HYG Options History — June 2012

In June 2012, HYG traded between $86.47 and $91.29. ATM implied volatility averaged 10.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 1.1% (HV 20d: 11.2%). Max pain ranged from $88.00 to $89.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 9.65.

Notable Days

  • 2012-06-29: Highest Volume — 19,409 contracts
  • 2012-06-11: Largest IV spike — 48.6% change
  • 2012-06-13: Highest IV Rank — 41.5%
  • 2012-06-01: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.06$86.47$91.29$86.47$91.29
Max Pain$88.38$88.00$89.00$89.00$89.00
ATM IV10.2%6.7%15.7%14.6%6.7%
Expected Move2.8%1.9%4.2%4.2%1.9%
HV 20d11.2%8.2%12.5%10.7%8.2%
HV 60d8.6%8.0%9.1%8.1%9.1%
IV Rank22.3%10.4%41.5%37.4%10.4%
IV Percentile46.9%13.5%79.4%73.8%13.5%
Term Structure0.7%-0.9%2.1%-0.9%2.1%
VWIV10.9%7.1%16.6%12.7%13.3%
Skew 25d5.6%4.3%6.7%4.3%6.3%
Skew 10d11.6%8.4%16.4%9.4%8.4%
Call IV 25d7.6%3.6%12.4%12.4%3.6%
Put IV 25d13.2%10.0%18.0%16.7%10.0%
Bid-Ask Spread %46.6830.6368.3168.3150.69
Gamma HHI0.280.140.810.140.16
Net GEX4.5M-26.8M87.9M-26.6M-2.4M
Net DEX81.3M-27.2M265.8M265.8M-6.2M
Net VEX-563.7K-751.5K-383.1K-751.5K-496.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.650.18123.892.630.18
Total Volume6,290.9521,05019,4098,44419,409
Total OI95,897.23845,547135,995129,94074,157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$86.47$89.0014.6%4.2%10.7%37.4%12.7%4.3%-0.9%-26.6M265.8M-751.5K2.6368.312,3286,11638,40891,532
2012-06-04$86.54$88.0013.4%3.8%10.7%33.5%15.0%6.7%0.1%-26.8M255.2M-651.2K9.7347.732512,44236,61789,346
2012-06-05$87.09$88.0012.9%3.5%11.1%31.8%16.6%6.3%0.2%-20.4M214.8M-601.0K2.0951.263,3476,99536,84588,308
2012-06-06$88.02$88.0011.8%3.2%12.0%27.8%10.0%5.7%0.7%-2.8M150.6M-646.8K1.4853.397,63511,29839,88290,188
2012-06-07$88.35$88.0011.3%3.2%12.1%26.2%11.5%4.9%0.7%4.4M123.7M-626.7K3.6050.255712,05541,12594,870
2012-06-08$88.69$88.009.7%2.8%12.2%20.8%10.7%5.5%1.7%13.9M71.2M-628.2K0.8655.4080769439,23586,809
2012-06-11$88.11$88.0014.5%3.2%12.3%37.1%13.4%6.0%0.9%-380.9K124.7M-586.4K1.1453.739841,11839,06786,921
2012-06-12$88.73$88.0011.7%3.0%12.5%27.6%11.0%5.8%1.2%19.8M84.6M-560.4K4.1650.428243,42839,06387,495
2012-06-13$88.47$88.0015.7%3.4%12.4%41.5%12.0%5.9%0.7%14.2M113.8M-577.0K3.1247.747692,39639,46890,105
2012-06-14$89.13$88.0010.8%3.1%12.2%24.4%11.1%6.4%0.9%41.5M34.6M-550.5K0.6033.665,7383,43939,60790,104
2012-06-15$89.29$88.0010.4%3.0%11.0%23.0%11.2%6.6%1.4%87.9M-27.2M-541.3K0.5332.843,5491,88843,59490,312
2012-06-18$89.32$88.008.7%2.5%11.0%17.3%8.8%5.6%0.7%1.6M46.3M-488.3K0.6642.5690159812,53333,014
2012-06-19$89.95$88.007.2%2.1%10.7%12.3%9.2%6.6%1.0%5.6M2.9M-383.1K1.3543.4172097513,25733,393
2012-06-20$90.30$88.007.7%2.2%10.8%13.8%8.2%4.7%0.7%5.4M-1.8M-409.3K1.3848.522,3403,22213,71234,082
2012-06-21$89.56$89.006.8%2.0%11.2%10.8%9.7%5.7%1.4%822.7K42.2M-501.0K5.1540.072,42412,47914,28637,091
2012-06-22$90.17$89.007.4%2.1%11.4%12.8%8.5%4.3%1.2%-2.1M25.4M-507.3K3.1057.0925679414,96748,611
2012-06-25$90.03$89.007.9%2.3%11.4%14.6%7.1%5.1%-0.1%-4.7M54.5M-598.0K14.4739.031802,60415,13349,099
2012-06-26$89.90$89.007.8%2.2%10.8%14.3%10.5%6.0%0.4%-6.3M63.1M-615.0K1.3942.8657880615,27251,422
2012-06-27$90.44$89.008.1%2.3%10.8%15.3%9.7%4.9%0.1%-4.8M36.9M-573.9K21.1430.631883,97415,35251,758
2012-06-28$90.43$89.008.2%2.3%9.9%15.4%9.1%4.7%0.2%-3.7M31.5M-545.2K123.8940.728810,90215,39352,409
2012-06-29$91.29$89.006.7%1.9%8.2%10.4%13.3%6.3%2.1%-2.4M-6.2M-496.4K0.1850.6916,4053,00415,40858,749