HYG Options History — February 2014

In February 2014, HYG traded between $92.51 and $94.93. ATM implied volatility averaged 6.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.5% (HV 20d: 4.9%). Max pain ranged from $91.00 to $94.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 6.61.

Notable Days

2014-02-28: Highest Volume — 120,947 contracts
2014-02-07: Largest IV drop — 13.4% change
2014-02-04: Highest IV Rank — 40.7%
2014-02-18: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.78	$92.51	$94.93	$92.51	$94.93
Max Pain	$92.53	$91.00	$94.00	$91.00	$94.00
ATM IV	6.4%	5.0%	8.4%	8.2%	5.1%
Expected Move	2.4%	1.7%	3.1%	1.9%	2.6%
HV 20d	4.9%	4.3%	5.3%	4.7%	4.3%
HV 60d	3.8%	3.7%	3.9%	3.8%	3.7%
IV Rank	23.8%	12.1%	40.7%	38.8%	13.1%
IV Percentile	34.4%	8.3%	69.8%	68.7%	10.7%
Term Structure	0.0%	-0.9%	0.7%	-0.5%	0.7%
VWIV	10.0%	4.4%	15.1%	11.4%	4.4%
Skew 25d	2.9%	2.3%	4.2%	3.2%	3.0%
Skew 10d	6.7%	4.6%	9.8%	8.8%	5.0%
Call IV 25d	5.6%	4.1%	8.0%	8.0%	4.1%
Put IV 25d	8.5%	6.7%	11.6%	11.2%	7.1%
Bid-Ask Spread %	25.29	17.57	39.57	33.88	28.66
Gamma HHI	0.27	0.16	0.39	0.16	0.29
Net GEX	104.2M	-103.7M	298.9M	-90.9M	298.9M
Net DEX	-195.3M	-897.2M	462.4M	462.4M	-897.2M
Net VEX	-3.7M	-4.4M	-2.9M	-4.2M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.61	0.05	26.98	6.35	0.05
Total Volume	24,643.053	1,512	120,947	40,669	120,947
Total OI	433,865	378,144	484,954	378,144	484,954

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
2014-02-03	$92.51	$91.00	8.2%	1.9%	4.7%	38.8%	11.4%	3.2%	-0.5%	-90.9M	462.4M	-4.2M	6.35	33.88	5,531	35,138	140,174	237,970
2014-02-04	$92.62	$91.00	8.4%	1.8%	4.7%	40.7%	10.7%	4.2%	-0.8%	-98.2M	426.2M	-4.4M	7.28	30.80	367	2,670	140,668	254,319
2014-02-05	$92.62	$91.00	8.3%	2.1%	4.7%	39.6%	11.9%	3.9%	-0.6%	-103.7M	420.0M	-4.2M	4.24	39.57	4,300	18,228	140,916	256,178
2014-02-06	$92.95	$91.00	8.0%	2.7%	4.9%	37.3%	10.8%	3.6%	-0.6%	-98.9M	341.3M	-4.0M	6.36	25.50	2,301	14,625	145,144	272,746
2014-02-07	$93.42	$92.00	6.9%	3.1%	5.2%	28.4%	11.0%	3.0%	-0.3%	-9.9M	79.1M	-3.5M	0.29	25.83	24,649	7,088	147,202	263,782
2014-02-10	$93.48	$92.00	6.7%	2.3%	5.0%	26.7%	10.3%	2.9%	0.3%	35.2M	-52.7M	-3.9M	10.96	19.78	180	1,972	167,550	263,362
2014-02-11	$93.64	$92.00	6.6%	2.5%	5.1%	25.5%	7.2%	3.0%	-0.9%	73.6M	-108.6M	-3.7M	5.60	25.87	4,154	23,266	167,711	265,137
2014-02-12	$93.49	$92.00	6.5%	2.4%	5.1%	24.7%	0.0%	2.8%	0.6%	36.2M	-21.4M	-4.1M	26.98	18.63	125	3,373	166,903	277,481
2014-02-13	$93.76	$92.00	6.2%	2.4%	5.1%	22.6%	7.9%	3.0%	0.2%	86.5M	-161.9M	-3.6M	14.12	22.43	100	1,412	167,018	279,839
2014-02-14	$93.91	$92.00	5.7%	2.5%	5.2%	18.2%	9.9%	2.3%	-0.4%	128.0M	-229.3M	-3.7M	19.26	22.12	655	12,614	167,184	279,899
2014-02-18	$94.04	$92.00	6.0%	3.1%	5.2%	20.8%	14.0%	2.3%	0.1%	175.2M	-333.4M	-3.5M	1.03	18.61	2,649	2,727	167,019	274,699
2014-02-19	$93.80	$92.00	5.9%	2.5%	5.2%	19.8%	8.7%	2.4%	0.1%	154.6M	-230.6M	-3.5M	0.23	28.18	40,089	9,333	167,996	275,670
2014-02-20	$94.09	$94.00	5.7%	2.2%	5.3%	18.1%	0.0%	2.9%	0.6%	259.1M	-400.1M	-3.4M	0.11	31.49	22,058	2,453	179,359	277,616
2014-02-21	$94.17	$94.00	5.8%	2.5%	5.3%	19.4%	8.8%	2.7%	0.3%	259.1M	-504.3M	-3.7M	0.88	26.05	4,464	3,918	198,613	279,357
2014-02-24	$94.38	$94.00	5.3%	2.3%	4.7%	14.8%	15.1%	2.9%	0.5%	199.9M	-503.5M	-3.6M	15.47	20.27	1,107	17,129	184,822	214,227
2014-02-25	$94.49	$94.00	5.5%	1.7%	4.7%	16.4%	11.2%	2.8%	0.2%	213.3M	-558.8M	-3.5M	5.68	17.57	2,235	12,697	206,029	225,181
2014-02-26	$94.65	$94.00	5.3%	2.2%	4.5%	14.9%	8.0%	2.6%	0.6%	210.8M	-636.1M	-3.2M	0.21	26.26	16,697	3,583	207,870	236,955
2014-02-27	$94.83	$94.00	5.0%	2.3%	4.3%	12.1%	8.1%	2.3%	0.1%	251.0M	-802.2M	-2.9M	0.57	19.05	27,651	15,733	224,447	237,438
2014-02-28	$94.93	$94.00	5.1%	2.6%	4.3%	13.1%	4.4%	3.0%	0.7%	298.9M	-897.2M	-3.2M	0.05	28.66	115,198	5,749	243,512	241,442