HYG Options History — April 2014

In April 2014, HYG traded between $93.78 and $94.45. ATM implied volatility averaged 5.8%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 2.4% (HV 20d: 3.4%). Max pain ranged from $94.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 33.31.

Notable Days

2014-04-14: Highest Volume — 47,195 contracts
2014-04-30: Largest IV drop — 25.9% change
2014-04-11: Highest IV Rank — 26.8%
2014-04-30: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.19	$93.78	$94.45	$94.12	$94.34
Max Pain	$94.10	$94.00	$95.00	$95.00	$94.00
ATM IV	5.8%	3.5%	7.1%	5.1%	3.5%
Expected Move	2.4%	1.6%	3.4%	2.9%	3.4%
HV 20d	3.4%	2.9%	4.0%	3.6%	2.9%
HV 60d	4.1%	3.5%	4.3%	4.1%	3.5%
IV Rank	16.8%	0.0%	26.8%	13.1%	0.0%
IV Percentile	24.8%	0.0%	52.4%	6.7%	0.0%
Term Structure	0.1%	-0.4%	0.7%	0.3%	-0.1%
VWIV	8.7%	3.1%	13.0%	11.3%	4.2%
Skew 25d	2.9%	0.9%	3.8%	2.0%	0.9%
Skew 10d	5.7%	2.4%	8.3%	4.9%	2.4%
Call IV 25d	4.9%	4.0%	6.3%	4.7%	4.1%
Put IV 25d	7.8%	4.9%	10.0%	6.7%	4.9%
Bid-Ask Spread %	33.33	17.49	59.43	31.72	52.68
Gamma HHI	0.18	0.15	0.25	0.17	0.21
Net GEX	-171.7M	-265.1M	-106.6M	-170.0M	-125.6M
Net DEX	764.7M	341.5M	1.29B	617.8M	341.5M
Net VEX	-2.7M	-3.4M	-1.0M	-2.4M	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	33.31	0.05	446.87	1.14	0.05
Total Volume	16,396.238	2,398	47,195	37,329	12,366
Total OI	382,199	345,728	472,660	350,223	388,072

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
2014-04-01	$94.12	$95.00	5.1%	2.9%	3.6%	13.1%	11.3%	2.0%	0.3%	-170.0M	617.8M	-2.4M	1.14	31.72	17,404	19,925	83,169	267,054
2014-04-02	$94.02	$95.00	5.0%	2.9%	3.6%	12.7%	7.3%	1.9%	0.2%	-168.3M	591.5M	-2.5M	5.23	23.42	385	2,013	89,550	274,887
2014-04-03	$94.06	$94.00	5.4%	2.9%	3.6%	15.9%	13.0%	2.3%	0.1%	-174.0M	613.4M	-2.6M	0.81	24.84	2,558	2,060	79,830	265,898
2014-04-04	$94.28	$94.00	5.5%	1.6%	3.4%	16.4%	5.3%	2.5%	0.0%	-152.4M	522.6M	-2.1M	7.10	32.92	1,192	8,459	79,882	267,940
2014-04-07	$94.08	$94.00	6.0%	2.4%	3.5%	21.2%	0.0%	2.9%	-0.2%	-160.4M	661.7M	-2.5M	19.82	17.49	428	8,483	80,630	270,376
2014-04-08	$94.30	$94.00	5.7%	2.9%	3.6%	18.0%	6.6%	2.8%	0.6%	-122.1M	554.6M	-2.4M	15.01	30.80	1,414	21,228	83,520	277,614
2014-04-09	$94.45	$94.00	5.9%	2.8%	3.5%	19.7%	0.0%	3.0%	0.4%	-106.6M	504.6M	-2.1M	33.95	32.15	646	21,934	82,939	289,475
2014-04-10	$94.18	$94.00	7.1%	2.9%	3.6%	26.6%	12.8%	3.3%	0.0%	-182.4M	779.5M	-3.1M	14.61	20.81	959	14,007	83,066	309,998
2014-04-11	$93.78	$94.00	7.1%	2.1%	3.9%	26.8%	9.4%	3.8%	-0.1%	-238.6M	978.8M	-3.3M	7.60	24.16	4,406	33,492	82,951	317,036
2014-04-14	$94.08	$94.00	7.0%	1.7%	4.0%	25.8%	0.0%	3.7%	-0.3%	-265.1M	900.3M	-3.3M	37.72	18.83	1,219	45,976	84,117	340,802
2014-04-15	$94.18	$94.00	7.1%	2.2%	3.9%	26.5%	8.1%	3.4%	-0.1%	-226.0M	1.10B	-2.5M	9.18	22.94	403	3,700	83,278	382,945
2014-04-16	$94.23	$94.00	6.8%	1.7%	3.4%	23.6%	10.5%	3.3%	-0.4%	-212.0M	1.01B	-3.3M	59.97	30.46	606	36,342	82,679	357,615
2014-04-17	$94.12	$94.00	6.3%	2.9%	3.2%	19.5%	12.1%	3.4%	0.3%	-252.4M	1.29B	-3.4M	5.58	28.58	3,621	20,223	82,915	389,745
2014-04-21	$94.12	$94.00	5.9%	2.9%	3.2%	16.2%	6.6%	3.4%	0.5%	-152.5M	834.2M	-3.3M	0.71	23.94	1,941	1,374	56,814	297,708
2014-04-22	$94.22	$94.00	5.8%	2.5%	3.2%	15.2%	8.4%	3.0%	0.2%	-150.1M	789.8M	-3.0M	11.26	31.88	274	3,084	55,781	297,659
2014-04-23	$94.25	$94.00	5.5%	1.7%	3.2%	13.0%	0.0%	3.3%	-0.1%	-148.1M	813.6M	-3.2M	5.55	52.88	766	4,255	57,214	300,294
2014-04-24	$94.27	$94.00	5.2%	1.6%	3.2%	9.8%	3.1%	2.9%	0.2%	-149.5M	819.5M	-3.2M	446.87	59.43	23	10,278	57,694	303,812
2014-04-25	$94.24	$94.00	5.5%	2.3%	3.1%	13.2%	13.0%	2.6%	0.1%	-148.5M	779.9M	-2.8M	3.29	48.21	899	2,961	57,695	311,943
2014-04-28	$94.22	$94.00	5.5%	1.7%	3.1%	12.7%	0.0%	2.9%	0.6%	-153.7M	833.0M	-3.1M	13.01	45.28	1,549	20,155	57,197	310,750
2014-04-29	$94.36	$94.00	4.8%	2.2%	3.1%	6.5%	7.4%	2.8%	0.7%	-147.7M	714.0M	-2.3M	1.10	46.58	5,381	5,932	59,131	324,504
2014-04-30	$94.34	$94.00	3.5%	3.4%	2.9%	0.0%	4.2%	0.9%	-0.1%	-125.6M	341.5M	-1.0M	0.05	52.68	11,747	619	64,255	323,817