HYG Options History — November 2014

In November 2014, HYG traded between $91.13 and $92.56. ATM implied volatility averaged 7.7%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 2.0% (HV 20d: 5.7%). Max pain ranged from $92.00 to $97.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 4.42.

Notable Days

2014-11-03: Highest Volume — 88,351 contracts
2014-11-18: Largest IV drop — 10.9% change
2014-11-04: Highest IV Rank — 67.7%
2014-11-03: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.86	$91.13	$92.56	$92.34	$91.13
Max Pain	$94.89	$92.00	$97.00	$95.00	$94.00
ATM IV	7.7%	6.4%	9.3%	8.8%	6.9%
Expected Move	2.4%	2.1%	2.6%	2.6%	2.3%
HV 20d	5.7%	3.7%	8.5%	8.5%	5.2%
HV 60d	6.0%	5.9%	6.4%	6.0%	6.4%
IV Rank	50.2%	37.1%	67.7%	62.2%	42.3%
IV Percentile	76.4%	56.3%	96.4%	90.9%	63.5%
Term Structure	0.0%	-1.1%	0.9%	-0.2%	0.3%
VWIV	10.3%	8.2%	12.6%	11.0%	8.5%
Skew 25d	3.0%	0.9%	4.1%	3.0%	0.9%
Skew 10d	6.8%	1.9%	9.9%	9.9%	1.9%
Call IV 25d	6.8%	5.7%	8.4%	8.4%	6.1%
Put IV 25d	9.8%	6.9%	11.6%	11.4%	6.9%
Bid-Ask Spread %	58.19	37.67	68.55	61.10	68.55
Gamma HHI	0.20	0.14	0.32	0.16	0.32
Net GEX	-164.2M	-296.3M	-27.6M	-158.1M	-226.7M
Net DEX	805.7M	401.4M	1.36B	628.1M	726.9M
Net VEX	-3.8M	-5.3M	-2.0M	-5.2M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.42	1.40	7.79	4.90	4.82
Total Volume	55,130.789	6,684	88,351	88,351	16,585
Total OI	685,338.842	509,806	774,468	737,833	523,301

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
2014-11-03	$92.34	$95.00	8.8%	2.6%	8.5%	62.2%	11.0%	3.0%	-0.2%	-158.1M	628.1M	-5.2M	4.90	61.10	14,973	73,378	188,176	549,657
2014-11-04	$92.01	$95.00	9.3%	2.6%	8.5%	67.7%	12.2%	3.2%	-0.0%	-228.3M	840.1M	-5.3M	2.85	37.67	14,092	40,145	184,351	553,149
2014-11-05	$91.99	$95.00	9.1%	2.6%	8.3%	66.0%	12.6%	3.4%	0.3%	-256.6M	852.9M	-5.1M	3.62	37.92	12,304	44,569	180,052	552,653
2014-11-06	$92.27	$95.00	8.2%	2.5%	7.3%	56.0%	10.6%	3.5%	0.1%	-228.7M	660.4M	-4.5M	7.79	62.24	8,929	69,590	180,485	551,030
2014-11-07	$92.32	$95.00	8.1%	2.5%	7.0%	55.2%	10.5%	2.4%	-0.2%	-75.9M	585.2M	-4.5M	6.23	66.71	9,315	58,057	180,621	544,567
2014-11-10	$92.37	$95.00	7.8%	2.5%	6.2%	51.3%	9.6%	2.6%	0.5%	-41.1M	512.3M	-4.0M	5.10	63.78	8,642	44,085	179,812	517,026
2014-11-11	$92.56	$92.00	7.6%	2.2%	6.0%	50.1%	9.6%	3.1%	-1.1%	-27.6M	401.4M	-3.9M	5.44	64.05	8,579	46,668	174,314	521,174
2014-11-12	$92.31	$94.00	7.6%	2.5%	6.1%	49.6%	10.0%	3.1%	0.5%	-41.8M	521.0M	-3.9M	5.04	63.59	10,635	53,564	179,777	523,762
2014-11-13	$91.85	$94.00	7.4%	2.3%	6.1%	47.2%	12.2%	3.4%	-0.1%	-122.6M	771.6M	-4.0M	4.73	56.34	12,747	60,287	178,840	533,993
2014-11-14	$91.45	$94.00	7.7%	2.4%	5.5%	50.5%	10.7%	3.0%	0.9%	-194.0M	1.03B	-3.8M	4.47	41.56	4,983	22,283	180,500	541,122
2014-11-17	$91.44	$94.00	8.2%	2.4%	4.8%	56.0%	12.1%	4.1%	-0.4%	-247.5M	1.17B	-3.6M	4.00	54.85	12,419	49,668	184,277	549,816
2014-11-18	$91.40	$97.00	7.3%	2.4%	4.2%	46.5%	11.7%	3.7%	-0.4%	-245.7M	1.13B	-3.1M	5.48	60.83	12,631	69,200	184,773	547,615
2014-11-19	$91.24	$97.00	7.4%	2.2%	3.8%	47.1%	8.9%	4.0%	0.3%	-296.3M	1.36B	-3.1M	7.15	59.79	6,676	47,745	185,206	567,641
2014-11-20	$91.26	$97.00	7.2%	2.3%	3.7%	45.2%	8.6%	2.8%	-0.6%	-290.1M	1.20B	-3.1M	1.40	65.25	36,371	50,977	189,319	566,835
2014-11-21	$91.78	$95.00	6.4%	2.3%	4.2%	37.1%	8.2%	2.9%	0.3%	-132.0M	937.1M	-3.2M	1.96	61.33	24,725	48,525	203,880	570,588
2014-11-24	$91.74	$95.00	6.9%	2.1%	4.0%	42.5%	10.2%	2.8%	0.3%	-125.0M	781.2M	-3.2M	3.46	60.20	3,624	12,548	144,233	365,573
2014-11-25	$91.94	$95.00	6.6%	2.1%	4.0%	39.2%	9.1%	2.5%	0.3%	-109.1M	681.8M	-3.1M	3.22	59.42	7,406	23,876	147,203	374,372
2014-11-26	$92.01	$95.00	7.0%	2.2%	4.0%	42.9%	8.3%	2.5%	-0.0%	-72.6M	514.7M	-3.2M	2.34	60.33	1,999	4,685	148,053	373,692
2014-11-28	$91.13	$94.00	6.9%	2.3%	5.2%	42.3%	8.5%	0.9%	0.3%	-226.7M	726.9M	-2.0M	4.82	68.55	2,851	13,734	146,643	376,658