I use HaplotypeCaller v. 3.6-0-g89b7209. I want to compress the output before writing it to the disk and use command like this:
gatk -T HaplotypeCaller ... -o /dev/stdout | grep -v -e --- -e WARN | bgzip -s - > output.gvcf.gz
The grep command is needed to get around a bug that sends lines meant to STDERR to STDOUT. This is similar to a bug I reported in v. 3.3:
http://gatkforums.broadinstitute.org/gatk/discussion/4947/bug-pairhmm-outputs-to-stdout-instead-of-stderr#latest