HYG Options History — July 2007

In July 2007, HYG traded between $96.02 and $102.00. ATM implied volatility averaged 10.9%. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 4.0% (HV 20d: 7.0%). Max pain ranged from $101.00 to $104.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-07-18: Highest Volume — 226 contracts
  • 2007-07-30: Largest IV spike — 170.0% change
  • 2007-07-30: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.30$96.02$102.00$102.00$96.20
Max Pain$101.43$101.00$104.00$104.00$101.00
ATM IV10.9%7.1%28.3%9.9%9.3%
Expected Move3.2%2.6%8.1%2.8%2.7%
HV 20d7.0%5.1%12.5%5.1%12.5%
HV 60d5.2%4.2%8.1%4.2%8.1%
Term Structure2.2%-11.8%7.8%0.7%4.6%
VWIV12.0%4.8%30.1%10.5%12.4%
Skew 25d3.1%-2.1%19.6%0.2%-2.1%
Skew 10d-0.1%-17.4%12.3%1.2%-5.0%
Call IV 25d9.6%6.5%11.8%9.5%8.4%
Put IV 25d12.8%6.3%30.1%9.7%6.3%
Bid-Ask Spread %97.0073.42159.2195.45110.31
Gamma HHI0.310.220.390.390.23
Net GEX-566.4K-708.1K-348.1K-646.4K-348.1K
Net DEX12.6M10.3M15.7M10.3M15.5M
Net VEX-33.4K-39.9K-17.0K-39.9K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.002.390.000.19
Total Volume45.71402262419
Total OI1,997.3811,7332,2331,7332,233

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$102.00$104.009.9%2.8%5.1%0.0%0.0%0.2%0.7%-646.4K10.3M-39.9K0.0095.450241451,588
2007-07-03$101.81$104.009.8%2.8%5.1%0.0%0.0%0.3%0.9%-625.9K11.1M-37.6K0.0096.930401451,610
2007-07-05$101.44$104.009.2%2.6%5.1%0.0%0.0%0.1%1.9%-708.1K11.0M-39.2K0.0094.95001451,650
2007-07-06$101.55$101.009.2%2.9%5.1%0.0%0.0%0.4%1.3%-668.5K11.4M-39.1K0.0073.42101451,650
2007-07-09$101.86$101.008.8%2.9%5.3%0.0%10.5%0.3%1.5%-685.5K11.2M-38.7K0.0074.181001461,650
2007-07-10$101.59$101.008.3%2.9%5.3%0.0%0.0%0.5%0.8%-680.4K11.3M-37.2K1.7081.7630511561,650
2007-07-11$100.83$101.007.1%2.9%5.6%0.0%9.2%-0.1%0.6%-628.5K12.3M-35.6K0.1088.693031861,701
2007-07-12$101.13$101.0010.1%2.9%5.7%0.0%0.0%0.1%0.7%-588.5K12.0M-35.8K0.0091.420252161,704
2007-07-13$101.55$101.009.7%2.8%6.0%0.0%0.0%0.3%1.5%-604.4K11.9M-37.9K0.7588.251292161,719
2007-07-16$101.59$101.009.9%2.8%6.0%0.0%0.0%0.2%1.1%-672.3K12.0M-36.3K0.1985.294792281,728
2007-07-17$101.71$101.0010.2%2.9%6.0%0.0%10.0%0.8%1.4%-614.1K12.5M-33.4K1.1884.3917202751,737
2007-07-18$100.95$101.0010.9%3.1%6.4%0.0%0.0%0.1%0.9%-539.6K12.8M-34.8K0.0091.3602262911,757
2007-07-19$100.00$101.0010.8%3.1%6.5%0.0%0.0%0.6%1.4%-604.4K12.2M-37.7K0.0086.80002911,773
2007-07-20$100.80$101.009.0%2.6%7.2%0.0%8.1%1.6%4.2%-416.6K13.3M-31.7K0.8394.9260502911,773
2007-07-23$100.58$101.009.1%2.6%7.2%0.0%4.8%6.1%7.7%-594.1K13.1M-35.6K0.44102.8325113031,815
2007-07-24$100.00$101.0010.6%3.0%7.2%0.0%0.0%6.5%7.8%-465.9K14.2M-28.2K0.33112.5290303281,816
2007-07-25$99.05$101.0012.6%3.6%7.6%0.0%0.0%9.6%7.8%-568.7K13.7M-32.2K0.00112.390103781,836
2007-07-26$98.65$101.0016.5%4.7%7.6%0.0%0.0%17.2%6.1%-434.9K15.7M-18.1K0.00107.19013781,846
2007-07-27$96.02$101.0010.5%3.0%11.7%0.0%10.8%3.2%4.8%-375.3K15.7M-18.6K2.39104.8123553781,845
2007-07-30$96.95$101.0028.3%8.1%12.5%0.0%30.1%19.6%-11.8%-425.2K12.5M-37.4K0.07159.213023911,832
2007-07-31$96.20$101.009.3%2.7%12.5%0.0%12.4%-2.1%4.6%-348.1K15.5M-17.0K0.19110.311634111,822