HYG Options History — June 2007

In June 2007, HYG traded between $101.81 and $105.20. ATM implied volatility averaged 10.8%. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 6.6% (HV 20d: 4.1%). Max pain ranged from $104.00 to $104.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 7.27.

Notable Days

  • 2007-06-04: Highest Volume — 1,240 contracts
  • 2007-06-29: Largest IV spike — 153.8% change
  • 2007-06-29: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.62$101.81$105.20$105.11$101.81
Max Pain$104.00$104.00$104.00$104.00$104.00
ATM IV10.8%7.2%25.1%9.5%25.1%
Expected Move3.1%2.5%7.2%2.7%7.2%
HV 20d4.1%3.4%5.2%3.4%5.0%
HV 60d4.0%3.6%4.3%3.7%4.3%
Term Structure0.2%-8.6%11.3%0.7%-8.6%
VWIV8.6%8.1%9.2%9.2%8.1%
Skew 25d2.3%-1.1%16.0%-0.9%13.6%
Skew 10d0.1%-12.8%3.5%2.1%-12.8%
Call IV 25d8.8%6.8%10.1%8.7%10.1%
Put IV 25d11.1%6.7%23.9%7.7%23.7%
Bid-Ask Spread %88.5050.74187.82111.57174.53
Gamma HHI0.500.381.001.000.40
Net GEX-464.1K-695.4K-1.5K-1.5K-496.7K
Net DEX6.7M21.6K10.4M22.1K9.4M
Net VEX-31.4K-43.2K-386-389-43.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.275.008.928.927.90
Total Volume100.76201,24002
Total OI1,214131,735131,735

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$105.11$0.009.5%2.7%3.4%0.0%0.0%-0.9%0.7%-1.5K22.1K-3890.00111.570058
2007-06-04$105.20$0.008.6%2.6%3.4%0.0%0.0%0.5%-0.0%-1.9K21.6K-3868.9264.871251,11558
2007-06-05$105.05$0.008.7%2.7%3.5%0.0%0.0%-0.7%-0.2%-426.1K4.6M-27.9K0.0073.0602130823
2007-06-06$104.92$0.008.6%2.6%3.5%0.0%0.0%-0.3%-0.1%-439.0K4.5M-28.1K0.0051.3900130825
2007-06-07$104.43$0.008.6%2.6%3.7%0.0%9.2%0.7%0.5%-379.7K4.7M-27.5K5.0050.74525130825
2007-06-08$104.15$104.009.1%2.7%3.5%0.0%0.0%-1.1%-0.2%-364.6K4.7M-28.1K0.0059.1201135850
2007-06-11$103.93$104.0010.0%2.5%3.5%0.0%8.1%0.7%1.6%-367.1K4.8M-28.3K7.9060.241079135851
2007-06-12$103.40$104.007.2%2.7%3.8%0.0%0.0%1.0%0.7%-392.9K5.5M-28.3K0.0070.16085145920
2007-06-13$103.58$104.009.1%2.7%3.9%0.0%0.0%0.4%0.5%-399.2K5.5M-28.2K0.0069.5500145925
2007-06-14$103.66$104.009.7%2.8%3.7%0.0%0.0%0.4%0.3%-388.7K5.5M-28.2K0.0069.6200145925
2007-06-15$103.64$104.009.4%2.7%3.7%0.0%0.0%0.0%0.8%-386.9K5.6M-27.8K0.0070.490500145925
2007-06-18$103.70$104.0010.1%2.9%3.8%0.0%0.0%0.7%-0.6%-636.1K9.3M-40.1K0.0077.450111451,425
2007-06-19$103.83$104.009.2%2.6%3.8%0.0%0.0%0.3%0.8%-686.5K8.8M-41.5K0.0068.410101451,436
2007-06-20$102.91$104.0020.9%6.0%4.7%0.0%0.0%13.4%-5.6%-513.5K9.8M-38.0K0.00187.82001451,446
2007-06-21$103.10$104.009.6%2.8%4.8%0.0%0.0%0.5%-0.2%-653.6K9.2M-39.8K0.0081.260101451,446
2007-06-22$103.25$104.0010.1%2.9%4.9%0.0%0.0%0.2%0.6%-623.0K9.3M-40.4K0.0078.620571451,456
2007-06-25$102.70$104.0013.6%3.9%5.0%0.0%0.0%16.0%11.3%-560.0K9.4M-40.7K0.00184.010111451,511
2007-06-26$103.00$104.009.7%2.8%5.1%0.0%0.0%0.4%1.1%-695.4K9.6M-40.8K0.0078.37051451,522
2007-06-27$102.64$104.009.8%2.8%5.0%0.0%0.0%0.3%1.1%-691.7K9.7M-41.2K0.0084.040231451,527
2007-06-28$102.10$104.009.9%2.8%5.2%0.0%0.0%1.6%0.7%-641.4K10.4M-39.9K0.0093.060401451,550
2007-06-29$101.81$104.0025.1%7.2%5.0%0.0%0.0%13.6%-8.6%-496.7K9.4M-43.2K0.00174.53021451,590