HYG Options History — July 2014

In July 2014, HYG traded between $92.48 and $94.87. ATM implied volatility averaged 6.0%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 2.7% (HV 20d: 3.3%). Max pain ranged from $84.00 to $101.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 102.86.

Notable Days

2014-07-31: Highest Volume — 93,040 contracts
2014-07-17: Largest IV spike — 32.8% change
2014-07-31: Highest IV Rank — 52.9%
2014-07-11: Largest Expected Move — 2.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.11	$92.48	$94.87	$94.81	$92.48
Max Pain	$96.38	$84.00	$101.00	$95.00	$100.00
ATM IV	6.0%	4.5%	7.8%	4.5%	7.8%
Expected Move	2.0%	1.5%	2.5%	2.2%	1.9%
HV 20d	3.3%	2.5%	4.7%	2.8%	4.7%
HV 60d	3.2%	2.9%	3.8%	3.1%	3.8%
IV Rank	32.9%	16.6%	52.9%	16.6%	52.9%
IV Percentile	41.6%	4.4%	78.2%	4.4%	78.2%
Term Structure	-0.0%	-1.5%	1.1%	0.2%	-0.5%
VWIV	10.1%	6.3%	15.3%	9.2%	15.3%
Skew 25d	3.6%	2.3%	6.0%	4.3%	3.3%
Skew 10d	5.9%	1.9%	8.7%	5.7%	8.6%
Call IV 25d	4.4%	2.1%	7.2%	2.1%	7.2%
Put IV 25d	8.0%	4.8%	10.5%	6.4%	10.5%
Bid-Ask Spread %	53.01	26.00	81.24	49.69	50.15
Gamma HHI	0.21	0.17	0.26	0.17	0.21
Net GEX	-209.2M	-387.6M	-82.2M	-82.2M	-387.6M
Net DEX	938.5M	316.5M	1.71B	316.5M	1.71B
Net VEX	-3.6M	-4.3M	-2.1M	-2.1M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	102.86	0.16	1127.68	95.69	3.19
Total Volume	21,186.955	174	93,040	36,453	93,040
Total OI	393,845.227	279,949	470,453	279,949	470,453

Daily Data (22 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
2014-07-01	$94.81	$95.00	4.5%	2.2%	2.8%	16.6%	9.2%	4.3%	0.2%	-82.2M	316.5M	-2.1M	95.69	49.69	377	36,076	37,945	242,004
2014-07-02	$94.87	$95.00	4.9%	2.1%	2.8%	20.5%	8.7%	2.4%	-0.2%	-107.9M	393.2M	-2.3M	3.49	45.92	4,061	14,189	38,254	262,998
2014-07-03	$94.73	$95.00	5.1%	2.1%	2.8%	22.7%	8.5%	2.3%	-0.4%	-117.5M	461.4M	-2.5M	87.13	53.42	209	18,211	42,276	281,593
2014-07-07	$94.66	$95.00	5.3%	2.4%	2.6%	25.0%	14.3%	3.2%	-0.9%	-141.1M	520.4M	-2.3M	1127.68	62.97	25	28,192	42,394	289,944
2014-07-08	$94.68	$95.00	5.7%	2.1%	2.5%	29.7%	7.2%	3.0%	-1.5%	-145.1M	585.3M	-2.9M	598.20	56.74	56	33,499	42,400	317,522
2014-07-09	$94.61	$95.00	5.4%	1.7%	2.5%	26.8%	13.5%	2.6%	-0.9%	-176.6M	714.5M	-3.6M	167.13	81.24	166	27,744	42,455	339,621
2014-07-10	$94.32	$95.00	5.9%	2.1%	2.7%	32.1%	7.3%	4.5%	0.4%	-217.8M	917.5M	-4.0M	2.85	61.41	6,779	19,353	42,428	363,566
2014-07-11	$94.48	$95.00	5.8%	2.5%	2.8%	30.5%	10.8%	3.4%	1.0%	-222.0M	882.0M	-3.9M	11.62	50.16	141	1,638	44,956	367,296
2014-07-14	$94.45	$95.00	6.0%	2.0%	2.8%	33.4%	14.2%	3.5%	-0.2%	-211.3M	847.6M	-3.8M	1.72	59.56	64	110	46,281	367,121
2014-07-15	$94.30	$95.00	6.2%	2.1%	2.8%	35.3%	6.7%	3.8%	-0.5%	-213.0M	912.2M	-3.8M	86.64	57.71	131	11,350	46,341	366,689
2014-07-16	$94.15	$95.00	5.8%	1.7%	2.9%	30.5%	10.4%	4.5%	0.7%	-305.4M	1.03B	-4.0M	0.91	53.23	7,787	7,092	46,291	374,983
2014-07-17	$93.49	$95.00	7.7%	2.5%	3.2%	51.0%	7.9%	3.9%	-0.9%	-247.6M	1.17B	-3.8M	11.81	50.26	1,980	23,393	53,611	368,328
2014-07-18	$93.88	$95.00	5.6%	2.4%	3.6%	28.2%	10.3%	3.1%	0.8%	-252.3M	943.0M	-2.9M	16.82	49.26	514	8,645	55,047	382,143
2014-07-21	$93.72	$0.00	6.2%	1.6%	3.6%	35.3%	13.8%	3.4%	0.1%	-220.6M	1.14B	-4.2M	3.32	61.97	1,233	4,094	51,987	344,548
2014-07-22	$93.85	$84.00	5.7%	1.9%	3.7%	30.1%	9.1%	3.7%	0.2%	-222.2M	1.14B	-4.3M	16.65	59.70	227	3,780	53,167	347,426
2014-07-23	$94.03	$100.00	5.7%	1.8%	3.8%	30.2%	9.3%	3.8%	0.1%	-228.6M	1.04B	-3.8M	0.16	58.65	9,713	1,558	53,338	350,570
2014-07-24	$94.20	$101.00	6.0%	1.9%	3.8%	32.8%	8.7%	3.1%	0.3%	-189.6M	976.7M	-4.1M	12.33	55.80	1,069	13,185	56,718	351,208
2014-07-25	$94.04	$101.00	6.4%	1.9%	3.8%	37.5%	0.0%	6.0%	0.4%	-178.5M	1.06B	-4.2M	3.23	42.21	636	2,053	56,834	361,539
2014-07-28	$93.76	$101.00	6.4%	1.5%	3.9%	37.0%	6.3%	3.4%	-0.0%	-227.7M	1.18B	-4.2M	8.11	26.00	1,406	11,407	52,768	358,544
2014-07-29	$93.63	$101.00	6.4%	1.5%	3.9%	37.5%	0.0%	3.5%	1.1%	-247.1M	1.24B	-4.2M	2.09	29.80	2,800	5,862	53,930	367,782
2014-07-30	$93.24	$101.00	7.4%	2.2%	3.9%	48.1%	10.5%	3.9%	0.6%	-260.2M	1.46B	-4.0M	2.19	50.36	19,535	42,733	56,104	373,192
2014-07-31	$92.48	$100.00	7.8%	1.9%	4.7%	52.9%	15.3%	3.3%	-0.5%	-387.6M	1.71B	-4.3M	3.19	50.15	22,204	70,836	65,097	405,356