HYG Options History — November 2007

In November 2007, HYG traded between $98.91 and $102.73. ATM implied volatility averaged 23.2%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 13.2% (HV 20d: 10.0%). Max pain ranged from $103.00 to $106.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.41.

Notable Days

  • 2007-11-06: Highest Volume — 195 contracts
  • 2007-11-09: Largest IV spike — 179.0% change
  • 2007-11-09: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.48$98.91$102.73$102.50$102.01
Max Pain$105.71$103.00$106.00$103.00$106.00
ATM IV23.2%9.0%58.7%13.3%9.0%
Expected Move4.3%2.1%6.9%3.8%2.6%
HV 20d10.0%8.6%12.2%9.0%11.3%
HV 60d10.9%10.4%11.5%10.8%11.5%
IV Rank39.9%5.5%100.0%22.3%5.5%
IV Percentile80.5%15.3%100.0%69.9%15.3%
Term Structure3.3%-6.9%13.4%1.5%10.5%
VWIV11.8%4.3%30.2%8.1%8.4%
Skew 25d7.5%0.6%21.7%4.8%0.6%
Skew 10d6.2%-6.6%23.6%4.0%0.6%
Call IV 25d15.2%5.7%28.1%8.8%14.2%
Put IV 25d22.8%13.6%29.4%13.6%14.8%
Bid-Ask Spread %135.7163.40169.26106.71102.99
Gamma HHI0.210.190.240.200.22
Net GEX-833.1K-1.1M-481.3K-979.4K-534.3K
Net DEX16.7M12.9M20.6M15.1M18.0M
Net VEX-34.2K-48.3K-18.2K-40.3K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.0033.3333.330.00
Total Volume25.524019510310
Total OI2,955.6672,7653,0662,7652,867

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$102.50$103.0013.3%3.8%9.0%22.3%8.1%4.8%1.5%-979.4K15.1M-40.3K33.33106.7131005302,235
2007-11-02$102.25$103.0014.2%4.1%9.0%25.2%0.0%4.2%0.4%-1.1M16.2M-39.3K0.00104.791505302,324
2007-11-05$102.20$106.0015.1%4.4%8.8%28.0%14.5%5.0%1.6%-1.0M16.3M-37.5K2.0063.406125322,324
2007-11-06$102.73$106.0035.1%4.1%9.1%90.0%14.0%7.0%4.3%-992.2K15.2M-38.3K12.00149.91151805382,326
2007-11-07$102.60$106.0036.8%2.1%9.1%95.4%16.7%0.9%8.1%-963.5K12.9M-48.3K0.00158.25305502,467
2007-11-08$101.30$106.0014.9%4.3%10.0%27.3%8.1%8.6%2.1%-884.1K19.1M-32.3K1.2072.8915185502,467
2007-11-09$101.75$106.0041.5%3.3%10.2%100.0%0.0%0.9%8.2%-980.4K14.8M-45.1K0.00163.021205652,473
2007-11-12$102.15$106.0052.4%4.1%10.1%100.0%22.1%1.1%3.8%-875.9K13.3M-46.3K0.00162.71205772,473
2007-11-13$101.75$106.0058.7%3.5%10.1%100.0%5.8%1.0%6.9%-955.0K14.5M-43.5K0.40163.041045792,458
2007-11-14$102.00$106.0019.0%4.0%9.3%24.6%0.0%8.1%3.8%-963.8K18.5M-31.9K0.0066.701105892,459
2007-11-15$101.97$106.0013.0%3.7%9.3%13.1%5.4%1.0%6.4%-972.6K14.3M-42.5K1.25163.968105892,459
2007-11-16$102.00$106.0013.8%4.0%9.2%14.7%4.3%1.3%7.6%-1.0M13.4M-44.3K0.13168.331525972,469
2007-11-19$102.00$106.0012.8%3.7%8.6%12.8%17.8%0.8%12.3%-921.8K13.9M-40.8K4.20169.265215712,359
2007-11-20$101.00$106.0014.4%4.1%8.7%15.7%10.6%7.8%1.9%-656.3K19.7M-23.6K0.0073.530165762,371
2007-11-21$99.10$106.0021.7%6.2%10.8%29.7%11.1%21.7%-5.4%-638.5K17.9M-30.1K0.00167.590135762,373
2007-11-23$98.91$106.0022.7%6.5%10.7%31.5%0.0%10.7%-6.0%-481.3K20.6M-18.2K0.00154.96005762,367
2007-11-26$100.00$106.0023.9%6.9%11.6%33.9%30.2%21.5%-6.7%-525.0K20.4M-19.1K0.00166.67045762,367
2007-11-27$100.15$106.0023.9%6.9%11.5%33.9%0.0%19.3%-6.9%-586.0K19.5M-21.7K0.00156.13005762,363
2007-11-28$101.10$106.0013.9%4.0%12.2%14.8%6.3%20.2%13.4%-590.6K19.8M-20.3K0.04160.472315762,363
2007-11-29$101.60$106.0016.6%4.8%12.1%19.9%5.6%11.5%0.9%-873.5K16.8M-30.7K0.00154.50205892,363
2007-11-30$102.01$106.009.0%2.6%11.3%5.5%8.4%0.6%10.5%-534.3K18.0M-23.9K0.00102.991005912,276