HYG Options History — August 2010

In August 2010, HYG traded between $86.73 and $88.48. ATM implied volatility averaged 9.9%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 3.5% (HV 20d: 6.4%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 4.48.

Notable Days

  • 2010-08-18: Highest Volume — 1,668 contracts
  • 2010-08-11: Largest IV spike — 27.3% change
  • 2010-08-13: Highest IV Rank — 40.3%
  • 2010-08-13: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.62$86.73$88.48$88.48$87.15
Max Pain$87.18$87.00$88.00$88.00$87.00
ATM IV9.9%7.5%11.9%8.9%10.4%
Expected Move2.9%2.5%3.4%2.6%3.0%
HV 20d6.4%5.6%7.6%7.6%5.9%
HV 60d9.8%7.3%12.2%12.2%7.3%
IV Rank30.8%18.9%40.3%26.0%33.1%
IV Percentile41.7%12.7%54.0%33.3%48.4%
Term Structure0.8%-0.5%1.8%1.4%1.1%
VWIV11.5%8.7%29.3%8.9%29.3%
Skew 25d3.5%2.2%5.1%3.6%4.0%
Skew 10d7.4%4.1%13.5%8.2%6.7%
Call IV 25d9.0%6.2%10.9%6.5%9.7%
Put IV 25d12.5%9.9%15.6%10.1%13.7%
Bid-Ask Spread %30.3714.4446.6433.3819.22
Gamma HHI0.180.130.290.150.16
Net GEX-142.9K-2.3M3.1M1.3M-1.9M
Net DEX5.4M-9.9M19.7M-4.0M19.4M
Net VEX-81.4K-107.3K-61.3K-83.4K-91.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.0523.920.690.05
Total Volume562.3181351,6685331,489
Total OI15,827.95513,58418,14813,58417,006

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$88.48$88.008.9%2.6%7.6%26.0%8.9%3.6%1.4%1.3M-4.0M-83.4K0.6933.383152183,8329,752
2010-08-03$88.48$88.008.6%2.5%7.3%24.6%8.7%3.1%1.8%1.4M-7.3M-64.7K0.3646.64267963,8759,833
2010-08-04$88.43$88.008.8%2.5%6.3%25.2%8.8%3.2%1.4%1.6M-6.4M-72.8K0.1638.39442723,9869,909
2010-08-05$88.39$88.009.1%2.6%6.2%27.0%9.1%3.6%0.6%2.3M-8.5M-65.6K0.6832.23128874,3209,927
2010-08-06$88.37$87.007.5%2.9%6.1%18.9%9.8%2.3%0.4%3.1M-9.9M-61.3K0.2523.767071804,4429,951
2010-08-09$88.21$87.008.5%3.0%6.1%24.0%11.2%3.1%0.7%1.8M-5.8M-64.8K12.0022.64841,0084,10610,071
2010-08-10$88.18$87.008.5%3.0%5.6%24.0%11.5%2.9%0.6%999.6K-3.7M-70.9K6.6039.08402644,16410,955
2010-08-11$87.03$87.0010.8%3.4%7.4%35.3%11.4%4.3%0.9%-1.1M9.0M-85.1K0.9632.747176864,17011,104
2010-08-12$86.73$87.0011.4%3.3%7.5%38.0%12.5%4.7%0.7%-1.4M16.1M-102.0K1.5033.711432144,59611,568
2010-08-13$87.11$87.0011.9%3.4%7.3%40.3%11.5%4.2%1.0%-822.1K8.8M-86.6K0.4936.26199974,66111,629
2010-08-16$87.22$87.0011.3%3.2%7.3%37.3%14.2%5.1%0.3%-431.0K10.1M-92.6K12.5041.84101254,84011,696
2010-08-17$87.55$87.0010.2%2.9%6.8%31.9%11.1%2.9%1.1%35.0K3.0M-77.9K1.6132.84841354,84611,753
2010-08-18$87.70$87.0010.0%2.9%6.8%31.2%10.8%3.9%1.1%872.4K4.5M-86.5K10.3532.571471,5214,85411,825
2010-08-19$87.52$87.0010.3%3.0%6.0%32.9%11.9%3.8%1.3%-234.5K6.6M-84.6K3.2727.77401314,88713,179
2010-08-20$87.73$87.0010.4%3.0%5.8%33.0%10.5%2.8%0.7%621.5K4.6M-77.6K3.9727.76692744,89413,254
2010-08-23$87.73$87.008.7%2.5%5.8%24.8%9.3%2.2%1.3%-1.5M6.0M-72.1K1.5728.251882963,69711,974
2010-08-24$87.27$87.0010.3%3.0%6.0%32.8%9.7%2.9%0.6%-1.9M9.3M-78.7K2.2039.681212663,73212,206
2010-08-25$87.15$87.0010.4%3.0%6.0%33.2%11.8%3.3%0.2%-2.3M11.4M-74.6K12.9832.87557143,76412,301
2010-08-26$87.03$87.0011.1%3.2%5.8%36.6%12.1%4.3%-0.5%-1.7M19.2M-93.7K23.9215.65133113,79812,917
2010-08-27$87.02$87.0010.5%3.0%5.8%33.4%10.1%3.3%0.7%-1.8M17.5M-107.3K1.7416.401021773,81113,126
2010-08-30$87.18$87.0010.4%3.0%5.9%33.1%9.7%3.7%1.3%-2.1M19.7M-96.5K0.6414.4485543,80413,200
2010-08-31$87.15$87.0010.4%3.0%5.9%33.1%29.3%4.0%1.1%-1.9M19.4M-91.7K0.0519.221,419703,80313,203