HYG Options History — October 2011

In October 2011, HYG traded between $81.05 and $90.39. ATM implied volatility averaged 16.3%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.0% (HV 20d: 18.3%). Max pain ranged from $83.00 to $88.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.84.

Notable Days

  • 2011-10-31: Highest Volume — 16,622 contracts
  • 2011-10-25: Largest IV spike — 24.7% change
  • 2011-10-04: Highest IV Rank — 87.5%
  • 2011-10-04: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.19$81.05$90.39$81.30$89.28
Max Pain$84.67$83.00$88.00$86.00$88.00
ATM IV16.3%10.9%29.0%24.3%13.4%
Expected Move4.8%3.1%8.3%7.0%3.9%
HV 20d18.3%13.4%22.2%13.7%19.2%
HV 60d19.4%17.7%21.0%17.8%20.2%
IV Rank44.8%26.7%87.5%71.6%35.3%
IV Percentile85.0%76.2%99.6%99.2%80.2%
Term Structure0.5%-4.2%2.6%-1.5%-0.5%
VWIV19.0%12.1%29.8%19.5%29.8%
Skew 25d7.9%6.3%10.3%10.1%6.7%
Skew 10d15.4%11.0%19.5%16.8%15.2%
Call IV 25d14.0%8.0%24.8%19.7%11.5%
Put IV 25d21.9%14.3%33.9%29.8%18.3%
Bid-Ask Spread %54.1926.4174.7626.4147.01
Gamma HHI0.190.120.270.230.18
Net GEX-8.1M-17.2M601.0K-14.8M-6.7M
Net DEX72.9M-6.3M214.0M214.0M32.5M
Net VEX-321.1K-390.0K-262.5K-365.3K-322.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.840.0216.8716.870.02
Total Volume3,174.90518616,6225,89816,622
Total OI45,187.47631,25951,46349,11536,282

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$81.30$86.0024.3%7.0%13.7%71.6%19.5%10.1%-1.5%-14.8M214.0M-365.3K16.8726.413305,5688,19340,922
2011-10-04$81.05$86.0029.0%8.3%13.4%87.5%28.8%9.1%-4.2%-12.3M198.9M-343.7K1.7741.301,6232,8768,15937,878
2011-10-05$82.04$86.0026.0%7.5%14.1%77.5%25.7%8.8%-2.5%-13.3M179.5M-382.8K1.3729.523414669,37238,837
2011-10-06$83.31$86.0022.4%6.4%15.4%65.2%23.6%8.8%-0.9%-15.1M154.9M-390.0K1.2051.991,7972,1499,58939,351
2011-10-07$83.38$83.0019.5%6.1%15.2%55.6%26.3%10.3%0.6%-15.4M144.9M-388.4K10.1750.963173,22510,82839,002
2011-10-10$85.17$83.0015.5%5.4%16.9%42.3%19.7%7.8%0.1%-17.2M86.6M-324.7K2.0961.212,4205,05910,99537,856
2011-10-11$84.23$83.0017.0%5.5%17.1%47.3%19.7%9.4%0.3%-14.7M112.6M-360.4K5.1454.268543710,97537,502
2011-10-12$86.19$83.0013.0%4.7%19.0%33.8%20.4%8.0%1.6%-10.2M56.0M-305.2K0.6156.701,27477810,98137,748
2011-10-13$85.83$83.0015.3%4.4%18.8%41.5%16.2%7.8%2.1%-8.7M65.4M-325.2K3.5059.8811339611,96837,652
2011-10-14$86.43$83.0015.0%4.3%19.0%40.6%15.9%6.9%1.6%-5.1M41.3M-281.8K1.7461.086811812,02737,702
2011-10-17$85.93$83.0014.6%4.2%19.1%39.3%16.2%7.8%1.6%-6.4M56.3M-290.2K8.3265.708873212,02237,701
2011-10-18$86.39$83.0015.5%4.5%19.2%42.3%15.4%8.2%1.7%-3.3M43.1M-288.5K3.0465.8611033412,01238,156
2011-10-19$86.11$83.0014.6%4.2%19.0%39.4%16.1%7.9%2.6%-4.3M49.0M-288.7K3.7868.2824492212,08438,379
2011-10-20$86.87$83.0013.0%3.7%18.5%33.9%17.3%7.2%2.4%601.0K25.3M-262.5K0.3270.6088228612,18538,585
2011-10-21$87.92$83.0011.5%3.3%18.9%28.9%14.3%7.3%2.1%-289.3K-2.6M-268.7K1.1174.762,4642,72612,80938,654
2011-10-24$90.30$85.0010.9%3.1%20.9%26.7%12.1%6.3%0.9%-2.5M-6.3M-269.9K2.3747.811,2292,9079,39121,868
2011-10-25$88.70$87.0013.6%3.9%22.2%35.7%15.6%7.5%0.6%-4.6M30.8M-322.9K4.1651.795952,4779,69024,150
2011-10-26$89.08$87.0013.9%4.0%21.7%36.9%17.3%7.4%0.6%-5.2M31.3M-347.6K7.5352.212371,78510,01524,586
2011-10-27$90.39$87.0011.9%3.4%22.0%30.3%12.8%6.6%-0.1%-5.4M3.8M-302.0K0.2949.831,52244810,12226,125
2011-10-28$90.12$87.0011.3%3.3%20.4%28.3%15.5%6.5%1.0%-5.1M12.6M-313.2K5.2350.7610052310,38026,204
2011-10-31$89.28$88.0013.4%3.9%19.2%35.3%29.8%6.7%-0.5%-6.7M32.5M-322.2K0.0247.0116,27734510,01926,263