HYG Options History — February 2017

In February 2017, HYG traded between $87.24 and $88.32. ATM implied volatility averaged 6.1%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 3.8% (HV 20d: 2.3%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.80.

Notable Days

2017-02-16: Highest Volume — 229,645 contracts
2017-02-02: Largest IV drop — 11.9% change
2017-02-01: Highest IV Rank — 16.0%
2017-02-02: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.72	$87.24	$88.32	$87.24	$88.30
Max Pain	$88.16	$87.00	$95.00	$95.00	$88.00
ATM IV	6.1%	5.5%	7.3%	7.3%	5.5%
Expected Move	1.8%	1.5%	2.0%	1.8%	1.6%
HV 20d	2.3%	1.7%	3.0%	3.0%	1.7%
HV 60d	5.3%	4.1%	7.3%	7.3%	4.1%
IV Rank	6.1%	0.0%	16.0%	16.0%	0.8%
IV Percentile	3.4%	0.0%	17.1%	17.1%	1.6%
Term Structure	0.3%	-0.1%	0.7%	0.1%	0.5%
VWIV	7.8%	5.8%	12.4%	6.8%	6.2%
Skew 25d	1.7%	1.1%	2.1%	1.1%	1.2%
Skew 10d	4.0%	1.6%	5.4%	5.4%	3.6%
Call IV 25d	5.6%	5.0%	7.2%	7.2%	5.4%
Put IV 25d	7.4%	6.5%	8.3%	8.3%	6.5%
Bid-Ask Spread %	17.50	15.24	28.76	15.34	15.42
Gamma HHI	0.20	0.16	0.27	0.17	0.21
Net GEX	-186.6M	-359.2M	-34.9M	-352.9M	-110.8M
Net DEX	1.15B	551.5M	1.56B	1.21B	609.3M
Net VEX	-7.1M	-8.2M	-5.1M	-6.8M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.80	2.09	4.57	2.57	3.68
Total Volume	153,961.105	102,404	229,645	113,118	165,784
Total OI	1,503,037.737	1,267,925	1,704,541	1,267,925	1,632,023

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
2017-02-01	$87.24	$95.00	7.3%	1.8%	3.0%	16.0%	6.8%	1.1%	0.1%	-352.9M	1.21B	-6.8M	2.57	15.34	31,668	81,450	222,161	1,045,764
2017-02-02	$87.34	$87.00	6.4%	2.0%	2.3%	8.4%	7.9%	2.0%	0.0%	-286.3M	1.04B	-6.6M	2.94	19.88	25,977	76,427	228,884	1,066,701
2017-02-03	$87.45	$87.00	6.4%	2.0%	2.3%	8.0%	9.7%	1.4%	-0.0%	-286.5M	1.24B	-8.0M	2.88	19.42	30,951	89,181	242,214	1,112,063
2017-02-06	$87.40	$87.00	6.4%	2.0%	2.3%	8.5%	8.9%	2.0%	0.6%	-302.1M	1.31B	-7.9M	2.30	18.41	34,534	79,440	252,106	1,137,757
2017-02-07	$87.33	$87.00	6.4%	2.0%	2.3%	8.2%	9.4%	1.9%	0.4%	-323.0M	1.32B	-7.9M	2.33	18.23	44,735	104,238	254,197	1,150,248
2017-02-08	$87.30	$88.00	6.4%	2.0%	2.3%	8.0%	7.7%	1.9%	0.6%	-359.2M	1.56B	-7.9M	2.63	17.97	42,373	111,643	279,171	1,191,814
2017-02-09	$87.46	$88.00	6.3%	2.0%	2.4%	7.2%	7.4%	1.9%	0.7%	-303.4M	1.53B	-7.7M	2.55	19.20	39,714	101,372	300,433	1,232,916
2017-02-10	$87.52	$88.00	6.3%	1.8%	2.4%	6.8%	12.4%	1.6%	-0.1%	-213.5M	1.25B	-6.1M	2.09	15.24	39,600	82,600	305,397	1,240,285
2017-02-13	$87.62	$88.00	6.3%	1.8%	2.4%	8.8%	8.4%	2.1%	0.5%	-192.2M	1.43B	-7.6M	2.91	16.50	39,950	116,145	305,406	1,245,984
2017-02-14	$87.72	$88.00	6.5%	1.9%	2.4%	11.5%	8.4%	1.8%	0.6%	-159.4M	1.30B	-7.2M	2.93	16.38	40,407	118,248	305,669	1,274,629
2017-02-15	$87.76	$88.00	6.2%	1.8%	2.4%	8.9%	7.2%	1.7%	0.4%	-77.1M	1.26B	-7.3M	2.95	15.56	42,627	125,670	305,742	1,287,752
2017-02-16	$87.67	$88.00	5.8%	1.7%	2.1%	4.0%	6.5%	1.9%	0.5%	-183.4M	1.51B	-7.6M	2.31	15.24	69,435	160,210	312,754	1,325,505
2017-02-17	$87.79	$88.00	5.5%	1.6%	2.1%	0.0%	6.2%	2.1%	0.4%	-34.9M	1.55B	-8.2M	2.21	15.43	44,755	98,754	337,424	1,367,117
2017-02-21	$88.01	$88.00	5.5%	1.6%	2.2%	0.7%	6.0%	1.6%	-0.1%	-89.1M	775.7M	-6.2M	2.85	16.28	45,778	130,518	254,745	1,160,688
2017-02-22	$88.09	$88.00	5.7%	1.6%	2.2%	3.5%	6.9%	1.7%	0.2%	-81.0M	686.4M	-5.9M	2.96	16.43	29,611	87,781	269,986	1,206,336
2017-02-23	$88.16	$88.00	5.7%	1.7%	2.0%	4.0%	9.7%	1.8%	0.1%	-55.1M	551.5M	-5.1M	4.57	16.44	36,887	168,463	279,759	1,216,109
2017-02-24	$88.21	$88.00	5.6%	1.7%	2.0%	2.0%	6.5%	1.6%	0.2%	-54.2M	832.1M	-6.8M	2.60	16.33	56,473	146,632	296,791	1,290,425
2017-02-27	$88.32	$88.00	5.5%	1.5%	2.0%	0.3%	5.8%	1.6%	0.4%	-81.2M	974.2M	-7.9M	2.88	28.76	47,695	137,535	301,366	1,319,396
2017-02-28	$88.30	$88.00	5.5%	1.6%	1.7%	0.8%	6.2%	1.2%	0.5%	-110.8M	609.3M	-5.4M	3.68	15.42	35,402	130,382	293,053	1,338,970