HYG Options History — June 2009

In June 2009, HYG traded between $77.12 and $79.74. ATM implied volatility averaged 15.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.6% (HV 20d: 14.1%). Max pain ranged from $76.00 to $82.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2009-06-22: Highest Volume — 1,467 contracts
  • 2009-06-11: Largest IV spike — 10.9% change
  • 2009-06-17: Highest IV Rank — 11.8%
  • 2009-06-08: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.51$77.12$79.74$78.95$79.71
Max Pain$79.27$76.00$82.00$76.00$79.00
ATM IV15.7%12.3%17.6%16.2%12.3%
Expected Move4.6%3.5%5.3%4.7%3.5%
HV 20d14.1%11.3%18.3%18.2%11.5%
HV 60d22.0%18.0%24.8%24.8%18.0%
IV Rank10.2%7.1%11.8%10.6%7.1%
IV Percentile19.9%14.3%25.0%21.0%14.3%
Term Structure0.8%-1.0%2.1%1.3%2.0%
VWIV15.9%12.8%18.5%16.8%17.9%
Skew 25d3.4%0.3%6.8%1.8%6.8%
Skew 10d8.3%4.2%11.4%9.7%6.5%
Call IV 25d14.4%8.8%16.9%15.4%8.8%
Put IV 25d17.7%15.1%20.7%17.2%15.6%
Bid-Ask Spread %63.8934.1392.6990.3634.13
Gamma HHI0.180.150.260.170.19
Net GEX1.1M142.7K2.5M1.0M1.5M
Net DEX-6.8M-20.2M8.2M-17.8M-3.6M
Net VEX-67.0K-82.3K-54.8K-54.8K-82.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.034.010.610.07
Total Volume485.364711,4675761,399
Total OI10,078.1827,54212,2639,52410,017

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$78.95$76.0016.2%4.7%18.2%10.6%16.8%1.8%1.3%1.0M-17.8M-54.8K0.6190.363572194,9704,554
2009-06-02$78.72$77.0016.4%4.7%18.3%10.8%12.8%1.9%1.7%1.1M-14.0M-57.7K0.5691.613632044,8654,733
2009-06-03$78.27$77.0017.1%4.9%18.3%11.4%17.0%0.3%1.5%1.0M-10.9M-67.2K0.6790.53123824,8604,814
2009-06-04$78.51$77.0015.7%4.5%18.1%10.1%15.6%1.2%2.1%1.0M-12.6M-61.0K0.3992.6951204,9444,881
2009-06-05$78.76$80.0015.9%5.0%16.9%10.3%17.0%3.9%-0.6%971.8K-14.1M-62.1K0.3640.65163594,9944,888
2009-06-08$78.90$80.0015.9%5.3%15.8%10.3%18.3%3.9%-0.7%1.1M-16.3M-58.7K0.4555.83166745,1204,873
2009-06-09$79.05$80.0015.5%5.1%15.6%9.9%16.5%3.6%-1.0%1.2M-16.8M-58.5K2.7157.46822225,2054,929
2009-06-10$79.15$80.0015.8%5.1%15.6%10.3%16.0%4.6%-0.4%1.0M-17.3M-59.3K0.1559.508051235,2335,074
2009-06-11$79.33$82.0017.6%5.0%14.6%11.8%16.0%2.9%-0.8%1.0M-18.7M-67.6K0.5560.69149825,7205,150
2009-06-12$79.74$81.0015.8%4.5%13.8%10.2%14.5%3.6%0.8%850.2K-20.2M-61.2K0.0766.54352245,7915,228
2009-06-15$78.56$80.0015.9%4.6%13.9%10.3%17.3%3.4%0.9%1.6M-9.0M-65.4K2.3168.35621435,5705,231
2009-06-16$77.81$80.0016.7%4.8%12.9%11.0%17.1%4.2%0.6%1.9M-2.6M-61.7K0.8465.002792345,5675,363
2009-06-17$77.36$80.0017.6%5.1%13.0%11.8%18.5%4.4%-0.5%2.5M650.1K-60.8K1.3466.47961295,7215,554
2009-06-18$78.10$80.0017.3%4.9%12.4%11.5%16.8%3.9%-0.2%1.8M-3.9M-56.7K4.0164.192329305,7405,670
2009-06-19$78.18$80.0016.6%4.8%11.3%10.9%14.4%4.8%1.4%1.2M-643.7K-72.6K0.0364.90437145,7026,561
2009-06-22$77.12$80.0016.4%4.7%11.6%10.7%15.7%3.6%1.4%191.5K5.3M-73.1K3.1170.663571,1103,7943,748
2009-06-23$77.25$79.0015.3%4.4%11.5%9.8%15.0%2.8%2.0%142.7K8.2M-77.0K0.3152.95258804,0974,773
2009-06-24$77.64$79.0014.6%4.2%11.6%9.2%14.5%2.4%1.9%343.2K6.3M-80.9K0.4250.80140594,2504,840
2009-06-25$78.38$79.0013.9%4.0%12.0%8.5%14.6%4.1%1.8%592.4K4.3M-77.0K0.3250.513681194,3684,890
2009-06-26$78.36$79.0013.9%4.0%11.8%8.5%13.5%2.5%1.8%712.7K3.8M-79.7K0.2776.14137374,6644,983
2009-06-29$79.34$79.0013.7%3.9%11.5%8.3%14.0%3.5%1.6%1.2M-648.3K-78.8K0.0935.63311274,7715,020
2009-06-30$79.71$79.0012.3%3.5%11.5%7.1%17.9%6.8%2.0%1.5M-3.6M-82.3K0.0734.131,303965,0065,011