HYG Options History — February 2015

In February 2015, HYG traded between $90.21 and $91.89. ATM implied volatility averaged 7.8%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.8% (HV 20d: 5.0%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.78.

Notable Days

2015-02-26: Highest Volume — 161,780 contracts
2015-02-05: Largest IV drop — 9.6% change
2015-02-02: Highest IV Rank — 55.1%
2015-02-02: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.13	$90.21	$91.89	$90.21	$91.85
Max Pain	$89.05	$89.00	$90.00	$89.00	$89.00
ATM IV	7.8%	6.6%	9.3%	9.3%	7.0%
Expected Move	2.2%	1.9%	2.6%	2.6%	1.9%
HV 20d	5.0%	4.0%	6.8%	6.8%	4.0%
HV 60d	8.5%	7.7%	8.6%	8.4%	7.7%
IV Rank	42.2%	32.0%	55.1%	55.1%	35.6%
IV Percentile	62.8%	46.0%	84.9%	84.9%	49.6%
Term Structure	-0.0%	-0.8%	1.4%	-0.1%	0.7%
VWIV	9.8%	5.8%	12.1%	8.7%	12.1%
Skew 25d	2.9%	1.5%	3.8%	3.8%	1.9%
Skew 10d	6.6%	4.4%	9.6%	9.6%	5.6%
Call IV 25d	6.9%	5.8%	8.0%	8.0%	6.5%
Put IV 25d	9.9%	7.7%	11.8%	11.8%	8.4%
Bid-Ask Spread %	32.16	20.15	67.77	51.90	23.67
Gamma HHI	0.22	0.16	0.28	0.16	0.21
Net GEX	103.7M	22.9M	166.4M	22.9M	122.7M
Net DEX	-405.8M	-618.2M	-62.8M	-62.8M	-515.2M
Net VEX	-3.0M	-3.7M	-2.4M	-3.5M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.15	5.22	4.60	0.55
Total Volume	57,066.684	2,272	161,780	2,272	115,490
Total OI	446,041	380,734	508,030	429,649	446,387

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
2015-02-02	$90.21	$89.00	9.3%	2.6%	6.8%	55.1%	8.7%	3.8%	-0.1%	22.9M	-62.8M	-3.5M	4.60	51.90	406	1,866	155,051	274,598
2015-02-03	$90.75	$89.00	9.0%	2.4%	6.1%	52.8%	7.4%	2.8%	-0.5%	56.0M	-278.9M	-3.5M	1.27	27.00	20,815	26,456	156,827	276,363
2015-02-04	$90.41	$89.00	8.6%	2.4%	6.0%	49.4%	9.5%	3.4%	-0.2%	57.2M	-212.2M	-3.7M	1.12	67.77	21,682	24,285	165,441	291,733
2015-02-05	$90.87	$89.00	7.8%	2.2%	5.9%	42.2%	10.4%	3.1%	-0.0%	99.9M	-445.3M	-3.1M	2.99	30.90	12,147	36,283	174,743	288,102
2015-02-06	$90.91	$89.00	8.0%	2.2%	5.5%	43.8%	9.5%	3.5%	0.1%	107.2M	-437.7M	-3.2M	4.10	25.65	8,696	35,641	168,540	274,937
2015-02-09	$90.71	$89.00	8.6%	2.3%	5.3%	49.3%	10.2%	3.4%	-0.5%	107.1M	-385.2M	-3.4M	2.50	23.82	18,706	46,716	170,817	274,417
2015-02-10	$90.96	$89.00	7.9%	2.4%	5.3%	43.0%	11.2%	3.1%	0.2%	112.4M	-469.7M	-2.8M	5.22	24.76	8,836	46,115	162,016	272,132
2015-02-11	$90.99	$89.00	7.8%	2.3%	5.3%	42.3%	11.8%	3.3%	0.0%	122.3M	-456.9M	-2.9M	1.94	44.18	8,960	17,349	163,705	282,738
2015-02-12	$91.00	$89.00	7.8%	2.3%	5.2%	42.4%	9.5%	3.0%	-0.0%	100.6M	-419.9M	-3.1M	2.59	23.09	7,566	19,605	163,501	283,129
2015-02-13	$91.11	$89.00	7.4%	2.2%	4.7%	38.6%	10.2%	2.8%	0.5%	124.3M	-499.4M	-2.7M	1.82	22.04	34,548	62,948	164,079	284,503
2015-02-17	$91.06	$89.00	7.7%	2.2%	4.7%	40.9%	9.0%	2.8%	-0.2%	122.1M	-506.1M	-3.4M	0.77	61.75	43,104	33,281	190,331	317,699
2015-02-18	$91.34	$89.00	8.4%	2.4%	4.6%	47.1%	11.5%	3.0%	-0.8%	126.2M	-618.2M	-2.7M	1.40	42.31	30,238	42,251	189,104	311,519
2015-02-19	$91.16	$89.00	7.7%	2.2%	4.4%	41.3%	8.8%	2.9%	-0.0%	114.2M	-467.2M	-3.1M	0.22	21.97	3,552	768	189,803	317,002
2015-02-20	$91.41	$89.00	7.2%	2.1%	4.5%	37.0%	10.0%	3.3%	0.2%	166.4M	-580.4M	-2.4M	0.15	21.67	45,553	6,907	191,426	309,869
2015-02-23	$91.42	$89.00	7.3%	2.0%	4.5%	38.0%	9.5%	2.5%	-0.3%	97.4M	-305.3M	-2.8M	0.85	30.82	23,806	20,154	165,882	228,618
2015-02-24	$91.54	$89.00	7.1%	1.9%	4.3%	36.0%	9.5%	3.1%	-0.5%	115.0M	-357.7M	-2.8M	0.54	20.15	36,465	19,741	166,400	229,060
2015-02-25	$91.89	$89.00	6.6%	1.9%	4.5%	32.0%	5.8%	1.5%	-0.6%	106.3M	-420.6M	-2.6M	1.08	22.42	19,975	21,576	163,428	230,145
2015-02-26	$91.86	$90.00	6.9%	1.9%	4.2%	34.3%	12.0%	2.5%	1.4%	90.1M	-270.7M	-2.4M	0.17	25.14	138,771	23,009	146,911	233,823
2015-02-27	$91.85	$89.00	7.0%	1.9%	4.0%	35.6%	12.1%	1.9%	0.7%	122.7M	-515.2M	-3.4M	0.55	23.67	74,510	40,980	211,190	235,197