HYG Options History — May 2011

In May 2011, HYG traded between $91.84 and $92.65. ATM implied volatility averaged 5.4%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.7% (HV 20d: 4.7%). Max pain ranged from $92.00 to $93.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 12.21.

Notable Days

  • 2011-05-17: Highest Volume — 1,632 contracts
  • 2011-05-11: Largest IV spike — 47.2% change
  • 2011-05-24: Highest IV Rank — 17.3%
  • 2011-05-13: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.30$91.84$92.65$92.23$92.40
Max Pain$92.57$92.00$93.00$92.00$92.00
ATM IV5.4%3.7%6.5%4.9%5.5%
Expected Move1.6%1.3%1.9%1.4%1.6%
HV 20d4.7%4.0%5.1%5.1%4.0%
HV 60d5.7%5.4%5.9%5.9%5.4%
IV Rank12.3%3.8%17.3%9.3%15.6%
IV Percentile16.5%0.4%32.9%8.7%19.4%
Term Structure1.6%0.3%4.7%0.9%4.7%
VWIV6.6%4.6%8.5%4.6%8.5%
Skew 25d3.0%1.1%6.6%1.1%6.6%
Skew 10d5.5%3.4%7.0%3.4%4.7%
Call IV 25d4.6%3.8%5.5%4.5%3.9%
Put IV 25d7.6%5.6%10.5%5.6%10.5%
Bid-Ask Spread %15.4610.1622.0319.6611.32
Gamma HHI0.220.140.440.140.27
Net GEX-4.2M-7.2M-2.3M-2.4M-5.4M
Net DEX16.4M7.9M26.9M8.4M18.9M
Net VEX-97.3K-134.4K-56.5K-59.5K-94.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.210.7657.003.373.45
Total Volume315.81281,632310592
Total OI12,964.52411,19314,62411,19314,624

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$92.23$92.004.9%1.4%5.1%9.3%4.6%1.1%0.9%-2.4M8.4M-59.5K3.3719.66712391,18910,004
2011-05-03$92.25$92.005.2%1.5%4.6%10.9%5.7%1.4%0.7%-2.5M9.5M-58.3K12.0021.56101201,19510,126
2011-05-04$92.22$92.005.1%1.5%4.6%10.3%5.1%1.2%0.6%-2.8M11.4M-68.7K9.5719.40302871,20510,165
2011-05-05$91.84$92.005.3%1.5%4.8%11.2%6.4%2.1%0.4%-3.2M14.9M-84.6K14.0219.76456311,21910,282
2011-05-06$92.31$93.005.5%1.8%5.1%12.2%6.7%2.5%1.4%-2.6M8.7M-60.7K0.8222.031531261,23410,781
2011-05-09$92.43$93.005.7%1.8%5.1%12.9%6.8%2.9%1.6%-3.3M13.7M-101.0K4.5721.09231051,30710,888
2011-05-10$92.63$93.003.7%1.4%5.1%3.8%6.2%2.7%2.1%-2.3M9.2M-69.3K27.0016.251271,32010,917
2011-05-11$92.49$93.005.5%1.8%5.0%12.0%6.7%2.4%1.5%-2.4M7.9M-56.5K15.5715.6271091,32010,933
2011-05-12$92.58$93.005.2%1.5%4.8%10.6%7.4%3.5%2.4%-2.5M10.2M-70.3K11.9218.26121431,32210,985
2011-05-13$92.20$93.006.5%1.9%4.8%16.8%6.8%2.8%1.1%-3.5M16.7M-114.2K0.0010.8602811,33211,042
2011-05-16$92.38$93.006.2%1.8%4.8%15.4%6.4%4.0%1.6%-4.3M18.3M-128.7K57.0013.471571,33211,287
2011-05-17$92.54$93.004.4%1.3%4.6%7.0%7.5%2.8%1.8%-3.0M16.2M-102.4K19.6613.68791,5531,33211,310
2011-05-18$92.65$93.004.9%1.4%4.5%9.5%7.5%3.1%1.9%-5.1M18.3M-117.3K31.1710.8961871,34812,811
2011-05-19$92.61$93.005.3%1.5%4.3%11.1%6.3%2.8%2.6%-5.6M19.5M-125.4K0.0012.210601,34612,858
2011-05-20$92.54$93.005.1%1.5%4.3%10.6%4.7%3.1%3.0%-5.6M19.2M-121.3K1.2512.0459741,34612,881
2011-05-23$92.10$93.006.0%1.7%4.6%16.1%7.0%3.1%0.3%-5.4M22.0M-123.0K7.8410.16806271,22612,388
2011-05-24$91.95$92.006.2%1.8%4.5%17.3%6.6%3.6%0.3%-5.8M21.5M-104.8K4.0012.62311241,29912,954
2011-05-25$91.95$92.005.8%1.7%4.5%14.9%7.9%3.8%1.8%-7.0M26.9M-133.2K0.8912.2192821,31213,027
2011-05-26$91.87$92.005.8%1.6%4.5%17.0%5.8%3.7%1.6%-6.7M26.2M-115.1K0.7610.5487661,28013,093
2011-05-27$92.15$92.005.1%1.5%4.6%13.4%6.9%4.1%0.6%-7.2M26.7M-134.4K7.0721.04443111,30213,133
2011-05-31$92.40$92.005.5%1.6%4.0%15.6%8.5%6.6%4.7%-5.4M18.9M-94.4K3.4511.321334591,32413,300