HYG Options History — September 2011

In September 2011, HYG traded between $82.83 and $87.41. ATM implied volatility averaged 17.0%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.6% (HV 20d: 14.4%). Max pain ranged from $86.00 to $90.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.84.

Notable Days

  • 2011-09-09: Highest Volume — 11,434 contracts
  • 2011-09-22: Largest IV spike — 54.0% change
  • 2011-09-12: Highest IV Rank — 67.8%
  • 2011-09-22: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.89$82.83$87.41$87.41$82.83
Max Pain$87.33$86.00$90.00$90.00$86.00
ATM IV17.0%10.8%23.1%16.5%19.4%
Expected Move4.6%3.1%5.9%4.7%5.6%
HV 20d14.4%10.9%24.9%24.8%12.5%
HV 60d17.1%16.9%17.5%17.2%17.5%
IV Rank47.2%26.4%67.8%45.5%55.2%
IV Percentile91.5%85.3%99.2%92.9%93.3%
Term Structure-0.1%-2.1%2.4%-0.6%-0.7%
VWIV18.6%11.4%25.8%22.3%19.5%
Skew 25d9.0%5.4%14.6%7.8%8.1%
Skew 10d17.8%12.4%25.3%15.4%13.2%
Call IV 25d13.2%8.8%16.6%12.6%16.6%
Put IV 25d22.2%14.2%29.8%20.4%24.7%
Bid-Ask Spread %36.2422.1059.1659.1629.20
Gamma HHI0.180.130.240.130.24
Net GEX-12.1M-17.0M-8.4M-8.4M-17.0M
Net DEX125.1M78.0M188.4M91.7M188.4M
Net VEX-397.7K-477.3K-324.1K-367.0K-385.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.840.6416.767.263.05
Total Volume2,360.71431211,4341,0821,991
Total OI42,521.04832,08452,67736,02847,849

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$87.41$90.0016.5%4.7%24.8%45.5%22.3%7.8%-0.6%-8.4M91.7M-367.0K7.2659.161319516,86729,161
2011-09-02$87.00$90.0017.2%4.9%24.9%48.0%23.4%9.2%-1.3%-8.5M94.3M-368.5K6.5158.232411,5686,94629,680
2011-09-06$85.97$88.0022.0%5.2%19.5%63.8%16.6%8.3%-1.6%-9.5M119.8M-346.7K2.7538.015241,4417,06730,943
2011-09-07$86.39$88.0020.7%5.1%16.4%59.5%19.1%8.6%-1.4%-9.6M110.4M-348.2K2.6732.602065497,31230,982
2011-09-08$86.66$88.0017.3%4.6%15.1%48.3%17.7%8.6%-0.3%-9.6M107.1M-347.2K13.0834.101351,7667,47631,236
2011-09-09$85.88$88.0019.1%5.0%14.2%54.1%19.9%9.3%-0.0%-10.0M117.5M-324.1K14.7143.0772810,7067,58530,440
2011-09-12$85.14$87.0023.1%5.4%14.4%67.8%20.6%10.4%-1.3%-17.0M178.2M-452.9K3.5234.443011,0588,18644,491
2011-09-13$85.79$87.0018.6%5.0%13.4%52.7%15.4%8.7%-0.6%-14.6M151.4M-408.1K0.9734.057857588,25841,080
2011-09-14$86.36$87.0017.3%4.4%13.5%48.1%17.8%7.4%0.5%-14.4M138.7M-404.8K3.1238.503911,2198,94441,584
2011-09-15$86.94$87.0013.2%3.8%13.1%34.6%14.0%7.3%1.7%-12.7M121.0M-399.2K2.0346.933176459,23641,322
2011-09-16$86.89$87.0012.1%3.5%12.3%31.0%13.8%5.8%2.4%-11.6M119.7M-381.0K3.1042.057022,1739,22541,247
2011-09-19$86.76$87.0011.3%3.2%11.8%28.1%12.5%5.7%1.5%-9.7M81.4M-374.3K0.6426.203712395,62726,457
2011-09-20$86.90$87.0010.8%3.1%11.8%26.4%11.4%5.4%2.4%-9.7M78.0M-372.4K1.8622.101092035,88826,478
2011-09-21$86.15$87.0013.3%3.8%12.0%34.8%17.6%8.3%0.9%-9.7M90.7M-372.4K6.4424.686814,3875,94326,451
2011-09-22$84.98$86.0020.4%5.9%12.9%58.7%25.8%14.6%-2.1%-9.5M122.3M-406.9K16.7638.075429,0856,57530,017
2011-09-23$85.21$87.0019.7%5.6%12.6%56.2%22.4%13.5%-1.7%-12.9M136.8M-477.3K2.1526.325691,2256,93537,999
2011-09-26$85.53$87.0017.3%4.9%12.1%48.1%20.7%13.1%-1.0%-13.7M136.9M-472.1K1.7123.602874917,36139,002
2011-09-27$85.63$87.0015.4%4.4%11.5%41.8%20.3%10.8%0.9%-14.2M132.1M-464.1K2.2236.142044537,54539,057
2011-09-28$84.67$87.0016.5%4.7%12.1%45.7%19.6%9.1%0.9%-15.9M153.4M-440.8K2.3633.243107317,67039,243
2011-09-29$84.51$86.0015.9%4.6%10.9%43.6%19.6%9.6%0.1%-16.0M156.4M-438.5K4.7440.36703327,90639,671
2011-09-30$82.83$86.0019.4%5.6%12.5%55.2%19.5%8.1%-0.7%-17.0M188.4M-385.6K3.0529.204921,4997,97439,875