HYG Options History — March 2016

In March 2016, HYG traded between $80.36 and $82.39. ATM implied volatility averaged 11.0%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.1% (HV 20d: 10.0%). Max pain ranged from $80.00 to $81.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2016-03-04: Highest Volume — 209,199 contracts
2016-03-02: Largest IV spike — 10.2% change
2016-03-09: Highest IV Rank — 42.0%
2016-03-08: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.39	$80.36	$82.39	$81.00	$81.69
Max Pain	$80.59	$80.00	$81.00	$80.00	$81.00
ATM IV	11.0%	10.0%	11.9%	10.0%	10.1%
Expected Move	3.1%	2.6%	3.6%	2.9%	2.6%
HV 20d	10.0%	8.6%	11.2%	11.2%	8.6%
HV 60d	11.4%	10.6%	12.6%	12.5%	10.6%
IV Rank	36.1%	29.0%	42.0%	29.0%	29.3%
IV Percentile	69.3%	57.9%	74.6%	65.9%	57.9%
Term Structure	0.0%	-0.6%	1.1%	0.2%	0.5%
VWIV	12.6%	10.0%	16.4%	11.1%	16.4%
Skew 25d	3.3%	2.2%	4.2%	3.4%	2.9%
Skew 10d	6.3%	4.8%	8.2%	7.1%	5.2%
Call IV 25d	9.8%	8.9%	10.7%	9.2%	8.9%
Put IV 25d	13.1%	11.8%	13.8%	12.6%	11.8%
Bid-Ask Spread %	29.27	19.34	40.52	22.83	23.98
Gamma HHI	0.18	0.10	0.33	0.20	0.11
Net GEX	174.2M	-90.4M	382.5M	365.6M	-3.7M
Net DEX	-456.1M	-1.76B	471.4M	-1.03B	153.7M
Net VEX	-7.1M	-8.4M	-6.4M	-6.7M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.29	1.80	0.96	0.67
Total Volume	133,970.364	65,408	209,199	190,838	123,086
Total OI	1,385,119.227	867,867	1,784,681	1,458,973	1,029,215

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
2016-03-01	$81.00	$80.00	10.0%	2.9%	11.2%	29.0%	11.1%	3.4%	0.2%	365.6M	-1.03B	-6.7M	0.96	22.83	97,526	93,312	598,472	860,501
2016-03-02	$80.36	$80.00	11.1%	3.0%	11.2%	36.2%	10.4%	2.2%	-0.2%	218.1M	-200.8M	-7.8M	1.61	20.37	72,051	115,784	574,997	866,846
2016-03-03	$80.75	$80.00	10.9%	3.1%	11.1%	35.2%	15.2%	3.6%	-0.4%	293.9M	-590.5M	-7.3M	0.64	35.15	89,357	56,942	602,810	923,547
2016-03-04	$80.93	$80.00	11.2%	3.2%	10.9%	37.5%	13.8%	2.7%	-0.3%	303.3M	-714.3M	-8.1M	1.20	25.53	95,061	114,138	617,643	947,325
2016-03-07	$80.97	$80.00	11.2%	3.3%	10.2%	37.4%	11.5%	4.2%	0.4%	238.4M	-456.3M	-7.8M	0.47	40.52	83,527	39,323	608,052	1,024,616
2016-03-08	$80.42	$80.00	11.6%	3.6%	9.6%	40.0%	13.3%	2.7%	0.9%	182.3M	47.3M	-8.4M	0.74	32.95	60,808	45,110	603,778	1,011,382
2016-03-09	$80.60	$80.00	11.9%	3.3%	9.4%	42.0%	14.2%	3.5%	-0.3%	201.1M	-86.3M	-8.0M	1.80	33.04	36,287	65,447	597,594	1,012,811
2016-03-10	$81.13	$80.00	11.3%	3.3%	9.3%	38.0%	11.4%	3.9%	0.3%	263.4M	-541.3M	-7.2M	0.63	35.01	53,060	33,383	592,576	1,054,489
2016-03-11	$82.16	$80.00	10.9%	3.1%	9.3%	35.4%	14.1%	3.8%	0.3%	382.5M	-1.59B	-6.5M	0.78	26.54	101,557	79,286	591,346	1,058,871
2016-03-14	$81.88	$81.00	11.2%	3.2%	9.0%	37.2%	13.1%	3.2%	-0.1%	334.0M	-1.13B	-6.7M	0.99	38.92	46,746	46,143	584,149	1,089,605
2016-03-15	$81.16	$81.00	11.6%	3.3%	10.0%	40.3%	13.2%	3.4%	0.0%	290.5M	-564.9M	-6.8M	0.83	39.22	69,422	57,333	596,519	1,110,829
2016-03-16	$81.73	$81.00	10.9%	3.1%	9.9%	35.3%	12.1%	3.1%	0.5%	357.1M	-1.11B	-6.4M	0.40	32.45	106,986	42,759	610,743	1,134,941
2016-03-17	$82.21	$81.00	11.1%	3.2%	10.0%	36.3%	11.1%	3.3%	-0.5%	303.7M	-1.45B	-6.8M	0.30	38.26	76,822	23,257	629,023	1,148,055
2016-03-18	$82.30	$81.00	11.0%	3.2%	10.0%	35.8%	10.5%	3.0%	-0.6%	188.7M	-1.76B	-6.5M	0.29	39.38	118,633	34,184	635,637	1,149,044
2016-03-21	$82.39	$81.00	10.7%	3.1%	9.7%	33.7%	13.6%	3.4%	-0.2%	51.3M	-234.5M	-6.8M	0.78	24.02	36,648	28,760	284,351	583,516
2016-03-22	$82.09	$81.00	11.1%	3.1%	9.9%	36.8%	11.6%	3.5%	-0.4%	41.8M	-160.6M	-6.4M	0.98	20.74	48,613	47,672	279,713	588,640
2016-03-23	$81.72	$81.00	11.4%	3.1%	10.2%	38.6%	10.0%	3.1%	-0.6%	33.5M	-23.6M	-6.5M	0.52	19.34	84,319	44,180	306,246	596,484
2016-03-24	$81.34	$81.00	10.7%	2.9%	10.4%	33.8%	12.3%	3.6%	-0.0%	-33.1M	328.1M	-7.5M	1.29	19.60	74,428	96,313	306,106	614,818
2016-03-28	$80.96	$81.00	11.2%	3.0%	10.4%	37.4%	14.7%	3.1%	-0.1%	-90.4M	471.4M	-6.9M	0.76	25.91	80,478	61,265	334,790	681,970
2016-03-29	$81.24	$81.00	11.0%	3.0%	9.9%	35.7%	13.7%	3.5%	1.1%	-80.9M	451.9M	-6.9M	1.39	27.66	70,339	97,648	314,050	685,187
2016-03-30	$81.61	$81.00	10.7%	2.7%	9.1%	34.0%	10.0%	3.2%	0.2%	-9.7M	161.5M	-6.7M	0.38	22.60	71,765	27,590	324,918	706,418
2016-03-31	$81.69	$81.00	10.1%	2.6%	8.6%	29.3%	16.4%	2.9%	0.5%	-3.7M	153.7M	-7.0M	0.67	23.98	73,854	49,232	325,331	703,884