HYG Options History — December 2011

In December 2011, HYG traded between $86.43 and $89.45. ATM implied volatility averaged 11.4%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 2.6% (HV 20d: 14.0%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.73.

Notable Days

  • 2011-12-15: Highest Volume — 4,915 contracts
  • 2011-12-12: Largest IV spike — 28.0% change
  • 2011-12-12: Highest IV Rank — 48.4%
  • 2011-12-01: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.91$86.43$89.45$86.43$89.43
Max Pain$87.33$85.00$88.00$88.00$88.00
ATM IV11.4%7.0%17.3%14.4%8.0%
Expected Move3.1%2.0%4.1%4.1%2.3%
HV 20d14.0%8.1%17.2%17.2%8.1%
HV 60d17.7%16.5%18.1%18.0%16.5%
IV Rank28.5%13.8%48.4%38.5%16.9%
IV Percentile63.9%39.7%86.9%75.4%52.0%
Term Structure1.4%-0.1%2.4%-0.1%1.8%
VWIV11.8%7.3%16.8%13.9%7.3%
Skew 25d4.5%2.1%5.8%4.4%2.6%
Skew 10d9.3%5.1%14.6%11.9%5.5%
Call IV 25d8.9%4.0%11.7%11.7%6.3%
Put IV 25d13.4%8.6%17.4%16.1%8.9%
Bid-Ask Spread %44.9016.4062.7616.5916.40
Gamma HHI0.170.120.290.170.19
Net GEX-6.2M-11.1M-1.0M-10.9M-1.0M
Net DEX33.4M9.3M63.5M63.5M9.3M
Net VEX-214.7K-237.8K-183.3K-237.8K-208.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.0417.100.560.62
Total Volume1,438.193334,9151,016333
Total OI30,893.71417,51544,02335,20522,080

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$86.43$88.0014.4%4.1%17.2%38.5%13.9%4.4%-0.1%-10.9M63.5M-237.8K0.5616.596513657,99927,206
2011-12-02$86.92$88.0012.0%3.4%17.0%30.5%13.7%4.2%1.3%-10.2M51.5M-230.2K0.2718.491,2153318,25027,706
2011-12-05$87.41$85.0012.8%3.8%17.1%33.3%16.4%5.8%0.4%-8.6M41.1M-217.5K3.0453.033289988,17627,422
2011-12-06$87.80$86.0012.3%3.6%17.2%31.4%13.4%5.7%0.9%-8.3M30.6M-211.0K0.6851.079876698,47728,194
2011-12-07$87.52$86.0013.7%3.8%17.2%36.3%15.9%5.7%0.8%-8.0M36.3M-219.9K0.7553.849677229,29128,372
2011-12-08$86.95$86.0016.0%4.0%15.5%44.0%13.6%5.8%0.5%-7.5M44.7M-228.0K17.1050.211402,39410,07328,140
2011-12-09$87.70$87.0013.6%3.5%15.8%35.7%13.5%5.5%0.6%-6.6M33.6M-233.6K1.7555.1017330310,14429,800
2011-12-12$87.23$87.0017.3%3.6%15.2%48.4%12.8%5.5%1.2%-7.2M41.9M-220.9K2.9552.8929787610,27429,928
2011-12-13$86.90$87.0016.8%3.4%15.1%46.6%13.7%5.4%1.3%-8.9M50.7M-217.8K4.8758.792101,02310,41830,478
2011-12-14$86.75$87.0015.6%3.5%15.1%42.7%13.1%5.4%1.9%-11.1M58.4M-209.3K1.1262.7625828910,52530,800
2011-12-15$87.06$87.0011.7%3.4%14.7%29.5%12.7%4.9%1.4%-8.0M45.8M-200.9K13.2154.333464,56910,66231,000
2011-12-16$87.47$88.0010.7%3.1%14.6%26.2%11.7%4.6%2.2%-8.4M44.2M-202.4K2.1855.8741891110,71133,312
2011-12-19$87.36$88.0010.2%2.9%14.6%24.6%9.8%4.0%1.5%-4.2M32.0M-205.3K2.1238.446701,4183,91813,597
2011-12-20$88.45$88.008.7%2.5%14.4%19.5%8.1%3.9%2.4%-4.0M24.9M-212.8K0.5941.764882904,51914,850
2011-12-21$88.70$88.007.8%2.2%14.0%16.5%8.2%3.7%2.3%-3.1M16.9M-183.3K0.2341.861,6353714,80115,009
2011-12-22$89.04$88.007.5%2.1%11.6%15.3%8.0%5.7%1.8%-2.9M16.8M-223.3K2.0039.152785555,41714,999
2011-12-23$89.45$88.007.0%2.0%11.6%13.8%16.8%3.0%2.4%-2.4M13.3M-223.3K0.0447.041,779635,51915,320
2011-12-27$89.27$88.007.3%2.1%9.5%14.7%7.4%2.7%2.2%-2.9M13.1M-194.1K1.1356.052783144,53215,357
2011-12-28$88.85$88.008.1%2.3%9.7%17.5%10.1%2.1%1.9%-3.5M21.1M-219.4K1.9158.534859244,65215,496
2011-12-29$89.38$88.008.1%2.3%8.2%17.4%7.3%3.1%1.8%-2.8M12.7M-210.2K0.2420.817091725,12516,219
2011-12-30$89.43$88.008.0%2.3%8.1%16.9%7.3%2.6%1.8%-1.0M9.3M-208.5K0.6216.402051285,77416,306