	4.6%	7.2%	6.5%	4.6%
Expected Move	1.8%	1.3%	2.2%	2.2%	1.3%
HV 20d	4.0%	3.7%	4.5%	3.7%	3.7%
HV 60d	4.6%	4.1%	5.2%	5.1%	4.2%
IV Rank	24.4%	12.1%	32.5%	27.2%	12.1%
IV Percentile	29.5%	1.6%	59.5%	35.7%	1.6%
Term Structure	1.1%	-0.3%	1.9%	0.6%	0.8%
VWIV	7.9%	4.6%	9.8%	9.0%	4.6%
Skew 25d	3.7%	2.8%	4.7%	3.3%	3.9%
Skew 10d	7.2%	5.5%	8.1%	7.7%	5.9%
Call IV 25d	5.1%	3.9%	6.2%	6.2%	3.9%
Put IV 25d	8.9%	7.4%	10.0%	9.5%	7.8%
Bid-Ask Spread %	9.45	5.44	20.35	20.35	6.53
Gamma HHI	0.19	0.17	0.28	0.18	0.28
Net GEX	-312.7M	-531.4M	-189.4M	-189.4M	-531.4M
Net DEX	900.8M	651.1M	1.09B	719.8M	651.1M
Net VEX	-3.0M	-3.9M	-2.3M	-2.9M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	18.36	0.80	86.66	6.44	0.80
Total Volume	21,309.263	2,004	104,057	6,890	17,510
Total OI	394,475.053	298,600	531,895	298,600	526,710

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
2013-02-01	$93.48	$94.00	6.5%	2.2%	3.7%	27.2%	9.0%	3.3%	0.6%	-189.4M	719.8M	-2.9M	6.44	20.35	926	5,964	31,796	266,804
2013-02-04	$93.09	$94.00	6.3%	2.0%	4.0%	25.5%	8.2%	3.1%	0.9%	-217.2M	882.1M	-2.8M	42.97	13.25	427	18,348	32,248	272,250
2013-02-05	$93.30	$94.00	6.1%	2.1%	4.1%	24.3%	7.8%	4.0%	1.3%	-218.1M	847.1M	-2.9M	9.75	13.67	304	2,964	32,432	279,144
2013-02-06	$93.16	$94.00	5.8%	2.1%	4.1%	21.7%	8.0%	3.8%	1.3%	-226.7M	849.5M	-2.7M	2.35	11.96	599	1,405	32,646	280,624
2013-02-07	$92.98	$94.00	6.8%	1.9%	4.0%	29.3%	9.2%	4.3%	1.9%	-243.7M	978.7M	-2.7M	7.55	10.10	3,210	24,226	33,112	281,380
2013-02-08	$93.00	$94.00	7.1%	2.0%	3.9%	31.9%	9.1%	4.0%	1.5%	-262.1M	991.8M	-2.9M	5.34	11.20	1,524	8,134	34,269	302,986
2013-02-11	$92.99	$94.00	6.4%	1.8%	3.8%	26.4%	7.6%	4.0%	1.3%	-280.4M	1.03B	-2.7M	1.36	10.17	1,316	1,788	34,488	309,316
2013-02-12	$93.31	$94.00	6.7%	1.9%	4.1%	28.5%	7.7%	3.8%	1.6%	-275.3M	767.4M	-2.3M	5.10	6.93	477	2,431	35,337	310,513
2013-02-13	$93.45	$94.00	6.8%	1.9%	4.2%	29.5%	7.4%	4.0%	1.4%	-248.8M	856.0M	-2.7M	9.62	7.74	460	4,427	35,670	311,600
2013-02-14	$93.41	$94.00	6.2%	1.8%	4.1%	24.6%	8.2%	4.1%	1.8%	-278.2M	868.0M	-2.7M	8.45	7.90	7,357	62,136	36,053	314,173
2013-02-15	$93.42	$94.00	6.3%	1.8%	3.9%	25.6%	7.2%	4.7%	1.9%	-336.5M	988.2M	-3.2M	35.46	8.57	770	27,305	43,189	365,675
2013-02-19	$93.51	$94.00	5.5%	1.6%	3.8%	19.0%	9.6%	2.8%	1.0%	-344.4M	829.5M	-2.7M	8.95	6.25	2,714	24,293	34,986	376,216
2013-02-20	$93.42	$94.00	6.2%	1.8%	3.8%	25.1%	7.3%	3.4%	0.8%	-324.8M	918.0M	-2.8M	55.88	7.52	406	22,688	36,679	355,112
2013-02-21	$93.52	$94.00	5.2%	1.5%	3.9%	16.8%	7.3%	3.8%	1.8%	-363.5M	965.9M	-3.0M	86.66	12.27	1,187	102,870	36,925	377,839
2013-02-22	$93.75	$94.00	5.4%	1.5%	3.9%	18.3%	6.6%	3.1%	1.3%	-415.6M	1.05B	-3.9M	36.81	7.57	771	28,380	37,750	471,999
2013-02-25	$93.46	$94.00	7.2%	2.1%	4.0%	32.5%	9.8%	3.5%	-0.3%	-401.0M	1.09B	-3.6M	16.88	5.80	1,052	17,759	37,918	472,010
2013-02-26	$93.92	$94.00	6.3%	1.8%	4.5%	25.3%	7.8%	3.9%	0.6%	-406.5M	1.02B	-3.8M	6.77	6.34	504	3,411	38,504	493,391
2013-02-27	$94.08	$94.00	5.7%	1.6%	4.5%	20.9%	7.0%	3.2%	0.3%	-377.1M	821.5M	-3.4M	1.64	5.44	1,830	3,003	38,964	484,318
2013-02-28	$94.04	$94.00	4.6%	1.3%	3.7%	12.1%	4.6%	3.9%	0.8%	-531.4M	651.1M	-2.5M	0.80	6.53	9,734	7,776	40,301	486,409