HYG Options History — April 2009

In April 2009, HYG traded between $67.10 and $76.27. ATM implied volatility averaged 22.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 8.0% (HV 20d: 30.0%). Max pain ranged from $68.00 to $72.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 4.28.

Notable Days

  • 2009-04-17: Highest Volume — 1,138 contracts
  • 2009-04-16: Largest IV drop — 15.0% change
  • 2009-04-20: Highest IV Rank — 17.2%
  • 2009-04-07: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.54$67.10$76.27$67.10$76.27
Max Pain$70.14$68.00$72.00$68.00$72.00
ATM IV22.0%19.8%23.6%22.4%20.2%
Expected Move6.5%5.7%7.1%6.4%5.8%
HV 20d30.0%25.2%35.2%35.2%25.2%
HV 60d29.0%27.8%30.2%27.8%28.5%
IV Rank15.8%13.8%17.2%16.3%14.2%
IV Percentile48.6%36.5%56.3%53.2%36.5%
Term Structure0.9%-2.2%2.8%2.6%2.5%
VWIV23.3%19.8%29.4%22.7%20.3%
Skew 25d2.8%-1.4%5.5%0.8%3.1%
Skew 10d5.0%-1.7%10.6%0.8%3.6%
Call IV 25d21.4%18.9%24.1%22.9%19.3%
Put IV 25d24.2%21.7%26.2%23.6%22.4%
Bid-Ask Spread %65.9843.7098.9350.4780.54
Gamma HHI0.150.090.250.110.17
Net GEX747.0K312.8K1.4M312.8K908.5K
Net DEX-9.1M-15.0M-2.9M-2.9M-13.6M
Net VEX-41.5K-55.2K-30.7K-38.1K-50.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.280.0268.271.500.50
Total Volume398.667851,13885605
Total OI4,984.9053,8776,7814,2646,781

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$67.10$68.0022.4%6.4%35.2%16.3%22.7%0.8%2.6%312.8K-2.9M-38.1K1.5050.4734513,0651,199
2009-04-02$69.54$68.0022.1%6.3%31.9%16.0%23.7%-1.4%2.5%635.6K-6.5M-42.9K0.2452.27178433,0891,242
2009-04-03$70.52$69.0021.5%6.8%31.8%15.5%23.1%2.8%2.8%844.2K-8.7M-42.7K0.4544.0387393,2181,261
2009-04-06$70.29$69.0021.8%7.0%31.7%15.7%28.8%1.5%2.8%864.8K-8.6M-41.8K3.4253.1026893,2611,294
2009-04-07$69.48$69.0021.3%7.1%28.2%15.3%24.2%2.6%2.2%824.5K-6.4M-41.6K2.1047.10491033,2771,360
2009-04-08$70.30$69.0020.6%6.7%28.0%14.7%23.4%2.9%2.0%989.3K-7.5M-42.4K1.4461.07801153,2981,401
2009-04-09$72.30$69.0022.6%6.5%29.0%16.3%22.9%2.6%0.5%1.1M-12.2M-37.2K0.4170.88221913,3221,497
2009-04-13$72.25$69.0023.5%6.8%29.0%17.2%23.5%2.9%0.1%1.2M-12.2M-39.9K0.6843.7091623,4101,567
2009-04-14$71.88$69.0023.5%6.7%29.2%17.1%23.4%2.0%0.5%1.4M-11.4M-39.0K0.1547.81210313,4441,629
2009-04-15$72.49$69.0023.3%6.7%29.1%16.9%29.4%4.1%-0.9%1.4M-13.7M-35.8K0.0543.77260143,5761,660
2009-04-16$73.64$69.0019.8%5.7%28.6%13.8%20.4%2.8%-0.4%903.6K-15.0M-30.7K0.5198.936453263,4191,571
2009-04-17$75.25$70.0021.3%6.1%28.8%15.1%21.1%3.5%-2.2%622.1K-15.0M-38.3K0.1986.029591793,5531,816
2009-04-20$72.50$71.0023.6%6.8%32.5%17.2%23.2%2.7%-1.9%458.7K-5.9M-37.1K1.3347.032773692,8051,072
2009-04-21$73.32$71.0023.1%6.6%32.0%16.8%24.3%5.3%-0.3%472.9K-5.8M-44.0K4.5085.99441982,9621,313
2009-04-22$73.67$72.0022.6%6.5%32.0%16.3%23.1%5.5%-0.2%428.5K-6.7M-38.6K0.3983.95180712,9941,447
2009-04-23$73.59$72.0021.9%6.3%32.0%15.6%23.4%3.4%0.4%459.6K-6.8M-41.0K68.2775.12117513,1191,518
2009-04-24$74.73$72.0021.7%6.2%32.0%15.5%22.1%2.9%-0.5%363.1K-7.4M-45.0K2.0874.90511063,1272,212
2009-04-27$74.14$72.0022.3%6.4%31.9%16.0%23.0%3.3%1.8%332.2K-6.5M-43.7K0.4576.706272843,1482,279
2009-04-28$74.30$72.0022.1%6.3%25.7%15.9%24.3%3.6%1.4%505.1K-7.2M-55.2K1.1677.97901043,6502,533
2009-04-29$75.68$72.0021.1%6.0%25.8%15.0%19.8%2.3%2.2%592.8K-10.9M-47.2K0.0284.30609123,6962,598
2009-04-30$76.27$72.0020.2%5.8%25.2%14.2%20.3%3.1%2.5%908.5K-13.6M-50.2K0.5080.544032024,1712,610