HYG Options History — February 2016

In February 2016, HYG traded between $75.71 and $80.06. ATM implied volatility averaged 13.5%, placing in the 53.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.6% (HV 20d: 11.8%). Max pain ranged from $79.00 to $80.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.30.

Notable Days

2016-02-09: Highest Volume — 213,675 contracts
2016-02-19: Largest IV drop — 15.8% change
2016-02-11: Highest IV Rank — 77.6%
2016-02-08: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.66	$75.71	$80.06	$78.46	$80.06
Max Pain	$79.75	$79.00	$80.00	$79.00	$79.00
ATM IV	13.5%	10.5%	16.9%	13.8%	10.9%
Expected Move	3.8%	2.9%	4.9%	3.7%	3.2%
HV 20d	11.8%	10.3%	13.1%	11.7%	11.2%
HV 60d	11.5%	10.9%	12.2%	10.9%	12.2%
IV Rank	53.5%	32.3%	77.6%	55.9%	35.3%
IV Percentile	87.2%	69.4%	98.8%	95.2%	72.2%
Term Structure	0.2%	-0.6%	1.0%	-0.1%	0.3%
VWIV	14.3%	10.7%	17.6%	13.7%	12.5%
Skew 25d	3.7%	2.8%	5.1%	3.1%	3.6%
Skew 10d	7.3%	5.3%	9.2%	7.3%	6.0%
Call IV 25d	12.2%	9.4%	15.6%	12.7%	9.9%
Put IV 25d	15.9%	12.8%	19.9%	15.8%	13.5%
Bid-Ask Spread %	25.25	8.26	75.40	9.31	75.40
Gamma HHI	0.12	0.10	0.16	0.10	0.16
Net GEX	-144.0M	-304.6M	182.1M	-17.6M	182.1M
Net DEX	1.73B	74.9M	2.94B	973.9M	74.9M
Net VEX	-8.4M	-10.0M	-7.1M	-9.9M	-8.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.47	3.51	0.76	1.32
Total Volume	109,599.95	57,150	213,675	60,044	151,796
Total OI	1,428,929.3	1,336,478	1,610,760	1,336,478	1,458,778

Daily Data (20 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
2016-02-01	$78.46	$79.00	13.8%	3.7%	11.7%	55.9%	13.7%	3.1%	-0.1%	-17.6M	973.9M	-9.9M	0.76	9.31	34,031	26,013	616,024	720,454
2016-02-02	$77.86	$79.00	14.2%	4.0%	11.8%	58.4%	14.6%	3.3%	-0.5%	-73.9M	1.42B	-9.9M	1.26	8.26	29,714	37,418	621,772	721,491
2016-02-03	$78.33	$79.00	13.8%	4.0%	12.1%	55.8%	14.6%	4.3%	-0.2%	-44.8M	1.18B	-9.8M	0.72	11.36	38,840	27,978	628,361	729,751
2016-02-04	$77.98	$80.00	14.6%	4.1%	12.1%	61.7%	15.0%	4.0%	-0.3%	-61.9M	1.38B	-10.0M	0.50	21.21	38,020	19,130	642,145	732,137
2016-02-05	$77.30	$80.00	14.9%	4.5%	12.3%	63.5%	15.3%	3.3%	-0.2%	-121.0M	1.79B	-9.5M	0.53	19.35	44,911	23,597	648,329	733,619
2016-02-08	$76.48	$80.00	16.5%	4.9%	12.7%	75.0%	16.0%	4.5%	0.8%	-184.8M	2.30B	-8.6M	1.03	18.75	65,184	66,873	635,370	730,203
2016-02-09	$76.31	$80.00	16.2%	4.6%	12.7%	72.6%	17.6%	5.1%	-0.2%	-223.6M	2.43B	-8.2M	3.51	19.42	47,365	166,310	641,414	741,776
2016-02-10	$76.07	$80.00	15.8%	4.6%	12.6%	70.1%	16.4%	3.7%	0.1%	-262.4M	2.78B	-8.1M	1.91	18.63	26,841	51,311	665,398	790,546
2016-02-11	$75.71	$80.00	16.9%	4.8%	12.1%	77.6%	17.3%	4.3%	-0.3%	-255.6M	2.94B	-8.1M	3.34	20.47	26,146	87,358	665,679	795,714
2016-02-12	$76.73	$80.00	15.4%	4.4%	13.1%	67.1%	16.2%	4.7%	-0.2%	-254.4M	2.43B	-8.5M	1.98	21.92	29,137	57,785	675,752	834,266
2016-02-16	$76.79	$80.00	14.2%	4.1%	12.4%	58.8%	15.3%	4.1%	0.1%	-304.6M	2.56B	-7.4M	1.72	26.16	34,392	59,071	680,179	850,019
2016-02-17	$77.39	$80.00	13.5%	3.9%	12.6%	53.4%	14.2%	3.6%	0.2%	-250.1M	2.10B	-7.4M	1.30	25.32	56,293	72,953	669,644	835,046
2016-02-18	$77.47	$80.00	13.8%	4.0%	12.3%	55.4%	15.4%	3.2%	-0.6%	-232.2M	1.99B	-7.9M	1.66	25.52	57,281	95,301	673,921	873,785
2016-02-19	$77.58	$80.00	11.6%	3.2%	11.9%	40.1%	12.6%	2.8%	0.6%	-218.4M	2.00B	-7.7M	1.25	22.69	74,445	93,203	687,676	923,084
2016-02-22	$78.29	$80.00	10.7%	3.0%	11.2%	34.0%	12.0%	3.1%	0.8%	-146.9M	1.40B	-7.9M	0.69	34.20	65,225	44,808	546,089	812,368
2016-02-23	$78.25	$80.00	10.8%	3.1%	10.8%	34.5%	13.5%	3.9%	1.0%	-156.9M	1.45B	-7.4M	0.47	32.53	59,701	28,211	553,675	810,095
2016-02-24	$78.28	$80.00	10.5%	2.9%	10.3%	32.3%	10.7%	3.1%	0.9%	-161.9M	1.41B	-7.1M	0.61	30.44	64,961	39,836	559,550	813,861
2016-02-25	$78.68	$79.00	10.7%	2.9%	10.5%	34.0%	11.4%	3.3%	0.6%	-80.9M	1.13B	-7.7M	0.64	31.67	55,403	35,665	589,998	838,243
2016-02-26	$79.22	$80.00	10.7%	3.0%	10.6%	33.8%	11.2%	3.0%	0.4%	-9.8M	818.5M	-8.0M	0.85	32.35	86,168	73,324	585,345	847,029
2016-02-29	$80.06	$79.00	10.9%	3.2%	11.2%	35.3%	12.5%	3.6%	0.3%	182.1M	74.9M	-8.2M	1.32	75.40	65,391	86,405	614,899	843,879