HYG Options History — September 2009

In September 2009, HYG traded between $80.42 and $86.47. ATM implied volatility averaged 14.8%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.2% (HV 20d: 14.5%). Max pain ranged from $82.00 to $84.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.54.

Notable Days

  • 2009-09-01: Highest Volume — 5,586 contracts
  • 2009-09-10: Largest IV spike — 11.0% change
  • 2009-09-10: Highest IV Rank — 9.6%
  • 2009-09-09: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.30$80.42$86.47$80.85$86.35
Max Pain$82.76$82.00$84.00$82.00$84.00
ATM IV14.8%13.7%15.9%14.1%14.3%
Expected Move4.3%4.0%4.8%4.0%4.1%
HV 20d14.5%10.6%17.8%15.5%10.6%
HV 60d14.8%13.4%15.2%14.8%13.4%
IV Rank7.3%4.5%9.6%8.5%4.5%
IV Percentile20.8%16.7%27.0%20.2%17.9%
Term Structure0.1%-1.9%1.5%1.1%0.8%
VWIV15.4%13.9%18.7%14.7%18.7%
Skew 25d3.3%1.7%4.3%1.7%2.8%
Skew 10d8.3%2.1%12.0%2.1%7.9%
Call IV 25d13.6%12.8%15.2%13.6%13.5%
Put IV 25d16.9%15.3%18.1%15.3%16.3%
Bid-Ask Spread %42.1019.9561.7325.9325.95
Gamma HHI0.250.160.360.220.23
Net GEX10.4K-2.5M2.3M288.8K365.3K
Net DEX-15.4M-50.2M16.3M3.6M-21.2M
Net VEX-147.5K-184.9K-113.4K-113.4K-122.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.540.1020.2013.940.20
Total Volume1,257.6672925,5865,5861,620
Total OI25,210.52416,68430,29316,68425,096

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$80.85$82.0014.1%4.0%15.5%8.5%14.7%1.7%1.1%288.8K3.6M-113.4K13.9425.933745,2128,4018,283
2009-09-02$80.42$82.0015.2%4.4%15.6%9.5%14.8%2.1%0.5%-1.9M15.3M-150.7K1.5827.502724298,56913,379
2009-09-03$80.94$82.0013.8%4.0%15.7%8.2%13.9%2.1%1.5%-1.8M11.2M-154.1K19.4319.951322,5658,70313,700
2009-09-04$81.56$82.0013.7%4.7%15.7%8.2%17.3%3.3%-1.2%-1.6M10.7M-177.5K5.9055.914202,4768,79616,043
2009-09-08$82.72$83.0013.7%4.5%16.5%7.6%16.5%4.2%-0.5%-1.4M4.1M-177.7K1.3433.352172909,08018,344
2009-09-09$81.94$83.0014.3%4.8%16.8%8.2%17.0%2.9%-1.2%-2.5M16.3M-184.9K0.5659.961871059,22118,524
2009-09-10$83.21$83.0015.9%4.6%17.8%9.6%15.0%3.7%-0.6%-408.6K-4.9M-174.5K0.1847.80361649,36818,572
2009-09-11$84.00$82.0015.5%4.4%17.4%9.2%14.0%4.3%-0.1%358.2K-19.1M-169.0K0.2244.956501439,63918,617
2009-09-14$84.10$82.0015.4%4.4%17.2%9.2%14.3%4.0%-0.2%990.9K-24.3M-155.0K0.2834.308392399,83718,677
2009-09-15$84.70$82.0014.9%4.3%14.3%8.7%15.9%3.7%0.7%2.3M-38.3M-144.7K0.6640.9532921810,25218,724
2009-09-16$85.79$82.0014.7%4.2%13.8%8.6%15.1%4.1%0.5%352.2K-50.2M-131.5K1.0934.1447952410,19919,877
2009-09-17$85.94$83.0014.7%4.2%13.8%8.5%14.0%3.5%0.3%308.3K-49.6M-128.6K0.1055.32793769,97020,323
2009-09-18$85.70$83.0015.7%4.5%13.8%9.4%15.9%2.9%-1.9%837.1K-46.1M-131.2K1.2158.798421,0169,95120,299
2009-09-21$85.75$83.0015.9%4.6%13.2%6.0%17.3%3.6%-0.7%480.2K-19.1M-127.3K2.6761.732616987,20714,089
2009-09-22$85.65$83.0014.6%4.2%13.0%4.8%15.2%3.4%0.1%242.4K-15.7M-148.1K1.0538.782162277,28514,749
2009-09-23$85.91$83.0014.7%4.2%12.9%4.9%15.3%3.9%1.2%381.6K-17.6M-149.4K2.1058.562495237,44914,938
2009-09-24$86.07$83.0014.4%4.1%12.9%4.6%14.3%3.8%1.0%413.1K-18.4M-144.5K0.3544.174891717,64115,355
2009-09-25$85.79$83.0014.7%4.2%12.8%4.9%14.5%3.5%0.6%471.7K-16.3M-145.6K0.2939.113651067,81015,501
2009-09-28$86.47$84.0014.9%4.3%12.9%5.0%14.2%3.3%0.4%965.5K-23.1M-134.1K0.9939.101961947,86915,487
2009-09-29$86.37$84.0015.0%4.3%13.0%5.1%16.6%2.9%0.7%1.1M-21.4M-134.7K20.2037.76871,7577,94715,650
2009-09-30$86.35$84.0014.3%4.1%10.6%4.5%18.7%2.8%0.8%365.3K-21.2M-122.0K0.2025.951,3522687,87617,220