HYG Options History — October 2009

In October 2009, HYG traded between $83.39 and $87.00. ATM implied volatility averaged 14.5%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.5% (HV 20d: 15.1%). Max pain ranged from $85.00 to $86.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.94.

Notable Days

  • 2009-10-01: Highest Volume — 11,590 contracts
  • 2009-10-15: Largest IV spike — 25.1% change
  • 2009-10-30: Highest IV Rank — 16.7%
  • 2009-10-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.57$83.39$87.00$83.39$85.18
Max Pain$85.32$85.00$86.00$85.00$85.00
ATM IV14.5%11.8%17.8%17.8%16.8%
Expected Move4.3%3.4%5.1%5.1%4.8%
HV 20d15.1%10.7%17.3%17.0%11.4%
HV 60d14.6%14.0%15.4%15.4%14.7%
IV Rank7.6%3.1%16.7%7.8%16.7%
IV Percentile21.6%9.1%40.5%36.9%40.5%
Term Structure0.6%-0.7%2.4%0.5%0.3%
VWIV15.8%12.5%21.9%17.4%21.9%
Skew 25d3.4%1.3%4.6%1.3%4.6%
Skew 10d5.2%2.6%10.8%2.6%10.2%
Call IV 25d13.7%10.5%17.0%17.0%15.3%
Put IV 25d17.1%13.8%19.9%18.2%19.9%
Bid-Ask Spread %23.8612.9837.0528.7124.53
Gamma HHI0.240.160.360.210.24
Net GEX-2.9M-8.3M5.9M-3.4M-7.1M
Net DEX9.1M-12.4M48.8M13.8M34.7M
Net VEX-205.9K-266.6K-153.3K-168.9K-266.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.940.1935.677.550.98
Total Volume2,135.13613411,59011,5905,715
Total OI32,037.54523,47838,66724,78833,433

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$83.39$85.0017.8%5.1%17.0%7.8%17.4%1.3%0.5%-3.4M13.8M-168.9K7.5528.711,35610,2347,42417,364
2009-10-02$83.42$85.0016.7%4.8%16.9%6.8%16.8%2.6%1.5%-8.3M48.8M-263.1K3.6821.671,0563,8847,62927,338
2009-10-05$84.54$86.0015.8%4.9%17.3%5.9%17.4%4.0%-0.2%-8.0M25.6M-243.1K0.2119.48366768,23228,864
2009-10-06$84.25$86.0016.0%4.9%16.8%6.1%17.6%3.9%0.6%-4.5M23.1M-244.5K2.2012.985381,1818,48825,515
2009-10-07$84.87$85.0015.4%4.8%16.4%5.5%18.3%4.2%-0.3%-4.5M15.4M-226.3K4.8016.764272,0508,77526,411
2009-10-08$85.41$85.0015.4%4.8%15.8%5.5%17.2%3.2%-0.4%-3.5M12.3M-251.5K3.7917.751395279,15728,415
2009-10-09$85.74$85.0014.3%4.6%15.5%4.5%16.4%3.5%0.8%-2.0M4.9M-230.7K2.3418.99801879,13228,807
2009-10-12$85.72$85.0015.4%4.5%15.5%5.5%15.9%3.8%-0.7%-917.2K1.1M-213.9K0.3816.6597379,16028,843
2009-10-13$85.70$85.0013.5%4.6%15.3%3.8%15.2%3.6%1.0%-680.1K2.6M-208.3K0.1918.07190369,20128,811
2009-10-14$86.04$85.0012.8%4.7%14.7%3.1%16.8%3.6%-0.7%1.6M-10.0M-177.0K1.1318.024404969,30728,835
2009-10-15$86.02$85.0016.0%4.6%14.7%6.1%15.9%4.0%-0.1%3.3M-4.1M-190.8K1.3116.803875089,05729,035
2009-10-16$86.01$85.0013.9%4.0%14.7%10.1%14.0%2.4%2.4%5.9M-5.1M-184.4K0.3328.641,8055899,24129,426
2009-10-19$86.03$85.0013.6%3.9%14.7%9.5%13.0%3.5%0.7%-3.1M3.8M-176.8K0.5825.595152975,74817,730
2009-10-20$86.19$85.0013.1%3.7%14.7%8.2%12.5%3.0%1.7%-2.9M-1.8M-165.3K1.8733.933015646,23917,934
2009-10-21$86.34$85.0012.9%3.7%14.6%7.7%12.8%3.5%1.9%-2.0M-6.1M-159.1K1.6729.307311,2196,44318,454
2009-10-22$87.00$86.0011.8%3.4%14.9%5.2%13.0%3.3%2.4%-1.6M-12.4M-153.3K9.6237.051291,2416,79718,869
2009-10-23$86.85$86.0012.2%3.5%14.8%6.1%13.1%2.7%0.4%-2.2M-6.5M-165.5K0.6924.252071426,67720,035
2009-10-26$86.90$86.0012.3%3.5%14.6%6.5%14.2%3.2%0.5%-2.9M-3.0M-181.0K35.6735.78124286,73620,139
2009-10-27$86.22$86.0013.5%3.9%14.8%9.2%15.0%3.1%1.0%-4.1M6.7M-195.2K4.5926.575352,4576,70120,656
2009-10-28$84.80$86.0015.4%4.4%16.0%13.6%17.6%3.6%-0.4%-7.2M39.3M-234.1K1.5422.107381,1366,90022,530
2009-10-29$85.99$85.0015.4%4.4%10.7%13.5%16.6%4.4%1.2%-5.7M17.9M-229.9K1.6031.211,5052,4157,54722,791
2009-10-30$85.18$85.0016.8%4.8%11.4%16.7%21.9%4.6%0.3%-7.1M34.7M-266.6K0.9824.532,8852,8308,48124,952