HYG Options History — September 2010

In September 2010, HYG traded between $87.46 and $89.69. ATM implied volatility averaged 7.9%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.5% (HV 20d: 4.4%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.80.

Notable Days

  • 2010-09-30: Highest Volume — 2,441 contracts
  • 2010-09-30: Largest IV spike — 37.9% change
  • 2010-09-01: Highest IV Rank — 32.3%
  • 2010-09-07: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.56$87.46$89.69$87.46$89.69
Max Pain$87.52$87.00$88.00$88.00$88.00
ATM IV7.9%5.2%10.2%10.2%7.3%
Expected Move2.3%1.5%3.2%2.9%2.1%
HV 20d4.4%3.6%6.2%6.1%3.9%
HV 60d6.6%5.6%7.4%7.4%5.6%
IV Rank21.1%8.0%32.3%32.3%18.2%
IV Percentile24.1%1.2%47.2%45.6%15.1%
Term Structure1.7%0.3%5.3%1.5%5.3%
VWIV8.5%4.4%12.7%9.7%4.4%
Skew 25d3.5%2.1%9.4%2.9%9.4%
Skew 10d7.8%4.2%14.7%7.1%14.7%
Call IV 25d6.8%1.5%9.0%9.0%1.5%
Put IV 25d10.3%6.3%14.3%11.9%10.9%
Bid-Ask Spread %34.0816.8457.1425.1924.08
Gamma HHI0.220.170.380.190.20
Net GEX264.1K-1.5M2.8M-1.1M-611.6K
Net DEX1.1M-10.3M14.8M14.8M-7.7M
Net VEX-70.2K-103.9K-42.4K-84.1K-42.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.800.1015.330.210.10
Total Volume537.5711512,4413532,441
Total OI13,873.7627,52918,51616,7829,317

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$87.46$88.0010.2%2.9%6.1%32.3%9.7%2.9%1.5%-1.1M14.8M-84.1K0.2125.19292613,52713,255
2010-09-02$87.60$88.009.3%2.7%6.1%28.0%10.1%3.0%2.0%-799.4K13.7M-87.3K3.2216.84822643,67713,268
2010-09-03$87.86$87.008.4%3.0%6.2%23.4%11.5%4.5%1.5%-893.8K12.9M-100.1K15.3330.42365523,70913,444
2010-09-07$87.73$88.009.0%3.2%6.2%26.4%12.7%5.5%1.4%-516.8K10.4M-77.0K3.0935.18973003,72813,594
2010-09-08$87.75$87.009.4%3.1%6.2%28.3%10.9%4.6%1.2%-558.6K12.9M-89.3K0.7042.302711913,79813,790
2010-09-09$88.10$87.0010.2%2.9%4.1%32.3%9.6%5.6%1.8%89.2K10.4M-103.9K1.2035.403113724,05113,854
2010-09-10$88.33$87.0010.1%2.9%3.9%31.5%10.8%4.0%0.3%508.6K-863.8K-68.4K4.1534.721084484,24713,927
2010-09-13$88.78$87.009.1%2.6%4.0%26.7%9.4%2.5%0.8%2.1M-6.4M-65.1K6.2630.501106894,25114,216
2010-09-14$88.77$87.008.6%2.5%4.0%24.6%9.2%2.2%1.0%2.3M-7.9M-55.3K1.1429.641982254,31914,078
2010-09-15$88.69$87.009.0%2.6%3.9%26.2%9.7%2.4%1.3%1.9M-5.8M-64.6K0.9056.751521374,38214,011
2010-09-16$88.84$87.008.6%2.5%3.9%24.2%9.6%2.1%1.4%2.8M-7.1M-67.4K4.1257.14913754,39314,014
2010-09-17$89.00$87.008.1%2.3%3.8%22.1%9.4%2.7%1.8%2.5M-10.3M-61.2K0.7943.762411914,45214,064
2010-09-20$89.14$87.007.2%2.1%3.8%17.7%7.6%2.4%1.8%-40.2K-1.6M-60.8K1.5933.902083301,6795,850
2010-09-21$88.99$88.006.2%1.8%3.8%12.9%5.8%2.6%1.5%-196.1K-839.3K-63.8K1.2850.152012571,8626,014
2010-09-22$88.63$88.006.9%2.0%3.6%16.2%6.9%2.8%1.7%-1.5M-142.9K-56.4K0.5931.652171282,0306,164
2010-09-23$88.40$88.007.3%2.1%3.7%18.2%7.0%2.9%1.3%-686.8K2.4M-66.2K3.3921.391505082,1796,231
2010-09-24$88.75$88.005.2%1.5%3.8%8.0%7.6%4.2%2.1%-433.3K1.7M-74.8K5.0442.34251262,2146,578
2010-09-27$88.90$88.005.5%1.6%3.8%9.6%5.7%2.4%2.2%-694.8K-1.3M-61.9K1.4224.471251772,2356,637
2010-09-28$89.03$88.005.3%1.5%3.8%8.3%5.2%2.9%1.8%-21.3K-1.6M-64.0K0.9724.801911862,2956,720
2010-09-29$89.24$88.005.3%1.5%3.8%8.5%5.4%2.2%2.0%1.5M-5.1M-59.7K3.2525.02531722,4596,836
2010-09-30$89.69$88.007.3%2.1%3.9%18.2%4.4%9.4%5.3%-611.6K-7.7M-42.4K0.1024.082,2262152,4586,859