HYG Options History — October 2007

In October 2007, HYG traded between $101.85 and $105.00. ATM implied volatility averaged 15.1%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.4% (HV 20d: 10.6%). Max pain ranged from $102.00 to $104.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.84.

Notable Days

  • 2007-10-19: Highest Volume — 304 contracts
  • 2007-10-03: Largest IV spike — 117.8% change
  • 2007-10-17: Highest IV Rank — 45.7%
  • 2007-10-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.62$101.85$105.00$103.75$103.85
Max Pain$103.00$102.00$104.00$102.00$103.00
ATM IV15.1%8.1%28.1%14.6%13.0%
Expected Move4.4%3.3%8.1%4.2%3.7%
HV 20d10.6%6.7%14.1%13.9%7.8%
HV 60d11.8%10.7%12.5%12.5%10.7%
IV Rank24.9%6.1%45.7%42.0%21.3%
IV Percentile71.8%13.4%89.4%88.1%68.3%
Term Structure0.6%-10.4%14.6%14.6%3.3%
VWIV12.2%5.8%15.1%15.1%14.2%
Skew 25d3.1%-20.0%23.8%22.2%6.6%
Skew 10d1.8%-23.6%22.9%21.1%4.5%
Call IV 25d13.4%5.5%29.4%5.8%9.6%
Put IV 25d16.4%9.2%30.6%28.0%16.2%
Bid-Ask Spread %119.1072.30170.80163.08101.44
Gamma HHI0.210.180.250.240.20
Net GEX-779.5K-1.1M-424.7K-424.7K-1.1M
Net DEX12.6M10.7M15.9M11.1M14.3M
Net VEX-46.9K-52.4K-39.5K-52.0K-40.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.005.000.000.00
Total Volume24.0430304150
Total OI2,717.3042,6362,7652,6362,765

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$103.75$102.0014.6%4.2%13.9%0.0%0.0%22.2%14.6%-424.7K11.1M-52.0K0.00163.081504752,161
2007-10-02$103.95$102.0012.9%3.7%13.9%0.0%0.0%5.7%2.3%-758.9K11.9M-51.0K1.0688.6018194902,161
2007-10-03$103.40$102.0028.1%8.1%14.1%0.0%0.0%11.4%-9.6%-587.7K11.2M-52.2K0.00166.82005082,174
2007-10-04$103.84$102.0016.1%4.6%14.1%0.0%0.0%23.8%14.5%-560.0K11.3M-50.9K0.00170.80005082,174
2007-10-05$103.90$104.0016.3%5.2%13.3%0.0%0.0%-6.1%-10.4%-793.1K11.1M-52.4K0.00163.55005082,174
2007-10-08$104.25$104.0018.6%5.3%13.3%0.0%0.0%-5.7%-3.0%-766.0K11.0M-51.5K0.00166.66105082,174
2007-10-09$104.33$104.0019.6%5.3%13.1%42.0%0.0%-16.4%-2.6%-804.6K11.3M-50.1K0.00168.39005092,174
2007-10-10$104.24$104.008.1%4.3%13.0%6.1%15.1%1.6%-0.3%-510.6K11.5M-49.2K1.3172.3016215092,174
2007-10-11$104.39$103.0014.8%4.2%12.9%27.1%0.0%1.5%-0.3%-804.2K11.6M-49.7K0.0084.380105252,195
2007-10-12$104.50$103.0013.5%3.9%12.5%22.8%13.8%2.2%-0.5%-929.6K12.0M-46.5K0.0091.18045252,205
2007-10-15$105.00$103.0012.9%3.7%12.5%21.2%0.0%4.5%2.6%-759.7K10.7M-48.8K0.2994.632885252,207
2007-10-16$104.60$103.0012.2%3.5%12.4%19.0%0.0%2.5%4.5%-842.0K11.7M-47.5K0.0078.60805252,213
2007-10-17$103.31$103.0020.8%6.0%11.1%45.7%0.0%-8.7%-5.0%-669.6K11.2M-49.2K0.00162.99005332,213
2007-10-18$103.26$103.0014.8%4.2%6.7%27.1%0.0%4.1%0.3%-745.9K13.6M-43.3K1.5097.72235332,213
2007-10-19$102.80$103.0016.1%4.6%6.8%31.1%5.8%-20.0%-7.0%-825.7K11.4M-48.4K0.49160.092041005352,216
2007-10-22$101.85$103.0011.4%3.3%7.0%16.3%0.0%-1.6%1.8%-805.9K15.9M-39.5K0.00108.322104812,221
2007-10-23$102.70$103.0014.4%4.1%7.7%25.8%0.0%8.1%0.7%-867.1K14.9M-42.7K0.6499.991495022,221
2007-10-24$102.70$103.0014.4%4.1%7.6%25.9%0.0%7.9%2.6%-847.3K14.7M-43.0K0.6199.7218115162,224
2007-10-25$102.85$103.0012.6%3.6%7.6%20.2%14.2%6.4%1.2%-876.7K14.8M-42.6K5.00100.532105242,222
2007-10-26$103.09$103.0014.3%4.1%7.7%25.6%0.0%6.3%2.1%-917.0K14.6M-43.6K0.0099.37005262,232
2007-10-29$103.40$103.0013.8%4.0%7.7%24.0%0.0%4.2%0.4%-901.7K14.1M-43.3K0.0099.08805262,232
2007-10-30$103.20$103.0013.0%3.7%7.7%21.3%0.0%9.9%1.9%-862.4K14.9M-41.5K0.00101.06035302,232
2007-10-31$103.85$103.0013.0%3.7%7.8%21.3%0.0%6.6%3.3%-1.1M14.3M-40.4K0.00101.44005302,235