HYG Options History — August 2011

In August 2011, HYG traded between $83.16 and $90.70. ATM implied volatility averaged 19.0%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.6% (HV 20d: 21.6%). Max pain ranged from $90.00 to $91.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 5.84.

Notable Days

  • 2011-08-08: Highest Volume — 5,623 contracts
  • 2011-08-04: Largest IV spike — 75.1% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.49$83.16$90.70$90.70$88.03
Max Pain$90.57$90.00$91.00$91.00$90.00
ATM IV19.0%7.7%32.8%7.7%14.1%
Expected Move5.2%2.2%7.0%2.2%4.0%
HV 20d21.6%6.8%26.9%6.8%26.9%
HV 60d14.7%8.2%17.1%8.2%17.1%
IV Rank63.6%37.4%100.0%51.6%37.4%
IV Percentile94.8%67.1%100.0%67.1%92.5%
Term Structure-2.7%-6.9%0.6%-0.1%0.6%
VWIV18.1%8.8%25.1%9.0%12.3%
Skew 25d7.6%2.8%11.2%2.8%3.8%
Skew 10d15.8%1.9%24.5%1.9%7.1%
Call IV 25d15.8%7.0%20.3%7.0%12.6%
Put IV 25d23.4%9.8%31.4%9.8%16.4%
Bid-Ask Spread %46.8125.4165.8450.7663.36
Gamma HHI0.130.110.180.180.13
Net GEX-9.7M-14.6M-7.6M-12.5M-9.7M
Net DEX127.0M47.7M179.8M47.7M81.6M
Net VEX-336.3K-380.9K-222.1K-222.1K-340.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.840.3041.561.060.40
Total Volume1,866.3043135,6234321,846
Total OI34,321.43528,88140,28128,88135,309

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$90.70$91.007.7%2.2%6.8%51.6%9.0%2.8%-0.1%-12.5M47.7M-222.1K1.0650.762102222,94525,936
2011-08-02$89.58$91.008.9%2.5%8.0%63.6%8.8%2.9%0.3%-14.3M74.3M-298.3K1.4647.824446473,09826,053
2011-08-03$89.53$91.0010.1%2.9%8.0%76.6%10.7%4.2%-1.0%-14.6M82.4M-300.2K41.5646.98753,1173,23426,519
2011-08-04$86.95$91.0017.7%5.1%12.6%100.0%12.4%5.6%-3.6%-13.0M135.5M-329.3K24.4041.661804,3923,28928,910
2011-08-05$86.86$91.0021.4%4.6%12.6%100.0%11.9%7.7%-3.3%-12.6M143.5M-338.8K4.0263.956022,4213,28229,969
2011-08-08$83.16$91.0032.8%7.0%19.2%100.0%19.9%10.6%-6.9%-7.6M179.8M-262.1K6.6565.847354,8883,77830,054
2011-08-09$85.70$91.0021.7%6.2%22.7%62.8%21.1%8.8%-6.0%-9.2M153.4M-327.1K5.3362.165853,1204,24229,465
2011-08-10$84.25$91.0027.0%7.0%22.9%80.7%25.0%11.2%-6.1%-8.0M159.3M-318.1K5.6051.433341,8704,60129,670
2011-08-11$85.78$91.0022.0%6.3%24.2%63.9%21.3%10.8%-5.1%-8.7M144.5M-342.3K2.6432.601343544,80729,162
2011-08-12$85.38$91.0022.9%6.6%24.2%67.0%21.4%9.8%-5.4%-8.1M148.0M-330.5K10.7929.072222,3964,84629,170
2011-08-15$86.77$91.0018.6%5.3%25.1%52.4%20.1%7.2%-3.1%-9.8M141.8M-354.0K0.7625.415394095,00230,729
2011-08-16$86.22$91.0020.1%5.8%25.0%57.6%25.1%8.1%-4.2%-9.0M147.1M-352.7K4.5025.766142,7605,42130,967
2011-08-17$87.17$91.0017.8%5.1%25.5%49.8%18.3%8.0%-2.8%-9.6M143.5M-380.9K5.6342.721337495,97833,465
2011-08-18$86.11$90.0021.0%6.0%25.6%60.6%22.2%9.1%-4.8%-8.4M154.8M-371.6K6.7532.771831,2355,91933,481
2011-08-19$85.36$90.0021.8%6.2%25.6%63.1%24.3%9.0%-4.4%-9.4M165.0M-364.2K1.9433.854548825,94934,332
2011-08-22$85.46$90.0020.8%6.0%25.6%59.9%18.5%9.3%-1.2%-7.9M119.6M-351.7K1.1144.067117884,70627,610
2011-08-23$86.10$90.0019.9%5.7%25.9%57.0%21.3%8.5%-1.5%-8.2M115.4M-364.1K3.2845.504931,6155,21528,171
2011-08-24$85.71$90.0019.3%5.5%25.8%54.8%20.2%9.2%-1.7%-8.3M121.7M-367.7K1.0847.994504855,29428,866
2011-08-25$85.02$90.0020.6%5.9%25.8%59.2%20.3%8.8%-1.9%-8.0M129.3M-353.4K2.0350.001543135,72129,005
2011-08-26$85.88$90.0018.6%5.3%26.2%52.6%19.8%7.6%-0.6%-8.3M121.1M-363.7K1.6954.071592695,83029,119
2011-08-29$86.75$90.0017.0%4.9%26.6%47.1%18.1%6.4%0.0%-8.8M110.5M-359.4K0.3058.84325985,91729,146
2011-08-30$86.91$90.0016.1%4.6%26.4%44.2%15.4%4.6%-0.1%-10.1M101.3M-341.8K1.3760.031321816,08429,127
2011-08-31$88.03$90.0014.1%4.0%26.9%37.4%12.3%3.8%0.6%-9.7M81.6M-340.0K0.4063.361,3215256,15729,152