HYG Options History — March 2012

In March 2012, HYG traded between $89.65 and $91.75. ATM implied volatility averaged 7.0%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.4% (HV 20d: 7.4%). Max pain ranged from $91.00 to $91.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 7.14.

Notable Days

  • 2012-03-16: Highest Volume — 15,965 contracts
  • 2012-03-06: Largest IV spike — 27.9% change
  • 2012-03-06: Highest IV Rank — 21.8%
  • 2012-03-06: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.79$89.65$91.75$91.75$90.72
Max Pain$91.00$91.00$91.00$91.00$91.00
ATM IV7.0%5.3%9.4%6.0%5.3%
Expected Move2.1%1.5%2.6%1.7%1.5%
HV 20d7.4%4.9%8.0%4.9%7.7%
HV 60d6.3%6.1%6.8%6.1%6.1%
IV Rank13.8%8.0%21.8%10.4%8.0%
IV Percentile31.6%12.7%56.7%18.7%12.7%
Term Structure1.3%0.5%2.0%1.6%1.1%
VWIV7.9%5.7%9.6%6.1%5.7%
Skew 25d4.2%2.1%5.5%2.9%3.2%
Skew 10d8.4%5.6%11.4%7.0%5.6%
Call IV 25d5.9%4.5%8.5%4.8%5.2%
Put IV 25d10.1%7.7%12.6%7.7%8.4%
Bid-Ask Spread %58.6110.1480.3210.1467.38
Gamma HHI0.280.180.450.250.45
Net GEX-21.6M-40.9M-768.8K-768.8K-33.0M
Net DEX68.6M4.3M143.5M4.3M52.3M
Net VEX-355.5K-479.2K-284.0K-323.8K-360.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.140.2238.780.522.13
Total Volume3,50914115,9651,844141
Total OI51,609.18232,02764,40549,69151,424

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$91.75$91.006.0%1.7%4.9%10.4%6.1%2.9%1.6%-768.8K4.3M-323.8K0.5210.141,21463012,14737,544
2012-03-02$91.37$91.007.2%2.1%5.2%14.3%7.0%2.1%0.9%-1.7M15.5M-333.7K3.3912.691,7255,84112,52837,421
2012-03-05$90.86$91.007.4%2.3%5.6%15.0%7.9%4.1%1.3%-21.5M62.9M-346.0K12.4835.896479912,26543,047
2012-03-06$89.65$91.009.4%2.6%7.4%21.8%9.5%4.1%0.5%-29.0M140.9M-318.7K24.7326.924039,96512,28443,334
2012-03-07$89.90$91.008.0%2.5%7.4%17.0%9.2%4.9%1.4%-37.9M143.5M-337.2K3.9836.3612851012,47348,464
2012-03-08$90.60$91.006.1%2.0%8.0%10.7%8.6%4.5%1.4%-38.3M103.5M-340.0K0.2466.691,45934912,51847,752
2012-03-09$90.70$91.006.3%2.1%8.0%11.4%8.1%3.6%1.6%-35.6M89.3M-333.5K2.6273.6124865013,07247,278
2012-03-12$90.70$91.006.6%2.0%7.3%12.4%7.5%3.4%1.7%-40.9M90.2M-291.2K3.2972.2019363413,16747,432
2012-03-13$91.36$91.006.3%2.0%7.7%11.6%8.3%3.9%1.6%-17.7M34.6M-295.5K4.5279.8113259613,29647,590
2012-03-14$91.13$91.007.8%2.1%7.7%16.4%7.7%4.0%2.0%-31.8M52.3M-290.4K0.2280.321,19225913,35147,658
2012-03-15$90.82$91.007.8%2.2%7.7%16.4%9.4%5.5%1.5%-35.4M71.0M-301.1K9.0679.012752,49214,52247,727
2012-03-16$90.49$91.008.7%2.5%7.7%19.4%8.2%5.4%0.7%-34.1M119.0M-284.0K2.5174.084,55411,41114,63449,771
2012-03-19$90.83$91.006.6%1.9%7.8%12.4%7.6%4.2%1.5%-11.5M53.5M-342.1K0.5464.245913219,65122,443
2012-03-20$90.76$91.006.3%1.8%7.7%11.4%7.1%4.0%1.8%-10.3M47.8M-318.1K1.0565.072,5812,7169,72722,300
2012-03-21$90.47$91.007.5%2.1%7.7%15.4%7.5%4.5%0.7%-10.7M67.6M-387.5K23.9559.15972,32312,30124,969
2012-03-22$90.69$91.006.1%1.7%7.6%10.6%9.6%5.2%1.5%-14.1M66.9M-411.1K2.3160.052,6936,23212,32827,010
2012-03-23$90.50$91.007.8%2.2%7.5%16.3%7.8%4.0%1.0%-19.3M85.8M-479.2K5.7457.104192,40414,88433,137
2012-03-26$91.05$91.006.7%1.9%7.9%12.6%6.5%4.1%0.9%-10.1M46.7M-427.8K1.0168.5453253915,04331,812
2012-03-27$91.21$91.007.1%2.0%7.9%14.1%9.0%4.3%0.9%-9.7M39.2M-437.2K13.2869.182613,46615,13832,261
2012-03-28$90.91$91.006.8%1.9%7.9%13.0%8.8%5.5%1.0%-10.8M49.6M-417.7K38.7865.031505,81715,37231,743
2012-03-29$90.90$91.006.5%1.9%7.8%12.2%7.0%4.3%1.3%-21.7M73.1M-444.0K0.6866.011147815,45737,127
2012-03-30$90.72$91.005.3%1.5%7.7%8.0%5.7%3.2%1.1%-33.0M52.3M-360.6K2.1367.38459615,47335,951