HYG Options History — November 2013

In November 2013, HYG traded between $92.42 and $93.42. ATM implied volatility averaged 7.0%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.5% (HV 20d: 4.4%). Max pain ranged from $86.00 to $95.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.21.

Notable Days

2013-11-27: Highest Volume — 58,538 contracts
2013-11-13: Largest IV drop — 9.6% change
2013-11-04: Highest IV Rank — 35.7%
2013-11-12: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.99	$92.42	$93.42	$92.82	$93.42
Max Pain	$93.71	$86.00	$95.50	$95.50	$94.00
ATM IV	7.0%	6.2%	7.8%	7.4%	6.9%
Expected Move	2.9%	2.1%	3.7%	2.1%	2.9%
HV 20d	4.4%	4.2%	4.8%	4.6%	4.2%
HV 60d	5.4%	4.3%	6.0%	5.9%	4.3%
IV Rank	28.9%	22.1%	35.7%	32.2%	28.0%
IV Percentile	44.6%	28.2%	57.9%	50.8%	47.2%
Term Structure	0.1%	-0.6%	1.0%	-0.0%	-0.3%
VWIV	11.6%	6.6%	15.9%	6.6%	13.8%
Skew 25d	2.4%	1.8%	3.0%	1.9%	2.5%
Skew 10d	5.7%	3.1%	7.6%	4.3%	6.0%
Call IV 25d	6.3%	5.6%	7.4%	6.6%	5.8%
Put IV 25d	8.6%	7.7%	10.0%	8.5%	8.3%
Bid-Ask Spread %	37.80	19.03	55.44	50.94	41.85
Gamma HHI	0.23	0.19	0.28	0.21	0.28
Net GEX	51.6M	7.1M	131.1M	39.1M	131.1M
Net DEX	-7.3M	-238.6M	148.8M	51.1M	-238.6M
Net VEX	-2.9M	-3.4M	-1.9M	-3.4M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.21	0.05	21.81	0.95	0.18
Total Volume	8,790.6	601	58,538	7,921	5,631
Total OI	323,788.5	306,493	358,458	318,754	358,458

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
2013-11-01	$92.82	$95.50	7.4%	2.1%	4.6%	32.2%	6.6%	1.9%	-0.0%	39.1M	51.1M	-3.4M	0.95	50.94	4,068	3,853	140,556	178,198
2013-11-04	$92.98	$93.00	7.8%	2.3%	4.5%	35.7%	8.1%	2.9%	-0.1%	42.3M	13.6M	-3.4M	0.06	55.44	3,852	229	142,705	172,444
2013-11-05	$92.73	$93.00	7.7%	2.2%	4.6%	35.0%	7.8%	2.6%	-0.6%	29.6M	61.9M	-3.3M	1.32	45.44	259	342	142,874	172,549
2013-11-06	$93.00	$93.00	7.6%	2.2%	4.7%	33.8%	0.0%	2.7%	-0.2%	45.0M	-41.5M	-3.0M	0.47	42.54	781	367	142,972	172,602
2013-11-07	$93.06	$93.00	7.6%	2.2%	4.5%	34.2%	0.0%	2.5%	-0.4%	50.5M	-26.5M	-3.1M	1.79	47.40	3,330	5,968	143,176	172,682
2013-11-08	$92.90	$93.00	7.6%	2.2%	4.5%	33.7%	7.5%	2.5%	-0.6%	42.8M	17.2M	-3.1M	1.69	35.43	555	939	146,322	177,245
2013-11-11	$92.55	$0.00	7.5%	2.3%	4.7%	33.0%	12.9%	2.2%	-0.2%	12.6M	140.0M	-2.8M	0.90	52.53	589	532	145,996	176,949
2013-11-12	$92.42	$86.00	7.7%	3.7%	4.8%	35.1%	14.9%	2.6%	-0.1%	7.1M	148.8M	-2.9M	3.65	27.55	194	709	146,204	176,916
2013-11-13	$92.77	$90.00	7.0%	3.6%	4.6%	29.0%	15.1%	2.7%	0.1%	28.1M	66.0M	-2.8M	1.20	26.95	1,212	1,453	146,280	177,468
2013-11-14	$93.04	$95.00	6.8%	3.7%	4.3%	27.3%	0.0%	3.0%	0.4%	53.8M	-3.3M	-2.7M	0.49	37.78	7,241	3,581	147,192	177,786
2013-11-15	$93.18	$95.00	6.8%	3.7%	4.3%	27.3%	14.5%	2.5%	0.1%	62.1M	-48.5M	-2.9M	0.15	37.35	6,824	1,012	152,075	181,030
2013-11-18	$92.91	$95.00	6.2%	3.5%	4.4%	22.5%	0.0%	2.4%	0.8%	54.8M	-9.4M	-2.4M	0.79	19.03	5,949	4,687	149,479	157,014
2013-11-19	$92.87	$95.00	6.4%	3.3%	4.2%	24.1%	10.2%	1.9%	0.6%	47.6M	8.8M	-2.9M	21.81	22.44	36	785	151,995	160,736
2013-11-20	$92.78	$95.00	6.3%	2.5%	4.2%	23.0%	10.3%	2.2%	0.6%	40.6M	57.6M	-2.7M	3.82	55.01	1,440	5,504	152,018	160,960
2013-11-21	$93.10	$95.00	6.2%	3.1%	4.4%	22.9%	0.0%	1.8%	0.1%	44.8M	15.8M	-2.7M	11.41	20.26	369	4,209	150,371	165,943
2013-11-22	$93.17	$95.00	6.2%	3.5%	4.4%	22.1%	0.0%	1.8%	1.0%	51.8M	-16.8M	-2.8M	0.97	32.72	10,919	10,559	150,528	169,721
2013-11-25	$93.31	$95.00	6.5%	3.1%	4.4%	24.9%	15.9%	2.4%	0.2%	76.8M	-77.4M	-2.8M	0.05	22.83	9,142	472	156,824	177,348
2013-11-26	$93.38	$95.00	6.7%	3.2%	4.4%	26.8%	15.1%	2.0%	0.8%	92.9M	-160.5M	-2.5M	3.07	38.85	2,379	7,303	162,960	177,094
2013-11-27	$93.32	$95.00	6.8%	2.3%	4.2%	27.1%	10.2%	2.5%	-0.1%	78.3M	-103.6M	-3.0M	9.52	43.58	5,563	52,975	162,590	179,510
2013-11-29	$93.42	$94.00	6.9%	2.9%	4.2%	28.0%	13.8%	2.5%	-0.3%	131.1M	-238.6M	-1.9M	0.18	41.85	4,778	853	164,812	193,646