HYG Options History — March 2011

In March 2011, HYG traded between $89.78 and $92.19. ATM implied volatility averaged 6.9%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.5% (HV 20d: 6.5%). Max pain ranged from $91.00 to $92.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.33.

Notable Days

  • 2011-03-14: Highest Volume — 5,712 contracts
  • 2011-03-10: Largest IV spike — 34.5% change
  • 2011-03-15: Highest IV Rank — 25.9%
  • 2011-03-15: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.53$89.78$92.19$91.78$91.96
Max Pain$91.39$91.00$92.00$91.00$91.00
ATM IV6.9%4.1%9.3%7.4%4.1%
Expected Move2.0%1.2%2.7%2.1%1.2%
HV 20d6.5%5.7%7.9%6.0%6.3%
HV 60d5.4%5.0%5.8%5.1%5.6%
IV Rank14.1%0.1%25.9%16.3%0.1%
IV Percentile29.9%0.4%68.3%35.7%0.4%
Term Structure0.8%-0.6%1.7%1.0%1.5%
VWIV7.4%4.3%9.7%8.1%4.3%
Skew 25d3.0%2.1%4.2%2.1%3.8%
Skew 10d5.5%2.8%9.1%4.5%9.1%
Call IV 25d6.1%3.9%8.0%7.0%3.9%
Put IV 25d9.1%7.1%11.1%9.1%7.7%
Bid-Ask Spread %24.109.2946.509.2919.28
Gamma HHI0.400.200.700.200.70
Net GEX1.6M-5.5M10.7M-2.8M10.6M
Net DEX5.0M-14.2M30.8M7.5M-1.5M
Net VEX-130.0K-159.7K-64.2K-83.6K-68.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.0216.490.060.05
Total Volume1,130.739335,7125,4283,835
Total OI14,014.9139,54917,1889,54913,156

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$91.78$91.007.4%2.1%6.0%16.3%8.1%2.1%1.0%-2.8M7.5M-83.6K0.069.295,1372911,4198,130
2011-03-02$91.86$91.006.8%2.0%5.7%13.5%6.8%2.2%1.4%2.9M-9.8M-146.2K5.8512.26392286,2688,359
2011-03-03$92.19$91.006.4%1.8%5.8%11.6%6.8%2.2%1.7%3.8M-14.2M-138.0K1.0712.572312476,2948,562
2011-03-04$92.00$92.006.0%2.2%5.9%9.7%7.4%2.4%0.4%3.8M-12.6M-144.2K0.2730.97118326,3368,584
2011-03-07$92.02$92.006.9%2.2%5.7%14.1%7.2%2.7%0.9%4.5M-13.2M-131.8K0.1829.92146276,4398,580
2011-03-08$91.94$92.006.7%2.2%5.7%12.7%8.0%2.5%0.5%4.2M-12.3M-138.2K2.0333.83781586,4858,588
2011-03-09$91.68$92.006.5%2.2%5.7%12.0%8.2%2.3%0.5%4.1M-8.7M-137.3K0.8834.61106936,5008,702
2011-03-10$91.20$92.008.7%2.5%5.7%23.1%9.4%2.6%0.0%2.1M-744.0K-143.5K5.0927.433731,9006,5508,761
2011-03-11$91.18$92.008.9%2.5%5.7%23.7%8.1%3.2%-0.0%1.3M3.9M-159.7K0.4931.75144716,74910,329
2011-03-14$90.81$92.007.7%2.2%5.7%18.1%6.6%3.1%1.1%411.4K12.2M-146.5K0.0325.645,5201926,83410,354
2011-03-15$90.34$92.009.3%2.7%5.9%25.9%8.6%3.5%0.0%-4.6M24.2M-122.0K3.3725.993941,3284,07510,420
2011-03-16$89.78$92.009.0%2.6%6.2%24.5%9.7%2.5%-0.6%-5.5M30.8M-129.1K16.4946.50538744,09710,833
2011-03-17$90.75$91.008.2%2.4%7.5%20.5%9.0%3.5%0.6%-5.2M22.1M-142.7K2.1035.251252634,12411,541
2011-03-18$91.18$91.007.9%2.3%7.7%18.9%7.2%3.6%0.3%-2.6M12.7M-138.9K1.6828.364768004,19811,708
2011-03-21$91.74$91.007.3%2.1%7.9%16.2%7.3%4.2%0.6%372.8K10.0M-134.5K0.5020.073071533,1508,623
2011-03-22$91.79$91.006.2%1.8%7.4%10.3%8.2%3.3%1.4%1.1M10.1M-133.5K0.9119.493453153,2508,634
2011-03-23$91.68$91.006.3%1.8%7.4%11.1%5.9%3.5%0.9%981.9K10.3M-143.8K5.0913.59794023,5508,782
2011-03-24$91.76$91.006.4%1.8%7.4%11.6%9.4%3.0%0.8%2.1M11.7M-137.7K3.1319.708253,5359,096
2011-03-25$91.79$91.006.1%1.8%7.3%10.2%7.1%3.4%0.9%1.3M11.0M-139.9K3.3117.6313433,5339,115
2011-03-28$91.82$91.006.3%1.8%7.0%10.7%7.2%3.0%1.0%2.2M12.9M-135.1K0.0223.1613033,5449,148
2011-03-29$91.87$91.005.9%1.7%6.5%9.1%5.2%3.9%1.4%2.0M10.1M-131.1K0.7222.04103743,5449,148
2011-03-30$92.01$91.004.3%1.2%6.5%0.9%4.4%3.0%1.2%10.7M-1.4M-64.2K0.1714.886221063,5049,212
2011-03-31$91.96$91.004.1%1.2%6.3%0.1%4.3%3.8%1.5%10.6M-1.5M-68.1K0.0519.283,6441913,8819,275