HYG Options History — August 2007

In August 2007, HYG traded between $96.45 and $101.67. ATM implied volatility averaged 15.6%. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.8% (HV 20d: 12.8%). Max pain ranged from $100.00 to $101.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 4.52.

Notable Days

  • 2007-08-20: Highest Volume — 1,005 contracts
  • 2007-08-07: Largest IV spike — 261.5% change
  • 2007-08-31: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.86$96.45$101.67$96.45$101.67
Max Pain$100.87$100.00$101.00$101.00$100.00
ATM IV15.6%9.1%38.3%10.3%25.1%
Expected Move4.1%2.7%7.2%3.0%7.2%
HV 20d12.8%9.4%14.5%12.7%9.7%
HV 60d9.2%8.2%10.2%8.2%10.2%
Term Structure0.9%-8.5%15.4%6.1%-8.5%
VWIV15.5%7.9%32.5%25.1%25.7%
Skew 25d0.5%-22.1%7.7%1.5%1.4%
Skew 10d-2.7%-29.7%8.0%-0.1%3.4%
Call IV 25d15.0%8.2%37.0%8.9%34.3%
Put IV 25d15.4%6.7%35.7%10.4%35.7%
Bid-Ask Spread %114.6679.38169.89133.79169.89
Gamma HHI0.250.180.320.280.23
Net GEX-487.3K-620.2K-377.1K-416.4K-413.3K
Net DEX12.6M7.5M15.5M14.4M7.5M
Net VEX-25.3K-30.7K-21.6K-25.3K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.520.0014.8313.2014.83
Total Volume61.56501,0051095
Total OI2,078.871,7172,3452,2361,809

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$96.45$101.0010.3%3.0%12.7%0.0%0.0%1.5%6.1%-416.4K14.4M-25.3K0.00133.790104111,825
2007-08-02$97.00$101.0010.3%3.0%13.0%0.0%0.0%2.2%3.8%-447.4K14.9M-23.0K0.00110.53014111,833
2007-08-03$97.00$101.0012.0%3.4%13.0%0.0%25.1%3.1%9.2%-417.7K14.9M-22.9K13.20110.285664111,833
2007-08-06$96.79$101.0010.3%4.2%12.8%0.0%12.2%4.9%-1.6%-449.8K15.5M-22.3K0.0087.75044161,879
2007-08-07$97.48$101.0037.0%5.5%13.3%0.0%0.0%-2.9%-5.8%-400.3K14.1M-28.6K0.00155.81004161,875
2007-08-08$98.63$101.0038.3%3.9%14.0%0.0%0.0%7.7%-1.2%-494.4K14.3M-30.7K0.0098.43004161,875
2007-08-09$98.53$101.009.1%3.8%13.9%0.0%10.9%7.6%-1.2%-555.3K14.6M-27.5K0.0082.361004161,875
2007-08-10$98.33$101.0010.0%4.0%13.7%0.0%0.0%7.5%-2.2%-473.8K15.3M-22.6K0.1295.322634261,875
2007-08-13$99.05$101.009.2%3.7%14.1%0.0%0.0%7.7%-1.0%-597.3K14.4M-29.2K0.0079.41004361,878
2007-08-14$98.28$101.0010.2%3.7%14.2%0.0%15.0%5.4%-0.6%-546.8K15.0M-24.7K0.0081.970154361,878
2007-08-15$98.83$101.0013.4%3.3%14.3%0.0%15.0%5.2%0.7%-574.6K14.7M-26.8K0.0086.540104361,893
2007-08-16$98.70$101.0011.8%3.4%14.0%0.0%8.6%6.3%-0.2%-585.6K15.0M-25.8K0.0085.740174361,893
2007-08-17$99.70$101.0019.9%5.7%14.1%0.0%0.0%-18.8%-7.8%-422.4K13.8M-28.6K0.00164.80044361,909
2007-08-20$98.75$101.0010.2%2.9%14.5%0.0%0.0%2.6%1.3%-620.2K14.8M-25.4K0.0091.2901,0053101,898
2007-08-21$98.24$101.0021.6%6.2%14.5%0.0%7.9%-5.8%-5.3%-377.1K10.3M-21.9K2.00162.0310203101,425
2007-08-22$99.00$101.0021.7%6.2%14.4%0.0%0.0%-0.2%-5.6%-467.2K10.1M-23.7K0.00160.71003201,425
2007-08-23$99.60$101.0010.2%2.9%14.5%0.0%11.2%4.2%2.7%-527.4K10.2M-21.6K0.0093.48023201,405
2007-08-24$99.85$101.009.3%2.7%10.2%0.0%0.0%5.1%2.3%-526.9K10.1M-21.9K0.0093.35003201,405
2007-08-27$100.50$101.009.7%2.8%9.9%0.0%9.8%5.0%2.6%-593.1K9.7M-22.6K0.0089.990123201,405
2007-08-28$100.15$101.0012.1%3.5%9.5%0.0%13.5%5.8%4.0%-526.0K9.5M-23.7K0.9879.3841403201,397
2007-08-29$100.55$100.0017.5%5.0%9.5%0.0%14.0%-22.1%15.4%-386.7K8.7M-26.4K0.50160.681263601,432
2007-08-30$100.76$100.0018.4%5.3%9.4%0.0%32.5%-22.0%13.9%-387.7K8.8M-26.0K0.00163.52023721,437
2007-08-31$101.67$100.0025.1%7.2%9.7%0.0%25.7%1.4%-8.5%-413.3K7.5M-29.7K14.83169.896893721,437