HYG Options History — December 2010

In December 2010, HYG traded between $88.94 and $90.29. ATM implied volatility averaged 8.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 0.3% (HV 20d: 7.9%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 6.92.

Notable Days

  • 2010-12-03: Highest Volume — 1,053 contracts
  • 2010-12-07: Largest IV drop — 17.9% change
  • 2010-12-13: Highest IV Rank — 33.0%
  • 2010-12-02: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.63$88.94$90.29$89.22$90.29
Max Pain$89.86$89.00$90.00$90.00$90.00
ATM IV8.2%5.8%10.4%10.0%7.3%
Expected Move2.3%1.7%2.9%2.9%2.1%
HV 20d7.9%4.4%10.9%10.9%5.0%
HV 60d7.5%7.4%7.6%7.5%7.5%
IV Rank22.3%10.9%33.0%31.0%18.0%
IV Percentile37.8%8.7%69.8%63.1%23.0%
Term Structure0.9%-0.1%1.9%-0.1%0.9%
VWIV8.3%5.8%10.8%10.1%7.5%
Skew 25d2.9%1.2%4.8%4.0%1.2%
Skew 10d6.7%3.3%10.4%9.7%5.1%
Call IV 25d7.0%5.3%8.4%7.9%6.3%
Put IV 25d9.9%7.3%12.6%11.9%7.5%
Bid-Ask Spread %35.1520.3158.7447.8320.31
Gamma HHI0.190.150.240.160.17
Net GEX-2.2M-4.4M-663.4K-2.6M-2.0M
Net DEX7.3M2.5M12.7M9.2M5.6M
Net VEX-76.3K-91.9K-64.6K-72.1K-89.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.920.2333.651.575.67
Total Volume390.273201,05319020
Total OI11,015.8646,55714,42511,8288,455

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$89.22$90.0010.0%2.9%10.9%31.0%10.1%4.0%-0.1%-2.6M9.2M-72.1K1.5747.83741162,3899,439
2010-12-02$89.27$90.0010.1%2.9%10.9%31.7%9.2%4.8%0.1%-2.3M9.8M-74.9K1.5248.781051602,4549,494
2010-12-03$89.42$90.009.4%2.7%9.6%28.4%9.0%3.6%0.0%-1.6M5.8M-64.8K5.7943.191558982,5249,556
2010-12-06$89.37$90.009.9%2.8%9.6%30.5%10.8%3.3%0.6%-1.9M6.2M-68.7K3.8729.83632442,65110,299
2010-12-07$89.83$89.008.1%2.5%9.9%22.0%10.1%3.5%0.8%-663.4K2.5M-75.4K3.4425.361113822,69410,442
2010-12-08$89.54$89.008.0%2.6%9.9%21.7%10.0%2.9%1.0%-1.1M6.1M-81.8K33.6534.95175722,73610,618
2010-12-09$89.35$90.009.4%2.8%9.5%28.1%6.2%4.0%0.5%-1.7M7.7M-76.5K0.2329.8348112,69910,819
2010-12-10$89.39$90.009.9%2.9%9.5%30.7%10.0%4.5%0.6%-1.8M8.3M-74.9K33.3140.15134332,70410,817
2010-12-13$88.94$90.0010.4%2.5%9.5%33.0%8.9%2.7%1.0%-3.4M12.7M-74.8K3.7239.02642382,71511,141
2010-12-14$89.38$90.009.1%2.6%9.7%27.0%9.4%3.8%0.7%-2.9M9.0M-69.1K2.0358.7438772,73911,291
2010-12-15$89.03$90.009.2%2.6%8.9%27.3%9.8%2.2%1.0%-4.4M12.3M-64.6K10.5535.56222322,72911,326
2010-12-16$89.36$89.008.6%2.5%8.8%24.7%8.8%2.2%1.1%-2.5M8.5M-70.9K21.4635.52265582,73311,374
2010-12-17$89.49$90.007.7%2.2%7.6%20.0%7.8%3.0%1.6%-2.2M8.3M-77.8K1.6137.702734392,72811,697
2010-12-20$89.65$90.006.7%1.9%7.6%15.4%7.9%3.4%1.4%-2.4M5.6M-66.3K4.8239.541266071,2875,270
2010-12-21$89.84$90.006.6%1.9%7.2%14.9%7.3%1.9%1.1%-2.3M6.6M-77.7K0.5731.202351331,4085,687
2010-12-22$90.09$90.005.8%1.7%5.0%10.9%5.8%1.8%1.6%-2.2M3.9M-75.8K4.8129.59773701,6015,770
2010-12-23$90.18$90.006.1%1.8%4.7%12.5%6.2%1.6%1.9%-2.5M4.4M-78.3K0.4633.64134621,6496,011
2010-12-27$90.25$90.006.4%1.8%4.4%13.7%7.0%1.7%1.2%-2.0M4.2M-76.2K2.1730.89461001,7336,059
2010-12-28$89.73$90.007.2%2.1%4.9%17.6%7.1%2.7%1.3%-2.3M8.4M-87.1K5.7330.071327561,6676,098
2010-12-29$90.03$90.007.0%2.0%5.0%16.7%7.2%2.6%0.8%-2.4M7.3M-88.5K2.7229.28581581,7986,556
2010-12-30$90.13$90.006.7%1.9%4.9%15.4%6.9%2.2%1.7%-2.4M7.4M-91.9K2.5022.43581451,8556,637
2010-12-31$90.29$90.007.3%2.1%5.0%18.0%7.5%1.2%0.9%-2.0M5.6M-89.3K5.6720.313171,9126,543