HYG Options History — March 2009

In March 2009, HYG traded between $61.64 and $70.75. ATM implied volatility averaged 24.2%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 6.3% (HV 20d: 30.5%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2009-03-02: Highest Volume — 639 contracts
  • 2009-03-12: Largest IV spike — 23.9% change
  • 2009-03-12: Highest IV Rank — 25.1%
  • 2009-03-12: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.73$61.64$70.75$65.15$67.80
Max Pain$66.59$65.00$70.00$70.00$68.00
ATM IV24.2%20.2%32.3%24.6%21.8%
Expected Move6.8%5.8%9.3%7.1%6.2%
HV 20d30.5%21.4%34.9%23.1%34.9%
HV 60d29.3%27.5%31.6%28.1%29.6%
IV Rank17.9%14.3%25.1%18.2%15.7%
IV Percentile59.2%46.4%81.7%62.7%49.6%
Term Structure2.0%-4.1%5.4%-0.1%3.1%
VWIV23.6%20.1%31.3%24.1%22.8%
Skew 25d1.2%-0.6%3.1%1.1%-0.6%
Skew 10d2.4%-6.5%12.9%-0.6%4.0%
Call IV 25d23.1%19.0%28.9%22.7%22.7%
Put IV 25d24.3%21.0%28.9%23.8%22.1%
Bid-Ask Spread %54.7921.54114.7021.5457.58
Gamma HHI0.120.100.160.140.11
Net GEX215.9K-10.3K569.0K-10.3K363.5K
Net DEX-1.9M-7.3M2.5M2.0M-3.4M
Net VEX-25.0K-41.1K-5.4K-5.4K-38.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.084.830.150.50
Total Volume278.04540639639292
Total OI3,334.8641,8764,4121,8764,092

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$65.15$70.0024.6%7.1%23.1%18.2%24.1%1.1%-0.1%-10.3K2.0M-5.4K0.1521.54558811,429447
2009-03-03$65.41$70.0022.7%6.5%21.5%16.6%20.5%2.4%-0.9%39.0K1.4M-11.7K4.8330.0012581,893515
2009-03-04$65.40$70.0022.7%6.5%21.4%16.5%22.6%1.2%-0.4%37.3K1.3M-12.4K0.0839.586651,918531
2009-03-05$62.30$70.0024.6%7.1%26.2%18.3%21.7%1.9%-2.4%31.0K2.2M-8.8K0.4226.93188791,941536
2009-03-06$62.00$65.0024.9%6.4%26.2%18.5%0.0%1.0%1.7%20.2K2.5M-9.0K0.2438.2174182,038600
2009-03-09$61.64$65.0026.9%7.2%24.1%20.3%25.4%0.3%0.7%31.0K2.4M-9.3K0.4531.63189852,074599
2009-03-10$64.69$65.0025.8%6.7%31.1%19.3%23.2%1.8%1.4%61.9K1.2M-15.7K0.2342.32111262,221677
2009-03-11$65.72$65.0026.1%6.9%32.2%19.6%24.1%1.4%1.3%81.1K247.1K-16.8K0.5938.26151892,277692
2009-03-12$66.81$65.0032.3%9.3%33.1%25.1%31.3%-0.0%-4.1%111.3K-863.0K-18.7K0.1082.06423442,386689
2009-03-13$66.96$65.0026.1%7.5%33.2%19.6%26.1%0.5%2.3%190.9K-2.0M-25.1K0.2453.55412982,706731
2009-03-16$67.34$65.0025.8%7.4%33.3%19.3%25.6%0.7%4.2%173.4K-2.8M-28.4K3.9537.09582292,891809
2009-03-17$66.96$65.0026.0%7.4%32.3%19.5%23.9%1.5%4.0%180.4K-2.2M-28.7K0.4837.0527132,9341,029
2009-03-18$68.50$65.0024.7%7.1%33.6%18.4%22.7%3.1%5.4%169.6K-3.5M-28.4K0.2091.89326662,9481,039
2009-03-19$67.90$65.0022.3%6.4%33.6%16.2%24.6%-0.5%4.5%295.3K-3.5M-31.8K0.4191.33147613,2671,021
2009-03-20$67.77$65.0023.3%6.7%33.3%17.1%21.9%2.0%4.3%203.3K-3.1M-32.0K0.1953.93298563,3301,082
2009-03-23$69.17$65.0020.2%5.8%33.0%14.3%20.1%2.1%5.1%388.5K-4.8M-33.6K0.6154.893352052,288685
2009-03-24$69.30$65.0021.4%6.1%32.6%15.4%21.7%0.5%4.2%471.2K-5.7M-36.8K0.8659.222472122,586815
2009-03-25$69.67$68.0022.2%6.4%32.7%16.1%22.5%1.9%3.0%498.6K-6.1M-39.7K1.1861.24901062,800972
2009-03-26$70.75$68.0022.5%6.4%32.2%16.3%23.4%0.4%0.9%569.0K-7.3M-41.1K0.5943.341931142,8351,018
2009-03-27$70.03$68.0023.2%6.7%31.9%17.0%23.7%1.8%2.9%557.7K-6.6M-40.6K0.53114.7064342,9451,064
2009-03-30$66.75$68.0022.5%6.4%34.6%16.3%24.1%2.1%3.4%285.6K-2.4M-37.5K0.6199.06110672,9231,094
2009-03-31$67.80$68.0021.8%6.2%34.9%15.7%22.8%-0.6%3.1%363.5K-3.4M-38.3K0.5057.58195972,9531,139