HYG Options History — March 2013

In March 2013, HYG traded between $93.72 and $94.55. ATM implied volatility averaged 5.1%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.9% (HV 20d: 3.2%). Max pain ranged from $94.00 to $94.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 7.69.

Notable Days

2013-03-01: Highest Volume — 55,778 contracts
2013-03-14: Largest IV spike — 28.6% change
2013-03-25: Highest IV Rank — 27.1%
2013-03-25: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.16	$93.72	$94.55	$93.72	$94.35
Max Pain	$94.00	$94.00	$94.00	$94.00	$94.00
ATM IV	5.1%	3.7%	6.5%	5.0%	4.4%
Expected Move	1.6%	1.3%	1.9%	1.4%	1.3%
HV 20d	3.2%	2.8%	3.7%	3.7%	2.9%
HV 60d	4.1%	3.9%	4.3%	4.3%	3.9%
IV Rank	16.2%	5.2%	27.1%	15.4%	10.9%
IV Percentile	13.4%	0.8%	43.7%	5.2%	2.4%
Term Structure	0.9%	-0.1%	2.4%	0.7%	0.6%
VWIV	6.2%	4.5%	7.7%	7.6%	4.5%
Skew 25d	2.8%	1.0%	5.1%	2.2%	1.0%
Skew 10d	5.7%	1.4%	8.1%	5.8%	1.4%
Call IV 25d	4.3%	1.9%	5.5%	4.5%	4.5%
Put IV 25d	7.1%	5.5%	8.3%	6.7%	5.5%
Bid-Ask Spread %	19.60	7.16	41.44	7.16	13.55
Gamma HHI	0.35	0.21	0.51	0.21	0.50
Net GEX	-238.5M	-459.1M	-51.5M	-459.1M	-83.0M
Net DEX	307.1M	14.6M	858.6M	858.6M	14.6M
Net VEX	-1.9M	-3.2M	-1.2M	-3.2M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.69	0.09	43.05	9.56	0.49
Total Volume	8,235.25	550	55,778	55,778	3,772
Total OI	390,800.45	238,080	525,507	525,507	254,160

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
2013-03-01	$93.72	$94.00	5.0%	1.4%	3.7%	15.4%	7.6%	2.2%	0.7%	-459.1M	858.6M	-3.2M	9.56	7.16	5,282	50,496	33,665	491,842
2013-03-04	$93.73	$94.00	5.2%	1.6%	3.6%	17.0%	6.3%	3.2%	2.1%	-389.6M	733.4M	-2.9M	2.48	33.91	158	392	38,518	458,841
2013-03-05	$93.92	$94.00	5.2%	1.5%	3.3%	17.3%	5.3%	3.5%	1.8%	-417.8M	669.4M	-2.8M	0.13	41.44	3,538	476	38,610	461,340
2013-03-06	$93.86	$94.00	5.1%	1.5%	3.3%	15.8%	6.3%	3.7%	1.8%	-425.0M	677.9M	-2.8M	0.55	32.84	5,195	2,880	41,961	461,405
2013-03-07	$94.00	$94.00	4.7%	1.6%	3.2%	13.2%	6.0%	2.9%	0.7%	-440.5M	587.9M	-2.3M	43.05	32.68	441	18,983	47,072	465,719
2013-03-08	$94.11	$94.00	3.7%	1.6%	3.1%	5.2%	5.5%	3.1%	0.4%	-412.3M	362.0M	-2.1M	15.42	13.54	206	3,176	47,143	456,910
2013-03-11	$94.05	$94.00	4.5%	1.6%	3.1%	11.5%	7.7%	2.6%	1.2%	-384.8M	362.6M	-1.9M	15.72	24.06	141	2,217	47,053	459,986
2013-03-12	$94.01	$94.00	4.3%	1.5%	3.1%	10.2%	6.9%	3.5%	1.3%	-445.9M	371.9M	-1.8M	37.07	24.83	119	4,411	47,154	461,260
2013-03-13	$94.03	$94.00	3.9%	1.5%	3.0%	6.5%	5.9%	2.5%	1.4%	-344.6M	269.3M	-1.7M	3.34	29.26	2,244	7,506	47,254	461,238
2013-03-14	$94.39	$94.00	5.0%	1.4%	3.2%	15.3%	5.1%	3.5%	2.2%	-244.5M	257.8M	-2.0M	2.91	20.51	619	1,801	49,313	464,701
2013-03-15	$94.38	$94.00	4.8%	1.4%	3.2%	14.1%	5.6%	5.1%	2.4%	-237.7M	230.9M	-2.1M	1.37	14.69	3,173	4,336	49,610	465,035
2013-03-18	$94.40	$94.00	5.5%	1.6%	3.2%	19.4%	5.3%	2.7%	0.9%	-70.4M	84.7M	-1.4M	0.30	12.38	6,165	1,856	33,642	204,438
2013-03-19	$94.24	$94.00	5.5%	1.6%	3.3%	19.7%	6.3%	4.2%	0.6%	-66.0M	77.2M	-1.3M	9.66	12.87	167	1,613	35,034	205,731
2013-03-20	$94.55	$94.00	4.6%	1.3%	3.4%	12.2%	7.0%	3.1%	0.6%	-56.4M	40.9M	-1.3M	1.79	11.53	1,649	2,947	33,868	206,484
2013-03-21	$94.38	$94.00	5.9%	1.7%	3.5%	22.4%	6.0%	2.3%	0.1%	-65.0M	88.2M	-1.4M	0.09	11.78	16,568	1,497	34,159	207,567
2013-03-22	$94.31	$94.00	6.1%	1.7%	3.4%	24.0%	7.7%	1.9%	-0.0%	-52.5M	84.8M	-1.4M	6.87	15.35	933	6,411	38,835	207,021
2013-03-25	$94.17	$94.00	6.5%	1.9%	3.2%	27.1%	6.2%	1.7%	-0.1%	-63.2M	139.0M	-1.7M	0.63	10.10	842	532	39,579	213,141
2013-03-26	$94.34	$94.00	6.3%	1.8%	2.8%	25.6%	6.0%	1.4%	-0.1%	-51.5M	96.6M	-1.5M	1.13	13.62	368	415	39,817	213,244
2013-03-27	$94.18	$94.00	5.8%	1.7%	2.8%	21.9%	5.9%	1.5%	-0.0%	-60.1M	134.6M	-1.6M	1.31	15.89	510	670	40,132	213,527
2013-03-28	$94.35	$94.00	4.4%	1.3%	2.9%	10.9%	4.5%	1.0%	0.6%	-83.0M	14.6M	-1.2M	0.49	13.55	2,523	1,249	40,170	213,990