HYG Options History — March 2010

In March 2010, HYG traded between $86.59 and $88.74. ATM implied volatility averaged 10.7%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.2% (HV 20d: 7.5%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 4.54.

Notable Days

  • 2010-03-16: Highest Volume — 3,430 contracts
  • 2010-03-11: Largest IV spike — 23.5% change
  • 2010-03-19: Highest IV Rank — 44.0%
  • 2010-03-05: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.12$86.59$88.74$86.59$88.37
Max Pain$87.30$87.00$88.00$87.00$88.00
ATM IV10.7%7.6%12.9%11.5%7.7%
Expected Move3.2%2.2%3.7%3.3%2.2%
HV 20d7.5%3.9%11.4%11.2%4.1%
HV 60d8.8%8.3%9.0%8.8%8.3%
IV Rank29.7%20.5%44.0%27.6%20.9%
IV Percentile27.4%11.1%43.3%29.4%12.7%
Term Structure0.5%-1.4%2.4%1.0%2.4%
VWIV11.6%7.4%16.1%11.4%7.9%
Skew 25d2.9%1.7%4.8%2.5%2.3%
Skew 10d6.7%2.5%12.2%7.2%3.9%
Call IV 25d9.9%7.1%12.5%11.2%7.4%
Put IV 25d12.8%9.7%15.4%13.7%9.7%
Bid-Ask Spread %26.0410.2245.8115.2517.11
Gamma HHI0.180.130.250.180.24
Net GEX-2.4M-6.8M1.2M-6.8M-2.0M
Net DEX7.9M-6.9M33.5M33.5M3.4M
Net VEX-147.1K-197.1K-85.3K-197.1K-110.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.540.1330.030.463.15
Total Volume1,126.6091473,4305801,350
Total OI30,028.39120,78040,86429,40623,468

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$86.59$87.0011.5%3.3%11.2%27.6%11.4%2.5%1.0%-6.8M33.5M-197.1K0.4615.253971833,93025,476
2010-03-02$87.15$87.0011.2%3.2%11.4%26.7%11.8%2.6%1.2%-5.5M23.2M-173.3K2.2412.071232764,26425,581
2010-03-03$87.24$87.0011.1%3.2%11.4%26.2%11.0%2.9%1.9%-4.1M22.9M-174.9K1.6110.221702744,37625,739
2010-03-04$87.31$87.0011.8%3.4%11.2%28.9%12.9%2.6%0.8%-3.8M18.9M-163.1K6.1910.531811,1204,47525,989
2010-03-05$87.83$87.0010.5%3.7%9.9%24.1%12.7%1.7%-0.5%-3.5M11.4M-136.7K0.7118.843062174,57627,003
2010-03-08$87.85$87.0010.7%3.6%9.6%24.8%11.6%3.3%-0.6%-2.3M11.6M-154.3K0.9041.073993594,77227,069
2010-03-09$88.23$87.0010.5%3.6%9.4%24.1%14.0%3.3%-1.4%-1.5M6.8M-146.0K1.6645.81731215,07527,343
2010-03-10$88.26$87.0010.2%3.5%9.4%23.3%15.6%4.0%-0.5%43.5K4.4M-142.2K10.1540.981951,9795,10827,386
2010-03-11$88.18$87.0012.7%3.6%7.5%31.7%15.5%4.4%0.6%-915.7K9.3M-159.1K3.3441.875621,8795,21128,611
2010-03-12$88.20$87.0012.8%3.7%7.5%32.1%13.4%4.3%-1.0%-307.5K5.4M-161.5K1.0534.641451525,74730,166
2010-03-15$88.10$87.0012.9%3.7%7.5%41.4%11.6%4.5%0.4%398.5K8.9M-170.9K1.3743.2262855,81630,213
2010-03-16$88.40$87.0012.9%3.7%7.0%41.6%16.1%4.8%-0.3%1.2M-4.2M-114.6K17.9543.211813,2495,82630,257
2010-03-17$88.40$87.0012.4%3.5%6.7%39.3%11.4%2.3%-0.7%-1.6M-1.6M-160.0K0.1328.901,0291345,86333,469
2010-03-18$88.53$87.0011.7%3.4%6.1%38.5%14.0%2.7%-0.9%-1.4M-6.9M-151.0K3.2929.504151,3646,22933,539
2010-03-19$88.09$87.0012.4%3.5%6.1%44.0%13.8%3.2%-0.5%-4.7M1.3M-146.2K7.0034.252351,6446,02934,835
2010-03-22$88.51$87.0010.0%2.9%6.3%32.1%10.9%1.8%0.8%-2.3M6.6M-145.6K1.9123.534638833,19117,589
2010-03-23$88.50$88.009.7%2.8%5.5%30.7%9.4%2.4%0.8%-2.3M4.5M-131.3K6.6018.691851,2213,55118,244
2010-03-24$88.45$88.0010.0%2.9%5.5%32.1%9.1%2.0%1.0%-2.6M5.6M-139.1K0.4219.28189803,66918,922
2010-03-25$88.66$88.008.7%2.5%5.5%25.7%9.1%2.2%1.8%-4.2M6.9M-148.0K30.0321.011013,0333,73518,966
2010-03-26$88.63$88.008.2%2.3%5.1%23.1%8.5%3.2%1.7%-2.7M7.6M-145.6K0.2413.95168413,78819,173
2010-03-29$88.74$88.008.1%2.3%4.3%22.9%8.7%2.9%1.6%-2.2M-2.6M-85.3K3.7118.19451673,93619,198
2010-03-30$88.65$88.007.6%2.2%3.9%20.5%7.4%1.7%0.8%-1.2M3.6M-126.1K0.3016.823681093,94619,304
2010-03-31$88.37$88.007.7%2.2%4.1%20.9%7.9%2.3%2.4%-2.0M3.4M-110.3K3.1517.113251,0254,06619,402