HYG Options History — May 2010

In May 2010, HYG traded between $82.64 and $88.75. ATM implied volatility averaged 17.6%, placing in the 73.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.8% (HV 20d: 15.8%). Max pain ranged from $87.00 to $89.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 8.43.

Notable Days

  • 2010-05-10: Highest Volume — 9,515 contracts
  • 2010-05-07: Largest IV spike — 40.2% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.42$82.64$88.75$88.75$84.61
Max Pain$87.45$87.00$89.00$89.00$87.00
ATM IV17.6%9.3%24.3%9.3%14.7%
Expected Move5.0%2.7%7.0%2.7%4.2%
HV 20d15.8%8.7%20.3%8.7%20.2%
HV 60d10.9%8.1%13.0%8.1%13.0%
IV Rank73.6%31.0%100.0%31.0%54.0%
IV Percentile85.3%25.4%100.0%25.4%73.8%
Term Structure-0.8%-5.5%5.4%0.2%0.2%
VWIV18.1%10.4%25.1%10.4%16.1%
Skew 25d5.4%-3.2%11.9%2.9%5.3%
Skew 10d12.4%-3.7%26.6%8.1%7.4%
Call IV 25d15.4%8.6%23.2%8.6%12.7%
Put IV 25d20.8%11.5%29.6%11.5%18.0%
Bid-Ask Spread %62.9924.08121.2024.0881.81
Gamma HHI0.220.140.320.230.19
Net GEX-8.5M-12.9M-3.6M-3.6M-10.5M
Net DEX56.4M2.9M101.4M2.9M49.2M
Net VEX-225.8K-370.8K-117.9K-117.9K-210.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.430.1642.861.730.56
Total Volume2,675.653679,5155321,515
Total OI28,139.119,42536,55019,42527,791

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$88.75$89.009.3%2.7%8.7%31.0%10.4%2.9%0.2%-3.6M2.9M-117.9K1.7324.081953374,53114,894
2010-05-04$87.84$89.0011.9%3.4%9.2%45.5%12.8%3.8%-1.0%-5.7M20.3M-149.2K42.8631.56883,7724,62315,097
2010-05-05$86.64$89.0013.7%3.9%10.4%54.9%15.0%4.0%-1.7%-8.4M44.9M-185.8K5.2335.961568164,65618,568
2010-05-06$84.49$89.0015.0%4.3%13.4%62.2%14.1%-3.2%3.6%-8.3M71.5M-196.9K3.53121.201,4074,9654,74419,129
2010-05-07$84.48$88.0021.0%5.4%13.4%94.8%18.2%6.5%-2.8%-7.0M66.4M-203.9K0.1671.071,5072385,28518,558
2010-05-10$86.06$87.0018.9%5.2%15.3%83.2%23.4%4.0%-5.5%-6.1M42.7M-205.8K21.7152.914199,0966,33118,508
2010-05-11$85.96$87.0019.4%5.0%15.2%85.8%17.9%5.8%0.2%-9.4M67.7M-370.8K0.5148.208794466,31129,471
2010-05-12$87.01$87.0015.4%4.7%15.9%64.3%15.1%2.7%3.4%-9.2M44.8M-336.2K0.8856.021951727,04729,290
2010-05-13$86.47$87.0015.0%4.3%15.9%62.2%15.5%3.8%-0.6%-12.9M37.5M-204.7K5.4136.792611,4117,13229,418
2010-05-14$85.97$87.0018.6%5.3%15.8%81.9%20.6%4.7%-3.8%-7.6M53.0M-257.3K2.9444.675061,4897,33921,878
2010-05-17$85.86$87.0017.6%5.0%15.8%79.6%18.8%5.8%-3.7%-9.3M56.1M-232.3K13.6579.851401,9117,48121,574
2010-05-18$85.68$87.0017.6%5.0%15.2%80.5%18.3%4.8%-0.9%-10.7M65.3M-242.2K3.5468.853571,2627,36523,080
2010-05-19$85.18$87.0018.6%5.3%15.2%85.9%19.8%5.4%-2.6%-11.6M71.2M-222.2K22.4768.26791,7757,54923,402
2010-05-20$82.64$87.0024.3%7.0%18.2%100.0%25.1%6.1%-5.2%-6.9M98.7M-240.1K15.0770.594176,2837,55923,277
2010-05-21$84.30$87.0023.7%6.8%19.7%97.4%24.4%7.8%-4.3%-7.7M101.4M-270.6K9.0161.774714,2437,72927,583
2010-05-24$84.43$87.0019.9%5.7%19.8%78.9%19.6%11.9%1.0%-8.1M57.9M-244.8K3.4179.175601,9074,70821,252
2010-05-25$84.33$87.0020.0%5.7%19.4%79.4%20.5%6.7%5.4%-9.5M56.0M-212.6K7.0082.222331,6305,03421,435
2010-05-26$83.32$87.0022.2%6.4%19.7%90.1%19.1%11.9%-1.2%-7.4M69.8M-229.6K1.2772.743093915,21021,501
2010-05-27$84.47$87.0016.1%4.6%20.3%60.5%16.9%7.7%3.1%-10.2M50.7M-183.8K7.7272.121921,4835,29921,143
2010-05-28$84.61$87.0014.7%4.2%20.2%54.0%16.1%5.3%0.2%-10.5M49.2M-210.1K0.5681.819695465,29722,494