HYG Options History — December 2008

In December 2008, HYG traded between $64.20 and $76.01. ATM implied volatility averaged 34.2%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.7% (HV 20d: 27.5%). Max pain ranged from $63.00 to $67.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.20.

Notable Days

  • 2008-12-19: Highest Volume — 145 contracts
  • 2008-12-08: Largest IV spike — 183.1% change
  • 2008-12-08: Highest IV Rank — 43.7%
  • 2008-12-04: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.81$64.20$76.01$64.20$76.01
Max Pain$63.94$63.00$67.00$67.00$63.00
ATM IV34.2%18.5%53.0%42.9%32.3%
Expected Move9.3%5.8%13.2%12.3%9.3%
HV 20d27.5%25.2%31.6%25.3%27.9%
HV 60d47.3%43.4%50.4%50.2%43.4%
IV Rank26.8%12.8%43.7%34.6%25.1%
IV Percentile82.8%60.7%95.6%93.7%81.7%
Term Structure-6.9%-19.3%4.1%-13.5%0.9%
VWIV31.1%15.1%44.1%29.2%35.4%
Skew 25d-4.6%-30.3%17.0%-23.4%-0.9%
Skew 10d-5.2%-45.3%28.9%-29.6%-10.7%
Call IV 25d38.6%13.8%71.7%71.7%32.3%
Put IV 25d34.0%18.7%52.1%48.3%31.4%
Bid-Ask Spread %147.01101.11188.39126.19102.70
Gamma HHI0.200.140.390.190.14
Net GEX48.7K29.8K66.1K31.4K57.1K
Net DEX-550.1K-1.4M42.0K-226.3K-1.4M
Net VEX-3.2K-5.6K-1.3K-2.6K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.670.000.00
Total Volume15.727014501
Total OI372.682333410333380

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$64.20$67.0042.9%12.3%25.3%34.6%0.0%-23.4%-13.5%31.4K-226.3K-2.6K0.00126.190029835
2008-12-02$64.89$67.0028.2%8.1%25.9%21.5%0.0%-11.7%-14.7%30.0K-91.9K-1.7K0.00128.990029835
2008-12-03$64.90$67.0044.8%12.8%25.3%36.3%0.0%-30.3%-15.6%29.8K-82.2K-1.6K0.00128.920029835
2008-12-04$64.52$67.0046.2%13.2%25.3%37.6%0.0%-26.5%-17.4%32.3K-32.4K-1.5K0.00128.430029835
2008-12-05$64.55$0.0018.7%5.8%25.3%13.0%0.0%6.0%2.8%37.0K42.0K-1.3K0.00109.6821029835
2008-12-08$65.30$0.0053.0%8.3%25.4%43.7%0.0%-18.8%-4.4%36.9K-239.2K-2.4K0.00176.380031935
2008-12-09$64.81$0.0018.5%5.8%25.3%12.8%0.0%6.8%4.1%40.3K37.8K-1.3K0.27107.3811331935
2008-12-10$64.76$0.0043.8%6.8%25.4%35.4%0.0%-22.1%-8.3%46.2K-134.0K-2.2K0.27173.3715433038
2008-12-11$64.26$0.0030.7%8.8%25.2%23.7%29.2%-22.2%-11.4%43.3K-198.3K-2.4K0.00183.1011034541
2008-12-12$65.15$63.0030.6%8.8%26.1%23.6%0.0%10.3%-4.8%45.7K-223.1K-2.4K0.00185.264035141
2008-12-15$64.81$63.0038.2%10.9%25.9%30.4%0.0%-8.7%-19.3%48.0K-239.3K-2.5K0.00176.6810035541
2008-12-16$66.01$63.0032.0%9.2%26.7%24.9%0.0%-2.0%-12.8%52.1K-290.0K-2.5K0.00188.391036541
2008-12-17$67.70$63.0031.6%9.1%27.5%24.5%0.0%7.4%-13.1%56.0K-434.3K-2.8K0.00185.403036641
2008-12-18$71.63$63.0030.7%8.8%31.1%23.7%0.0%17.0%-3.4%63.1K-832.3K-3.1K1.67154.4661036941
2008-12-19$71.15$63.0031.3%9.0%28.0%24.2%15.1%5.2%0.5%63.6K-852.9K-3.5K0.00160.42145036834
2008-12-22$74.00$63.0029.5%8.5%30.4%22.6%32.0%0.1%1.2%51.3K-1.0M-4.9K0.06117.6735233019
2008-12-23$75.08$63.0032.2%9.2%30.5%25.0%44.1%-5.1%-1.7%58.8K-1.2M-5.3K0.27146.7411335121
2008-12-24$73.90$63.0033.4%9.6%31.6%26.1%0.0%11.3%-6.7%59.9K-1.0M-5.2K0.00154.730136024
2008-12-26$75.31$63.0034.0%9.8%31.4%26.7%35.4%13.1%-2.8%66.1K-1.2M-5.5K0.00148.674037225
2008-12-29$75.29$63.0031.3%9.0%31.2%24.3%0.0%-3.3%1.4%59.8K-1.3M-5.6K0.17101.1136637525
2008-12-30$75.52$63.0037.5%10.7%27.9%29.8%0.0%-3.5%-12.0%62.4K-1.2M-5.2K0.50149.472135621
2008-12-31$76.01$63.0032.3%9.3%27.9%25.1%0.0%-0.9%0.9%57.1K-1.4M-5.3K0.00102.701035822