HYG Options History — August 2009

In August 2009, HYG traded between $79.87 and $83.90. ATM implied volatility averaged 13.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.0% (HV 20d: 13.5%). Max pain ranged from $81.00 to $83.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 7.45.

Notable Days

  • 2009-08-26: Highest Volume — 3,220 contracts
  • 2009-08-13: Largest IV spike — 31.8% change
  • 2009-08-17: Highest IV Rank — 11.4%
  • 2009-08-17: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.45$79.87$83.90$83.90$82.32
Max Pain$81.90$81.00$83.00$83.00$82.00
ATM IV13.5%10.8%17.2%11.4%13.2%
Expected Move4.0%3.2%4.9%3.3%3.8%
HV 20d13.5%9.9%15.8%13.3%14.3%
HV 60d14.3%13.4%15.1%15.1%14.3%
IV Rank8.1%5.8%11.4%6.2%7.7%
IV Percentile18.7%11.9%29.4%14.3%16.7%
Term Structure1.3%-0.2%2.6%1.9%0.8%
VWIV14.5%9.9%19.9%11.6%19.9%
Skew 25d2.9%-0.1%5.1%0.8%3.7%
Skew 10d4.6%-2.2%11.7%0.4%4.0%
Call IV 25d12.7%11.4%15.1%11.6%12.3%
Put IV 25d15.6%11.7%18.7%12.4%16.0%
Bid-Ask Spread %52.6517.0684.3968.8923.11
Gamma HHI0.230.170.360.360.19
Net GEX1.1M-1.2M3.0M2.3M1.4M
Net DEX-6.9M-22.1M18.9M-22.1M-6.4M
Net VEX-134.7K-152.3K-116.1K-150.3K-124.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.450.0376.000.540.05
Total Volume827.143773,2201,8052,240
Total OI16,694.8114,54618,42114,54616,776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$83.90$83.0011.4%3.3%13.3%6.2%11.6%0.8%1.9%2.3M-22.1M-150.3K0.5468.891,1736328,3996,147
2009-08-04$83.72$83.0011.1%3.2%11.7%6.0%9.9%-0.1%2.3%2.3M-20.8M-152.3K0.3040.84139428,7006,605
2009-08-05$83.45$83.0011.6%3.3%12.0%6.4%11.8%0.2%2.6%1.9M-17.8M-137.3K0.6541.896264078,0126,614
2009-08-06$82.79$83.0011.5%3.3%12.3%6.3%11.7%0.4%2.2%1.7M-11.7M-144.0K0.4949.024462198,5216,955
2009-08-07$83.37$81.0011.5%4.0%11.6%6.3%15.7%3.4%1.4%2.4M-16.8M-146.1K1.0184.392242268,9317,089
2009-08-10$83.75$81.0010.8%3.8%11.5%5.8%16.1%3.1%1.8%3.0M-20.7M-144.6K0.1333.93176228,9937,292
2009-08-11$83.55$81.0012.7%4.1%11.8%7.4%14.0%3.1%2.0%2.8M-20.4M-149.0K1.0282.681121149,1397,306
2009-08-12$83.34$81.0011.3%4.2%9.9%6.2%15.0%2.9%1.6%2.3M-16.7M-135.2K76.0037.921769,2217,374
2009-08-13$82.28$81.0014.9%4.3%11.4%9.4%14.3%1.8%1.6%666.7K-6.1M-131.2K0.7718.513662829,2217,400
2009-08-14$81.87$81.0015.3%4.4%11.7%9.7%15.9%3.2%1.4%540.2K-2.3M-132.3K62.1627.47251,5549,4927,570
2009-08-17$79.87$82.0017.2%4.9%14.1%11.4%17.0%3.4%-0.2%-1.1M18.9M-129.0K6.0631.40694189,5028,749
2009-08-18$81.25$82.0016.4%4.7%15.3%10.8%15.1%4.8%0.4%-1.2M10.6M-125.7K1.7481.201642859,5438,822
2009-08-19$81.58$82.0015.2%4.4%15.4%9.7%17.1%5.1%1.9%-927.5K6.1M-132.3K1.1446.871111269,5698,793
2009-08-20$81.33$82.0016.4%4.7%15.0%10.7%17.9%3.3%-0.2%-988.0K8.2M-127.9K0.3276.82132429,5348,813
2009-08-21$82.44$82.0015.0%4.3%15.7%9.5%12.3%4.0%1.4%316.0K-1.0M-120.6K0.0381.58368129,6118,810
2009-08-24$82.01$82.0014.3%4.1%15.8%8.8%14.3%4.1%0.8%422.4K-2.7M-126.4K0.2683.111,0202687,6657,659
2009-08-25$82.00$82.0013.8%4.0%15.8%8.2%14.9%3.8%1.2%1.1M-5.6M-121.4K0.2382.221,1652738,3477,815
2009-08-26$82.32$82.0013.7%3.9%15.8%8.1%13.6%3.5%0.6%1.4M-7.5M-133.3K0.0474.763,0981228,5947,969
2009-08-27$81.90$82.0013.4%3.8%15.6%7.8%12.6%3.2%0.6%1.4M-5.6M-149.8K0.8021.9112910310,2258,077
2009-08-28$82.31$82.0013.2%3.8%14.4%7.7%14.0%2.9%0.7%1.1M-4.6M-116.1K2.6317.061002638,6378,100
2009-08-31$82.32$82.0013.2%3.8%14.3%7.7%19.9%3.7%0.8%1.4M-6.4M-124.4K0.0523.112,1291118,5458,231