HYG Options History — April 2010

In April 2010, HYG traded between $87.46 and $89.57. ATM implied volatility averaged 8.2%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.6% (HV 20d: 6.6%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.91.

Notable Days

  • 2010-04-20: Highest Volume — 4,258 contracts
  • 2010-04-15: Largest IV spike — 39.5% change
  • 2010-04-28: Highest IV Rank — 36.5%
  • 2010-04-05: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.67$87.46$89.57$87.50$89.40
Max Pain$87.38$87.00$88.00$88.00$88.00
ATM IV8.2%5.7%10.3%9.6%8.8%
Expected Move2.6%2.1%3.2%2.8%2.5%
HV 20d6.6%5.1%9.0%5.6%8.2%
HV 60d8.4%8.0%8.7%8.5%8.5%
IV Rank23.9%11.0%36.5%30.4%28.7%
IV Percentile16.5%2.4%34.1%21.4%23.8%
Term Structure0.7%-0.8%2.2%2.2%-0.2%
VWIV9.2%7.1%11.6%11.6%11.6%
Skew 25d2.1%0.9%3.3%3.3%1.9%
Skew 10d4.3%2.4%9.6%7.8%7.1%
Call IV 25d7.9%6.7%9.9%7.5%7.9%
Put IV 25d10.0%8.3%11.9%10.8%9.8%
Bid-Ask Spread %22.8316.0330.3018.5025.34
Gamma HHI0.240.170.400.170.24
Net GEX-262.2K-8.6M6.0M-6.3M-773.8K
Net DEX-1.9M-18.1M24.7M21.6M-10.7M
Net VEX-110.4K-169.4K-57.6K-169.4K-96.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.910.1142.862.264.00
Total Volume864.4291374,2586581,051
Total OI21,887.57114,18727,35224,18319,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$87.50$88.009.6%2.8%5.6%30.4%11.6%3.3%2.2%-6.3M21.6M-169.4K2.2618.502024563,91820,265
2010-04-05$87.46$88.009.7%3.2%5.1%30.8%11.1%2.0%0.5%-8.6M24.7M-156.7K0.1120.541,0101164,00020,430
2010-04-06$88.03$87.008.7%2.9%5.7%25.8%10.5%2.2%0.9%-4.9M7.0M-111.7K1.4422.071261824,40520,477
2010-04-07$88.16$87.008.5%2.9%5.5%24.7%10.6%2.3%0.6%-1.8M9.0M-141.9K6.2119.12191184,49420,504
2010-04-08$88.31$87.008.3%2.8%5.5%23.9%10.3%2.5%1.0%-1.2M6.6M-136.5K1.5221.96691054,49420,504
2010-04-09$88.44$87.007.8%2.8%5.5%21.1%10.0%2.3%0.9%861.1K3.0M-128.7K0.7916.0386684,54620,603
2010-04-12$88.46$87.007.5%2.8%5.5%19.9%10.1%2.3%0.8%311.5K-2.9M-86.7K42.8619.18632,7004,57520,615
2010-04-13$88.70$87.006.6%2.5%5.6%15.1%8.9%2.2%1.7%1.1M-6.3M-92.2K1.1518.973073524,63122,721
2010-04-14$88.94$87.005.7%2.4%5.5%11.0%8.6%2.5%0.9%5.6M-4.8M-128.3K1.2821.501231574,83521,507
2010-04-15$89.18$87.008.0%2.3%5.6%22.3%8.1%2.0%1.2%6.0M-9.5M-127.7K1.0922.331521664,91721,604
2010-04-16$88.46$87.008.3%2.4%6.3%23.5%7.9%1.8%0.6%-159.4K-1.0M-87.7K0.5129.067563874,84621,655
2010-04-19$88.29$87.007.8%2.2%6.1%21.2%7.7%1.7%0.9%-1.3M-4.5M-62.4K3.0524.141103363,61610,571
2010-04-20$89.24$87.007.8%2.2%7.0%21.1%8.3%0.9%0.3%2.3M-12.3M-57.6K1.3930.301,7852,4733,69610,697
2010-04-21$89.25$87.008.5%2.4%7.0%25.3%7.7%1.7%0.0%2.9M-8.3M-123.2K6.6020.421368975,01912,736
2010-04-22$88.99$87.007.7%2.2%7.1%21.7%7.9%1.4%0.3%3.6M-13.5M-70.8K1.6229.821051705,12813,398
2010-04-23$89.57$88.007.3%2.1%7.4%20.0%7.8%1.6%0.5%1.6M-18.1M-83.1K0.2524.56220545,15213,539
2010-04-26$89.57$88.007.1%2.1%7.4%19.3%7.1%2.0%0.8%3.0M-17.4M-92.7K1.5526.081021585,14313,563
2010-04-27$88.44$88.009.4%2.7%8.7%31.4%9.4%2.0%-0.0%-2.9M5.1M-136.4K2.2525.092816315,13113,623
2010-04-28$88.50$88.0010.3%3.0%8.7%36.5%10.7%3.2%-0.8%-4.1M1.5M-119.5K1.9819.791823615,29113,867
2010-04-29$89.11$88.008.9%2.5%9.0%28.9%7.4%3.0%0.6%-733.3K-8.7M-108.6K0.1824.691,1662155,34814,155
2010-04-30$89.40$88.008.8%2.5%8.2%28.7%11.6%1.9%-0.2%-773.8K-10.7M-96.8K4.0025.342108415,33914,081