HYG Options History — June 2010

In June 2010, HYG traded between $82.98 and $86.58. ATM implied volatility averaged 11.8%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 2.8% (HV 20d: 14.7%). Max pain ranged from $85.00 to $87.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.53.

Notable Days

  • 2010-06-28: Highest Volume — 2,379 contracts
  • 2010-06-29: Largest IV spike — 41.8% change
  • 2010-06-07: Highest IV Rank — 78.0%
  • 2010-06-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.79$82.98$86.58$83.57$84.90
Max Pain$85.64$85.00$87.00$87.00$86.00
ATM IV11.8%6.6%19.7%17.9%10.1%
Expected Move3.3%1.9%5.1%5.1%2.9%
HV 20d14.7%8.6%20.5%20.5%8.7%
HV 60d13.6%13.2%13.9%13.2%13.8%
IV Rank40.1%14.6%78.0%69.1%31.6%
IV Percentile49.1%5.2%97.6%96.0%37.3%
Term Structure1.0%-0.8%3.4%2.4%0.4%
VWIV12.3%7.5%19.6%17.8%11.3%
Skew 25d4.4%1.8%10.7%10.7%2.9%
Skew 10d9.4%4.4%19.4%17.1%6.5%
Call IV 25d10.3%5.8%14.7%14.7%10.3%
Put IV 25d14.7%9.1%25.3%25.3%13.3%
Bid-Ask Spread %64.8717.2098.7498.7490.03
Gamma HHI0.210.130.380.150.36
Net GEX-5.7M-10.7M-167.9K-8.2M-4.2M
Net DEX32.3M2.3M69.6M67.9M16.6M
Net VEX-126.2K-234.6K-65.2K-234.6K-97.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.530.1614.943.801.03
Total Volume699.6361432,3791,032248
Total OI22,355.511,72328,19328,05214,898

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$83.57$87.0017.9%5.1%20.5%69.1%17.8%10.7%2.4%-8.2M67.9M-234.6K3.8098.742158175,27322,779
2010-06-02$84.00$87.0014.7%4.2%20.5%53.9%19.6%6.1%2.2%-8.9M58.1M-203.1K8.8387.561151,0155,36022,053
2010-06-03$84.03$87.0014.1%4.0%20.0%51.1%14.1%4.5%0.5%-9.4M55.1M-183.7K0.1685.891,0271675,39721,624
2010-06-04$83.56$85.0015.9%4.4%18.1%59.7%15.7%7.5%-0.5%-8.3M63.3M-193.3K0.8560.521301105,88421,685
2010-06-07$82.98$85.0019.7%4.6%18.2%78.0%16.7%5.3%0.0%-8.7M68.9M-184.1K7.1852.50956825,89821,644
2010-06-08$83.11$85.0016.4%4.5%16.7%62.2%18.4%5.2%-0.8%-10.3M69.6M-161.6K4.4549.841104905,91521,715
2010-06-09$83.29$85.0014.0%4.3%16.8%50.3%12.5%5.2%0.1%-10.5M63.8M-153.2K0.7647.681491135,92121,396
2010-06-10$84.14$85.0012.8%3.7%16.6%44.9%11.8%3.3%0.1%-10.7M47.2M-124.9K0.7838.042381856,03621,433
2010-06-11$84.26$85.0013.5%3.9%16.5%47.8%11.6%2.8%0.3%-9.0M44.8M-133.2K2.4043.77421016,14921,548
2010-06-14$84.37$85.0013.2%3.8%16.5%46.5%14.5%5.6%1.1%-6.8M43.6M-123.6K14.9437.22334936,18221,533
2010-06-15$85.19$85.0010.6%3.0%16.9%34.3%10.1%4.3%2.1%-5.5M23.3M-67.3K3.5530.881776296,19921,677
2010-06-16$85.26$85.0010.0%2.9%16.9%31.2%9.7%3.7%2.6%-5.1M23.2M-116.8K1.1191.85971086,32321,703
2010-06-17$85.90$85.007.9%2.3%17.0%21.2%8.7%2.6%3.4%-5.1M9.8M-93.8K1.5327.172233416,34321,726
2010-06-18$86.27$85.007.9%2.3%12.5%20.9%7.9%2.9%3.2%-4.0M2.3M-85.5K2.5117.742686726,43321,760
2010-06-21$86.58$86.006.6%1.9%10.7%14.6%7.8%3.4%2.8%-873.0K2.4M-96.3K1.1217.20931042,9578,766
2010-06-22$85.96$86.007.8%2.2%11.1%20.5%7.5%2.9%1.8%-167.9K3.4M-71.1K0.3890.134041543,0268,811
2010-06-23$85.90$86.008.7%2.5%11.1%25.0%10.2%1.8%0.3%-632.3K5.8M-84.8K3.2797.091575143,1878,957
2010-06-24$85.31$86.009.9%2.8%10.4%30.6%12.6%4.5%-0.4%-2.0M9.7M-65.2K5.5191.881679203,2319,369
2010-06-25$85.70$86.009.2%2.6%9.4%27.3%10.8%2.5%-0.0%-2.4M9.4M-90.3K1.4287.351091553,36510,088
2010-06-28$85.89$86.008.2%2.4%9.4%22.5%8.3%5.4%0.9%-2.0M5.5M-76.4K8.8789.472412,1383,45810,166
2010-06-29$85.30$86.0011.6%3.3%8.6%39.0%12.1%3.5%-0.6%-2.1M16.0M-136.2K3.2094.612738733,64510,308
2010-06-30$84.90$86.0010.1%2.9%8.7%31.6%11.3%2.9%0.4%-4.2M16.6M-97.5K1.0390.031221263,85411,044