HYG Options History — January 2014

In January 2014, HYG traded between $92.99 and $93.90. ATM implied volatility averaged 5.9%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.0% (HV 20d: 2.9%). Max pain ranged from $90.00 to $91.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 7.17.

Notable Days

2014-01-31: Highest Volume — 37,205 contracts
2014-01-24: Largest IV spike — 56.0% change
2014-01-29: Highest IV Rank — 30.6%
2014-01-09: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.39	$92.99	$93.90	$93.04	$93.25
Max Pain	$90.81	$90.00	$91.00	$90.00	$91.00
ATM IV	5.9%	4.2%	7.2%	6.1%	7.1%
Expected Move	2.3%	1.7%	3.1%	2.2%	1.9%
HV 20d	2.9%	2.4%	3.8%	3.1%	3.7%
HV 60d	3.6%	3.4%	3.8%	3.8%	3.5%
IV Rank	19.7%	6.2%	30.6%	21.9%	29.9%
IV Percentile	27.5%	1.6%	55.6%	29.4%	52.8%
Term Structure	0.0%	-0.8%	1.3%	1.1%	-0.1%
VWIV	10.9%	4.3%	15.6%	14.4%	9.5%
Skew 25d	2.8%	1.8%	4.0%	2.9%	2.4%
Skew 10d	5.8%	3.9%	9.6%	6.3%	3.9%
Call IV 25d	5.0%	3.6%	6.2%	5.0%	6.2%
Put IV 25d	7.8%	6.2%	9.9%	7.9%	8.7%
Bid-Ask Spread %	36.01	20.45	56.62	36.65	44.27
Gamma HHI	0.19	0.14	0.31	0.14	0.17
Net GEX	33.5M	-75.5M	150.3M	-5.2M	-75.5M
Net DEX	-3.8M	-292.4M	274.2M	68.2M	120.5M
Net VEX	-3.0M	-4.3M	-1.9M	-1.9M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.17	0.05	42.84	0.23	5.61
Total Volume	13,922.714	935	37,205	2,142	37,205
Total OI	299,586.762	232,061	372,704	232,061	372,704

Daily Data (21 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
2014-01-02	$93.04	$90.00	6.1%	2.2%	3.1%	21.9%	14.4%	2.9%	1.1%	-5.2M	68.2M	-1.9M	0.23	36.65	1,745	397	87,637	144,424
2014-01-03	$93.01	$90.00	5.9%	2.6%	2.9%	19.7%	9.0%	2.8%	1.3%	-3.8M	65.1M	-2.1M	1.42	30.93	2,815	4,009	88,443	144,707
2014-01-06	$93.21	$90.00	6.4%	2.1%	3.0%	24.5%	10.4%	2.3%	-0.2%	11.7M	15.3M	-1.9M	0.40	27.74	1,355	541	90,423	142,073
2014-01-07	$93.21	$90.00	6.3%	2.0%	2.8%	23.0%	10.2%	2.1%	-0.3%	21.0M	7.2M	-2.0M	0.43	34.15	12,045	5,173	91,671	142,362
2014-01-08	$93.15	$91.00	6.5%	2.0%	2.5%	24.7%	9.7%	1.9%	-0.6%	24.0M	-7.8M	-2.3M	0.62	39.95	15,388	9,467	103,466	147,212
2014-01-09	$93.29	$91.00	5.7%	3.1%	2.6%	18.7%	12.0%	2.3%	0.0%	39.8M	-51.0M	-2.6M	1.95	34.64	7,867	15,360	117,812	155,397
2014-01-10	$93.57	$91.00	5.4%	3.1%	2.5%	15.7%	13.8%	2.9%	-0.8%	150.3M	-121.9M	-2.4M	2.81	40.27	4,703	13,204	125,164	167,670
2014-01-13	$93.47	$91.00	5.5%	2.0%	2.4%	16.3%	4.3%	1.8%	-0.0%	63.2M	-136.1M	-2.5M	0.98	27.98	1,607	1,577	124,269	179,865
2014-01-14	$93.61	$91.00	5.4%	2.6%	2.4%	16.2%	10.0%	2.4%	-0.8%	71.8M	-194.3M	-2.2M	0.05	37.23	14,788	739	124,133	181,379
2014-01-15	$93.80	$91.00	5.3%	2.6%	2.5%	15.1%	15.3%	2.2%	-0.6%	74.6M	-221.3M	-2.7M	4.14	20.45	593	2,454	138,042	180,034
2014-01-16	$93.76	$91.00	4.8%	2.7%	2.5%	11.0%	0.0%	2.3%	-0.7%	77.6M	-153.2M	-3.0M	2.25	31.38	9,034	20,316	138,423	181,388
2014-01-17	$93.78	$91.00	5.1%	2.6%	2.4%	13.5%	15.6%	2.5%	-0.5%	80.4M	-126.6M	-3.3M	2.79	25.74	929	2,589	147,389	201,440
2014-01-21	$93.90	$91.00	4.8%	1.7%	2.4%	10.8%	15.1%	2.6%	0.6%	113.8M	-292.4M	-2.5M	30.17	32.81	30	905	134,334	145,792
2014-01-22	$93.76	$91.00	4.4%	1.9%	2.5%	7.9%	4.4%	3.4%	0.8%	77.8M	-125.1M	-3.2M	42.84	39.51	76	3,256	134,349	146,646
2014-01-23	$93.64	$91.00	4.2%	2.0%	2.6%	6.2%	11.8%	3.0%	1.3%	69.2M	-51.2M	-3.4M	4.40	42.91	5,108	22,472	134,352	149,819
2014-01-24	$93.02	$91.00	6.6%	2.5%	3.5%	25.8%	0.0%	4.0%	-0.2%	-4.1M	201.8M	-3.9M	11.11	55.43	2,217	24,635	139,228	171,008
2014-01-27	$92.99	$91.00	7.1%	1.9%	3.2%	29.6%	7.5%	3.5%	-0.2%	-25.4M	274.2M	-4.0M	3.78	32.52	5,816	21,973	140,302	191,234
2014-01-28	$93.40	$91.00	6.8%	2.0%	3.5%	27.3%	12.1%	3.9%	0.6%	3.4M	134.7M	-3.9M	2.81	38.18	1,082	3,038	145,736	210,870
2014-01-29	$93.12	$91.00	7.2%	2.0%	3.7%	30.6%	0.0%	3.7%	-0.3%	-27.5M	262.3M	-4.3M	31.43	56.62	364	11,441	146,633	213,242
2014-01-30	$93.28	$91.00	6.5%	2.7%	3.8%	24.7%	10.3%	3.6%	0.4%	-32.8M	250.9M	-4.3M	0.45	26.92	2,809	1,255	146,772	223,478
2014-01-31	$93.25	$91.00	7.1%	1.9%	3.7%	29.9%	9.5%	2.4%	-0.1%	-75.5M	120.5M	-3.7M	5.61	44.27	5,632	31,573	148,416	224,288