HYG Options History — November 2011

In November 2011, HYG traded between $82.75 and $88.87. ATM implied volatility averaged 15.4%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 3.9% (HV 20d: 19.3%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 6.04.

Notable Days

  • 2011-11-17: Highest Volume — 5,561 contracts
  • 2011-11-09: Largest IV spike — 30.6% change
  • 2011-11-25: Highest IV Rank — 53.2%
  • 2011-11-25: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.46$82.75$88.87$87.17$86.60
Max Pain$89.52$88.00$90.00$89.00$88.00
ATM IV15.4%12.7%18.8%18.6%12.7%
Expected Move4.4%3.6%5.4%5.3%3.6%
HV 20d19.3%15.5%21.6%21.6%17.6%
HV 60d17.4%16.8%18.7%18.7%18.1%
IV Rank42.0%32.7%53.2%52.5%32.7%
IV Percentile81.6%70.2%90.1%89.3%70.2%
Term Structure-0.4%-2.4%1.3%-2.4%0.0%
VWIV16.8%13.6%21.9%21.0%14.3%
Skew 25d6.9%4.1%8.6%8.0%4.1%
Skew 10d14.3%10.6%19.9%17.4%12.3%
Call IV 25d13.1%11.3%17.4%16.2%12.0%
Put IV 25d20.1%16.1%24.2%24.2%16.1%
Bid-Ask Spread %59.5419.8876.6353.6619.88
Gamma HHI0.170.150.240.150.18
Net GEX-11.4M-15.7M-8.3M-8.3M-12.9M
Net DEX95.4M51.0M143.0M80.0M62.1M
Net VEX-257.0K-318.5K-201.4K-311.7K-213.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.040.4627.379.023.20
Total Volume1,691.7142695,5613,7371,688
Total OI35,917.47630,81541,85733,48335,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$87.17$89.0018.6%5.3%21.6%52.5%21.0%8.0%-2.4%-8.3M80.0M-311.7K9.0253.663733,3647,06426,419
2011-11-02$88.00$89.0015.4%4.4%21.5%41.7%18.0%6.9%-0.2%-9.8M71.9M-313.5K1.9059.522945587,29027,787
2011-11-03$88.87$89.0014.0%4.0%21.2%37.1%15.8%5.1%-0.4%-9.2M55.6M-318.5K2.2153.691363017,46428,842
2011-11-04$88.78$90.0013.4%3.9%21.2%35.2%13.6%7.9%0.6%-8.3M51.0M-295.2K0.7071.251581117,52827,533
2011-11-07$88.48$90.0015.6%4.3%20.2%42.6%21.9%8.5%0.2%-8.6M57.6M-292.0K16.9770.62981,6637,60827,555
2011-11-08$88.68$90.0013.0%3.8%19.6%33.7%16.0%6.9%0.9%-9.3M51.6M-270.2K22.4770.801924,3157,69127,913
2011-11-09$86.80$90.0016.9%4.7%19.8%47.0%17.3%8.6%-0.5%-11.6M97.5M-295.2K1.9270.493456637,81629,297
2011-11-10$86.89$90.0015.9%4.6%19.7%43.6%14.7%8.5%-0.4%-12.4M99.1M-293.3K1.8973.951663137,96130,281
2011-11-11$88.04$90.0014.0%4.0%20.1%37.1%14.3%6.8%0.1%-12.6M72.9M-267.3K2.9075.94872528,04030,271
2011-11-14$87.45$90.0015.3%4.4%20.1%41.4%15.8%6.5%-1.1%-14.3M89.5M-262.8K4.2874.66763258,05330,371
2011-11-15$87.22$90.0015.0%4.3%20.1%40.5%17.8%6.2%-0.9%-15.0M95.8M-252.9K2.9974.591865578,09730,609
2011-11-16$86.37$90.0016.1%4.6%20.4%44.1%17.1%7.4%-1.2%-15.7M116.1M-246.3K2.4474.111674078,20530,904
2011-11-17$85.95$90.0015.0%4.3%20.2%40.5%17.5%7.2%-0.3%-14.6M130.8M-224.0K27.3776.631965,3658,17631,108
2011-11-18$85.89$90.0013.5%3.9%19.7%35.5%16.1%7.5%1.3%-13.0M138.4M-232.6K10.2073.483693,7658,22933,628
2011-11-21$84.92$90.0015.3%4.4%17.0%41.6%16.9%7.4%-0.5%-10.8M110.2M-223.1K9.4752.451111,0515,51825,297
2011-11-22$84.27$90.0016.4%4.7%16.1%45.2%18.3%8.0%-0.6%-11.2M123.6M-223.5K3.9740.591566195,58825,981
2011-11-23$82.75$90.0017.5%5.0%16.8%48.9%16.8%7.0%-1.0%-9.9M143.0M-201.4K0.6942.989756705,71926,365
2011-11-25$82.75$89.0018.8%5.4%15.5%53.2%17.6%5.6%-1.1%-9.4M139.8M-213.6K0.4645.981,2885986,54126,584
2011-11-28$84.60$88.0015.8%4.5%18.1%43.2%16.2%5.8%-0.8%-11.1M114.0M-217.6K0.5640.408774947,61126,919
2011-11-29$85.15$88.0016.1%4.6%18.3%44.1%14.5%5.8%-0.9%-11.1M103.3M-228.5K1.1634.741,0181,1798,06127,187
2011-11-30$86.60$88.0012.7%3.6%17.6%32.7%14.3%4.1%0.0%-12.9M62.1M-213.0K3.2019.884021,2867,90327,253