HYG Options History — October 2013

In October 2013, HYG traded between $91.51 and $93.76. ATM implied volatility averaged 8.1%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.8% (HV 20d: 4.3%). Max pain ranged from $91.00 to $95.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 9.14.

Notable Days

2013-10-21: Highest Volume — 50,028 contracts
2013-10-10: Largest IV drop — 17.6% change
2013-10-09: Highest IV Rank — 58.0%
2013-10-09: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.66	$91.51	$93.76	$91.53	$93.43
Max Pain	$92.57	$91.00	$95.50	$92.00	$95.50
ATM IV	8.1%	6.3%	10.5%	9.0%	6.7%
Expected Move	2.3%	1.8%	3.0%	2.6%	1.9%
HV 20d	4.3%	3.3%	5.5%	5.5%	3.8%
HV 60d	6.7%	5.7%	7.5%	7.5%	5.7%
IV Rank	37.8%	23.8%	58.0%	45.9%	26.8%
IV Percentile	59.4%	33.3%	89.3%	75.8%	40.9%
Term Structure	-0.2%	-1.7%	1.0%	-1.0%	0.2%
VWIV	9.9%	7.2%	14.2%	11.5%	10.2%
Skew 25d	2.9%	2.3%	4.2%	2.6%	4.2%
Skew 10d	6.7%	4.1%	12.1%	6.3%	8.5%
Call IV 25d	7.0%	5.1%	9.6%	8.2%	6.1%
Put IV 25d	10.0%	8.1%	12.8%	10.8%	10.3%
Bid-Ask Spread %	67.64	12.73	82.73	75.89	48.01
Gamma HHI	0.18	0.14	0.22	0.16	0.22
Net GEX	38.5M	4.4M	70.3M	8.2M	55.6M
Net DEX	-28.9M	-257.2M	161.1M	141.9M	-199.7M
Net VEX	-2.6M	-3.3M	-2.2M	-2.4M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.14	0.06	139.54	1.46	0.21
Total Volume	10,906.304	1,715	50,028	2,601	16,343
Total OI	285,885.435	242,821	324,110	259,995	324,110

Daily Data (23 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
2013-10-01	$91.53	$92.00	9.0%	2.6%	5.5%	45.9%	11.5%	2.6%	-1.0%	8.2M	141.9M	-2.4M	1.46	75.89	1,058	1,543	109,589	150,406
2013-10-02	$91.57	$92.00	9.0%	2.6%	5.3%	46.0%	9.3%	2.3%	-0.6%	12.6M	135.4M	-2.4M	3.38	76.89	933	3,154	109,971	147,149
2013-10-03	$91.63	$92.00	9.7%	2.8%	4.9%	51.4%	11.4%	2.5%	-1.3%	13.4M	152.5M	-2.5M	1.77	75.58	7,458	13,210	110,293	150,290
2013-10-04	$91.79	$92.00	9.0%	2.6%	4.8%	45.6%	10.1%	2.3%	-0.7%	17.9M	124.3M	-2.6M	0.21	75.40	2,000	418	113,220	160,421
2013-10-07	$91.55	$91.50	9.9%	2.8%	4.9%	53.3%	9.7%	3.0%	-1.6%	4.4M	161.1M	-2.4M	0.91	78.95	915	833	111,669	158,740
2013-10-08	$91.51	$91.00	10.4%	3.0%	4.8%	57.4%	11.7%	3.3%	-0.8%	4.9M	160.6M	-2.4M	9.25	75.56	1,159	10,724	112,498	158,777
2013-10-09	$91.59	$91.00	10.5%	3.0%	4.8%	58.0%	12.2%	3.2%	-1.7%	7.5M	158.1M	-2.5M	0.45	75.09	3,958	1,798	113,400	162,508
2013-10-10	$92.01	$0.00	8.6%	2.5%	5.0%	42.7%	0.0%	4.2%	-0.1%	32.4M	29.9M	-2.4M	0.20	35.50	2,649	528	116,670	164,482
2013-10-11	$92.18	$0.00	8.6%	2.5%	5.0%	42.6%	0.0%	3.5%	0.3%	45.1M	-14.4K	-2.3M	4.89	82.73	581	2,842	113,679	164,729
2013-10-14	$92.32	$92.00	8.8%	2.5%	4.7%	44.2%	9.5%	3.3%	-0.1%	41.6M	-15.6M	-2.3M	0.81	68.63	1,690	1,366	113,603	166,286
2013-10-15	$92.29	$92.00	8.8%	2.5%	4.5%	43.7%	14.2%	2.9%	-0.3%	44.0M	-16.2M	-2.3M	139.54	70.65	134	18,699	115,103	167,283
2013-10-16	$92.78	$92.00	7.9%	2.3%	3.5%	36.5%	11.3%	3.5%	0.5%	55.2M	-101.2M	-2.2M	0.88	76.38	8,634	7,572	115,173	185,588
2013-10-17	$93.23	$92.00	7.2%	2.1%	3.7%	30.8%	9.0%	2.5%	-0.3%	57.3M	-171.4M	-2.2M	12.18	73.11	1,445	17,595	114,304	182,939
2013-10-18	$93.42	$92.00	7.0%	2.0%	3.7%	29.2%	8.8%	3.0%	0.2%	53.5M	-257.2M	-2.2M	0.61	72.79	5,659	3,445	115,126	199,121
2013-10-21	$93.21	$93.00	7.0%	2.0%	3.9%	29.1%	7.3%	2.6%	0.3%	33.8M	-41.4M	-2.4M	1.07	77.77	24,134	25,894	98,862	143,959
2013-10-22	$93.49	$93.00	6.8%	1.9%	3.8%	27.7%	7.4%	2.4%	0.8%	54.1M	-98.2M	-2.8M	0.15	79.49	7,296	1,121	122,434	157,288
2013-10-23	$93.57	$93.00	6.5%	1.9%	3.7%	24.9%	0.0%	2.5%	0.9%	53.6M	-104.1M	-2.8M	0.06	80.56	11,179	664	123,741	166,092
2013-10-24	$93.60	$93.00	6.8%	2.0%	3.7%	27.6%	7.2%	2.6%	-0.3%	63.1M	-146.6M	-3.0M	0.12	82.61	5,948	739	133,739	166,613
2013-10-25	$93.63	$93.00	6.7%	1.9%	3.6%	26.5%	0.0%	2.6%	0.2%	70.3M	-173.7M	-3.3M	0.32	47.80	1,298	417	138,604	166,926
2013-10-28	$93.61	$94.00	6.8%	1.9%	3.4%	27.1%	0.0%	2.6%	0.1%	53.3M	-135.1M	-3.2M	0.07	55.43	6,259	410	136,246	166,412
2013-10-29	$93.76	$94.00	6.3%	1.8%	3.3%	23.8%	0.0%	2.4%	0.5%	59.4M	-197.7M	-3.3M	31.42	58.17	566	17,786	142,209	166,725
2013-10-30	$93.38	$94.00	7.0%	2.0%	3.8%	29.5%	7.3%	3.3%	1.0%	44.5M	-71.6M	-3.3M	0.25	12.73	7,015	1,776	142,369	176,019
2013-10-31	$93.43	$95.50	6.7%	1.9%	3.8%	26.8%	10.2%	4.2%	0.2%	55.6M	-199.7M	-2.9M	0.21	48.01	13,507	2,836	148,563	175,547