HYG Options History — December 2009

In December 2009, HYG traded between $85.70 and $88.64. ATM implied volatility averaged 7.3%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.6% (HV 20d: 4.7%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2009-12-28: Highest Volume — 4,946 contracts
  • 2009-12-28: Largest IV spike — 32.8% change
  • 2009-12-16: Highest IV Rank — 4.5%
  • 2009-12-08: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.24$85.70$88.64$85.70$87.84
Max Pain$86.55$86.00$88.00$86.00$88.00
ATM IV7.3%5.6%8.5%7.0%6.2%
Expected Move2.2%1.6%2.7%2.0%1.8%
HV 20d4.7%4.0%6.3%4.1%6.2%
HV 60d10.0%7.3%11.8%11.8%7.3%
IV Rank2.1%0.0%4.5%0.2%1.3%
IV Percentile3.0%0.0%6.7%0.4%0.4%
Term Structure2.4%0.5%4.0%2.3%2.0%
VWIV7.8%4.4%12.3%7.1%6.7%
Skew 25d2.7%0.3%4.6%1.3%1.7%
Skew 10d3.3%0.6%6.7%0.6%0.8%
Call IV 25d5.7%3.3%7.5%6.9%5.3%
Put IV 25d8.5%6.4%10.7%8.2%7.1%
Bid-Ask Spread %37.4416.7664.4018.0135.68
Gamma HHI0.280.220.350.220.22
Net GEX949.3K-878.8K2.4M-175.3K-378.5K
Net DEX-2.3M-12.7M4.7M3.5M1.7M
Net VEX-56.2K-65.7K-46.8K-46.8K-56.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.035.801.342.48
Total Volume709.9091084,9461,203108
Total OI14,836.1367,64919,69715,3639,433

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$85.70$86.007.0%2.0%4.1%0.2%7.1%1.3%2.3%-175.3K3.5M-46.8K1.3418.015156882,14413,219
2009-12-02$85.79$86.006.8%2.0%4.1%0.0%6.8%1.2%1.4%908.6K1.1M-48.3K4.2716.763171,3532,59413,466
2009-12-03$85.90$86.006.5%1.9%4.0%0.0%6.7%1.1%2.3%581.9K4.7M-65.7K5.8017.40442552,85514,752
2009-12-04$86.25$86.007.6%2.6%4.3%2.4%8.0%3.2%2.5%846.5K2.3M-65.7K0.4544.706362872,87714,947
2009-12-07$86.36$86.007.7%2.6%4.3%2.7%8.3%3.7%2.7%1.4M1.3M-64.8K0.7624.961781353,46515,107
2009-12-08$86.46$86.007.6%2.7%4.1%2.5%10.0%3.8%2.4%2.1M-336.1K-61.6K0.0043.0103463,60215,232
2009-12-09$86.46$86.007.0%2.5%4.1%1.2%7.0%3.7%2.7%1.7M-589.5K-63.0K2.4039.38621493,58215,405
2009-12-10$86.89$86.007.2%2.1%4.4%1.6%7.7%3.1%2.5%1.8M-4.3M-55.4K1.1529.491261453,62515,509
2009-12-11$86.94$86.007.6%2.2%4.4%2.6%7.9%3.3%2.2%1.9M-7.1M-54.4K0.3135.68153473,73015,654
2009-12-14$87.64$86.007.6%2.2%5.0%2.5%7.6%2.7%3.8%2.4M-12.7M-48.2K0.2547.374561143,78215,632
2009-12-15$87.55$86.007.6%2.2%4.9%2.5%7.7%2.8%4.0%2.3M-11.8M-49.4K0.5746.73109623,77915,583
2009-12-16$87.75$86.008.5%2.4%4.9%4.5%8.4%3.7%3.3%2.2M-9.9M-49.4K0.6064.405653383,32015,625
2009-12-17$87.70$86.008.0%2.3%4.8%3.5%9.6%3.4%3.6%2.2M-8.3M-59.7K2.6231.29531393,71115,884
2009-12-18$87.65$87.007.6%2.2%4.8%2.6%9.2%2.8%1.9%2.3M-8.7M-52.2K1.5847.90881393,69616,001
2009-12-21$87.91$87.007.4%2.1%4.8%2.2%8.0%3.1%1.9%-35.9K-568.6K-54.0K2.3727.591232912,0615,588
2009-12-22$88.10$87.007.0%2.0%4.8%1.2%6.7%3.7%2.3%17.6K-1.5M-49.3K0.3437.63155522,0965,725
2009-12-23$88.31$87.007.7%2.2%4.8%2.7%7.8%4.3%0.5%10.0K-1.8M-55.6K1.6034.532744382,1445,808
2009-12-24$88.64$87.005.6%1.6%4.9%0.0%4.4%4.6%3.6%263.9K-3.1M-59.6K0.4753.502231042,2546,213
2009-12-28$88.38$87.007.5%2.1%4.1%4.1%12.3%1.7%1.8%228.0K-1.2M-60.2K0.0348.374,8121342,4466,302
2009-12-29$87.33$88.007.3%2.1%6.3%3.6%7.1%1.0%1.8%-878.8K4.7M-59.4K0.8346.795804821,9966,428
2009-12-30$87.70$88.007.2%2.1%6.2%3.4%7.3%0.3%1.3%-744.2K2.3M-57.4K1.9132.561182252,3536,770
2009-12-31$87.84$88.006.2%1.8%6.2%1.3%6.7%1.7%2.0%-378.5K1.7M-56.5K2.4835.6831772,4556,978