HYG Options History — July 2009

In July 2009, HYG traded between $75.57 and $84.45. ATM implied volatility averaged 11.0%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 4.6% (HV 20d: 15.6%). Max pain ranged from $78.00 to $82.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.69.

Notable Days

  • 2009-07-20: Highest Volume — 4,560 contracts
  • 2009-07-02: Largest IV spike — 22.2% change
  • 2009-07-07: Highest IV Rank — 8.3%
  • 2009-07-07: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.45$75.57$84.45$79.18$84.45
Max Pain$78.73$78.00$82.00$80.00$82.00
ATM IV11.0%9.5%13.7%9.5%11.8%
Expected Move3.3%2.7%4.4%2.7%3.4%
HV 20d15.6%11.6%17.2%11.6%14.5%
HV 60d16.6%15.2%18.5%18.1%15.5%
IV Rank5.9%4.6%8.3%4.6%6.6%
IV Percentile12.6%8.7%17.1%13.1%15.5%
Term Structure1.7%0.0%3.0%3.0%1.4%
VWIV11.9%8.6%15.9%8.6%15.7%
Skew 25d3.0%-0.3%4.7%3.3%1.8%
Skew 10d5.7%-1.9%11.2%5.4%4.9%
Call IV 25d10.3%6.4%14.1%9.1%10.7%
Put IV 25d13.3%10.2%17.4%12.4%12.5%
Bid-Ask Spread %66.8232.1187.1672.3753.17
Gamma HHI0.210.120.480.190.36
Net GEX1.3M-393.7K3.6M1.7M2.9M
Net DEX-2.5M-31.5M15.8M22.2K-31.5M
Net VEX-95.8K-151.3K-48.4K-76.9K-138.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.0224.601.080.06
Total Volume764.318194,5608533,976
Total OI12,061.6829,51015,0599,66415,059

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$79.18$80.009.5%2.7%11.6%4.6%8.6%3.3%3.0%1.7M22.2K-76.9K1.0872.374104434,6325,032
2009-07-02$77.80$80.0011.6%3.3%13.2%6.5%10.9%2.2%2.2%766.9K6.8M-81.9K0.3332.11153514,8895,302
2009-07-06$76.64$78.0013.0%4.3%14.1%7.7%14.1%2.6%1.5%109.2K11.8M-71.5K0.8854.6294834,9445,317
2009-07-07$75.57$78.0013.7%4.4%14.8%8.3%15.9%2.6%1.6%-393.7K15.8M-68.0K1.4357.59841204,9765,311
2009-07-08$76.03$78.0013.4%4.3%15.0%8.0%14.1%3.4%1.7%-147.2K13.8M-64.5K0.6854.22108734,9785,388
2009-07-09$77.12$78.0011.6%3.9%16.0%6.4%12.4%3.9%2.2%208.0K11.6M-67.1K0.8241.5977634,9815,422
2009-07-10$76.53$78.0010.5%3.8%16.1%5.5%12.9%4.1%1.7%-161.9K13.7M-62.4K0.2762.671545,0445,434
2009-07-13$76.70$78.0012.0%3.9%16.0%6.8%13.6%3.3%1.7%-174.4K13.4M-64.6K0.4165.7569285,0105,425
2009-07-14$77.00$78.0011.2%3.9%15.3%6.1%13.6%3.5%1.0%34.9K11.6M-58.0K0.0233.7217545,0695,425
2009-07-15$78.70$78.0012.4%2.9%17.0%7.1%12.8%3.7%1.4%2.3M1.9M-48.4K0.1563.99577845,1475,426
2009-07-16$78.94$78.0010.5%3.0%16.8%5.4%13.0%3.5%2.2%3.1M922.3K-64.8K4.0076.0715605,5485,486
2009-07-17$79.01$78.009.9%2.8%16.5%4.9%11.0%3.4%2.3%3.6M-917.2K-51.2K24.6075.43832,0425,1815,145
2009-07-20$80.11$78.0010.4%3.0%17.2%5.4%10.3%3.5%2.0%78.3K985.4K-88.7K0.0274.124,4561043,9385,572
2009-07-21$80.50$78.0010.2%2.9%16.3%5.2%10.5%3.3%2.1%1.5M-8.5M-136.9K0.2879.55124358,3565,630
2009-07-22$80.60$78.0010.4%3.0%16.3%5.3%10.4%3.8%1.7%1.5M-9.8M-132.6K0.4082.14221898,4205,631
2009-07-23$81.42$78.0010.2%2.9%16.5%5.2%10.5%2.3%1.2%1.6M-15.6M-142.4K0.1180.52777838,6255,694
2009-07-24$81.90$79.0010.0%2.9%16.4%5.0%8.9%4.7%0.9%2.0M-16.8M-129.2K0.2787.16127349,2935,764
2009-07-27$82.05$79.009.8%2.8%16.3%4.8%10.1%2.1%1.9%2.2M-17.0M-135.2K0.3581.88102369,1565,787
2009-07-28$82.14$79.009.6%2.8%15.9%4.6%12.3%2.7%1.1%2.0M-17.9M-130.2K0.2982.27312909,0565,769
2009-07-29$82.42$80.009.9%2.8%15.9%4.9%9.4%3.1%1.9%2.0M-18.1M-143.8K0.6174.61158978,7525,812
2009-07-30$83.10$81.0010.8%3.1%15.7%5.7%9.7%-0.3%0.0%1.7M-21.9M-151.3K0.1884.439131668,6325,899
2009-07-31$84.45$82.0011.8%3.4%14.5%6.6%15.7%1.8%1.4%2.9M-31.5M-138.3K0.0653.173,7622149,0396,020