HYG Options History — May 2012

In May 2012, HYG traded between $87.59 and $91.11. ATM implied volatility averaged 9.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 2.2% (HV 20d: 7.0%). Max pain ranged from $89.00 to $91.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 7.22.

Notable Days

  • 2012-05-16: Highest Volume — 40,401 contracts
  • 2012-05-14: Largest IV spike — 53.8% change
  • 2012-05-17: Highest IV Rank — 32.7%
  • 2012-05-17: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.51$87.59$91.11$90.76$87.77
Max Pain$90.23$89.00$91.00$91.00$89.00
ATM IV9.3%5.1%13.2%5.1%9.8%
Expected Move2.7%1.5%3.8%1.5%2.8%
HV 20d7.0%4.5%9.6%6.5%9.6%
HV 60d6.9%6.3%7.8%6.5%7.6%
IV Rank19.2%5.0%32.7%5.0%20.9%
IV Percentile44.0%3.6%68.7%3.6%53.6%
Term Structure0.5%-1.7%2.2%2.2%0.5%
VWIV11.2%5.4%23.4%5.4%11.7%
Skew 25d5.4%2.1%7.9%2.1%2.1%
Skew 10d10.3%5.8%16.2%5.8%7.6%
Call IV 25d7.7%3.4%11.0%5.4%10.6%
Put IV 25d13.1%6.9%18.9%7.4%12.7%
Bid-Ask Spread %66.4945.3782.2951.6257.37
Gamma HHI0.210.160.320.210.19
Net GEX-22.5M-68.2M-5.2M-18.2M-24.8M
Net DEX127.5M12.2M340.8M38.2M198.2M
Net VEX-571.7K-740.3K-388.8K-451.8K-613.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.220.2540.920.371.54
Total Volume7,258.81812840,4011,28615,087
Total OI89,682.27363,325120,21663,325120,216

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$90.76$91.005.1%1.5%6.5%5.0%5.4%2.1%2.2%-18.2M38.2M-451.8K0.3751.6293934715,40247,923
2012-05-02$91.11$91.005.5%1.6%6.6%6.4%6.3%3.5%1.6%-9.0M12.8M-410.6K1.7050.8413222416,13647,991
2012-05-03$91.05$91.005.4%1.5%6.4%5.8%6.8%3.5%1.7%-11.8M12.2M-388.8K1.3654.5137751416,23748,134
2012-05-04$90.87$91.006.7%2.1%6.4%10.5%8.8%5.0%1.0%-16.1M38.8M-467.5K6.5980.065313,49716,58148,437
2012-05-07$91.02$91.007.0%2.2%6.0%11.5%8.6%5.7%1.0%-12.4M21.9M-431.8K2.8879.81339516,91251,425
2012-05-08$91.00$91.006.5%2.3%5.6%9.5%10.2%5.2%0.6%-17.0M27.4M-415.7K12.5582.291321,65616,93151,142
2012-05-09$90.68$91.007.0%2.3%5.5%11.4%8.7%5.4%0.4%-20.9M58.3M-462.6K3.5882.161,1374,06516,91851,269
2012-05-10$90.58$91.008.2%2.3%4.6%15.4%9.3%5.2%1.1%-24.8M67.9M-481.3K1.8680.517213418,04553,187
2012-05-11$90.81$91.008.2%2.3%4.5%15.5%15.2%7.0%0.3%-16.7M41.1M-471.4K40.9281.962219,04418,11752,262
2012-05-14$90.14$91.0012.6%3.6%5.3%30.6%13.9%7.9%-1.7%-36.7M119.3M-521.5K20.3872.674088,31318,03160,088
2012-05-15$89.70$91.0011.9%3.4%5.3%28.2%13.1%7.3%-0.4%-51.1M175.0M-608.5K2.9673.8118956018,31966,972
2012-05-16$88.82$91.0012.9%3.7%6.3%31.8%23.4%7.6%-0.4%-68.2M255.0M-568.4K40.3569.2797739,42418,39267,145
2012-05-17$87.59$91.0013.2%3.8%7.8%32.7%14.4%7.9%-0.8%-44.6M340.8M-620.6K1.7767.253,6136,39718,45583,443
2012-05-18$87.59$90.0012.1%3.5%7.8%28.8%13.9%6.6%0.4%-42.5M323.1M-590.9K1.1967.1712,56914,91820,74586,290
2012-05-21$88.50$89.0010.9%3.1%8.8%24.8%14.2%6.2%0.1%-12.8M172.0M-694.9K7.0161.701,77012,39928,96177,466
2012-05-22$88.49$89.0010.6%3.0%8.8%23.7%8.9%5.0%0.5%-12.5M163.1M-737.5K1.8557.031,1782,18530,06680,863
2012-05-23$88.40$89.0010.6%3.0%8.2%23.9%11.6%5.5%0.1%-11.9M164.1M-729.2K5.2967.083972,10130,61380,898
2012-05-24$88.42$89.0010.6%3.0%8.2%23.7%12.0%6.4%0.2%-13.1M155.4M-739.8K3.8266.307327930,90382,312
2012-05-25$88.14$89.0010.0%2.9%8.2%21.7%11.5%4.7%0.8%-17.7M180.9M-715.5K0.2559.103,03176630,03582,469
2012-05-29$89.11$89.009.3%2.7%9.3%19.4%9.1%4.1%0.9%-5.2M106.5M-715.4K0.3145.372,95592233,03484,182
2012-05-30$88.71$89.0010.2%2.9%9.2%22.3%10.1%4.1%0.1%-7.1M133.6M-740.3K0.3954.934,3421,69135,79884,265
2012-05-31$87.77$89.009.8%2.8%9.6%20.9%11.7%2.1%0.5%-24.8M198.2M-613.9K1.5457.375,9509,13735,63884,578