HYG Options History — June 2011

In June 2011, HYG traded between $87.88 and $91.31. ATM implied volatility averaged 8.7%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 0.5% (HV 20d: 8.1%). Max pain ranged from $90.00 to $93.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 15.30.

Notable Days

  • 2011-06-21: Highest Volume — 8,066 contracts
  • 2011-06-30: Largest IV drop — 41.3% change
  • 2011-06-27: Highest IV Rank — 79.5%
  • 2011-06-27: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.98$87.88$91.31$91.30$91.31
Max Pain$91.23$90.00$93.00$93.00$91.00
ATM IV8.7%4.8%12.3%7.2%4.8%
Expected Move2.5%1.4%3.5%2.1%1.4%
HV 20d8.1%5.4%11.3%5.9%11.3%
HV 60d6.5%5.4%7.7%5.9%7.7%
IV Rank46.8%16.1%79.5%25.4%16.1%
IV Percentile69.0%9.1%99.6%52.4%9.1%
Term Structure0.3%-1.4%3.8%0.4%3.8%
VWIV9.2%5.9%15.7%7.3%5.9%
Skew 25d4.3%2.5%8.4%2.8%4.3%
Skew 10d8.5%4.4%14.6%6.4%5.2%
Call IV 25d7.4%3.4%10.8%5.8%3.4%
Put IV 25d11.7%7.8%16.8%8.6%7.8%
Bid-Ask Spread %22.9710.0833.6612.8921.00
Gamma HHI0.270.160.430.380.30
Net GEX-11.5M-27.7M-4.7M-8.2M-27.7M
Net DEX67.1M28.0M118.8M28.0M40.1M
Net VEX-206.9K-364.9K-100.0K-100.0K-255.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.300.0687.336.390.06
Total Volume2,378.4093018,0661,2046,829
Total OI21,492.45514,54735,44914,54735,449

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$91.30$93.007.2%2.1%5.9%25.4%7.3%2.8%0.4%-8.2M28.0M-100.0K6.3912.891631,0411,22613,321
2011-06-02$91.24$93.007.1%2.0%5.9%25.0%6.5%2.7%0.5%-8.8M30.7M-118.6K25.0710.08307521,37513,520
2011-06-03$90.88$92.006.3%2.0%5.9%20.0%8.1%2.7%0.5%-10.2M35.8M-116.9K28.9633.66267531,36813,744
2011-06-06$90.66$92.007.1%2.2%5.5%25.0%7.4%2.8%0.4%-10.6M39.8M-120.7K7.0228.45433021,37613,988
2011-06-07$90.59$92.006.6%2.1%5.4%27.6%6.9%2.9%1.1%-11.2M43.5M-133.5K5.2427.00623251,40114,173
2011-06-08$90.16$92.006.7%2.4%5.4%32.5%8.5%3.6%0.3%-10.6M50.9M-134.3K3.0122.912357071,45114,381
2011-06-09$90.22$91.007.6%2.2%5.5%39.8%8.6%2.5%1.0%-11.5M53.2M-138.7K87.3327.68181,5721,55714,957
2011-06-10$89.63$91.007.7%2.2%5.7%40.9%6.2%3.0%0.9%-9.6M66.6M-154.5K4.6127.632261,0411,57415,914
2011-06-13$89.29$91.008.4%2.4%5.7%46.7%7.1%2.6%0.2%-8.5M74.6M-158.3K8.9430.861581,4131,76916,636
2011-06-14$89.85$91.007.8%2.2%6.3%41.1%7.6%3.4%1.1%-10.2M71.1M-177.2K1.4329.851241771,82317,395
2011-06-15$89.47$91.009.1%2.6%6.2%52.7%9.1%3.1%0.4%-8.5M77.0M-175.1K16.7426.02701,1721,82417,344
2011-06-16$87.88$91.0011.5%3.3%8.4%73.1%10.9%2.6%-0.7%-8.5M93.8M-167.6K0.9020.181,8751,6871,87617,859
2011-06-17$88.85$90.0010.9%3.1%9.7%68.0%13.0%5.0%-0.1%-5.1M81.9M-214.5K2.3618.839412,2173,56618,797
2011-06-20$89.47$90.0011.0%3.2%10.2%68.6%15.7%8.4%-0.6%-4.7M55.3M-219.6K3.2815.555871,9232,73712,902
2011-06-21$90.07$90.009.9%2.8%10.5%59.2%10.0%6.2%-0.9%-4.8M45.9M-218.2K4.1320.381,5726,4943,15214,781
2011-06-22$89.42$91.0010.4%3.0%10.7%63.2%10.6%5.5%-0.8%-10.0M88.2M-286.4K13.2821.082082,7633,49920,122
2011-06-23$89.90$91.008.3%2.4%11.0%45.8%8.6%6.3%0.8%-11.0M83.2M-293.6K8.7720.823082,7023,27822,692
2011-06-24$89.47$91.0011.1%3.2%11.1%69.7%11.6%6.4%-0.6%-10.2M89.6M-299.0K67.7618.921137,6573,51023,241
2011-06-27$89.45$91.0012.3%3.5%11.0%79.5%11.9%6.4%-1.4%-19.3M118.4M-347.2K19.8120.12631,2483,57929,882
2011-06-28$89.81$91.0010.6%3.0%11.0%65.4%12.6%6.0%-1.3%-21.3M118.8M-364.9K20.9923.70931,9523,56631,027
2011-06-29$90.70$91.008.2%2.3%11.0%44.7%8.7%4.7%0.5%-22.7M90.5M-357.7K0.4827.754632203,60531,597
2011-06-30$91.31$91.004.8%1.4%11.3%16.1%5.9%4.3%3.8%-27.7M40.1M-255.7K0.0621.006,4513783,68531,764