HYG Options History — July 2012

In July 2012, HYG traded between $90.45 and $91.92. ATM implied volatility averaged 7.4%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.1% (HV 20d: 7.3%). Max pain ranged from $90.00 to $91.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 11.03.

Notable Days

  • 2012-07-11: Highest Volume — 18,048 contracts
  • 2012-07-27: Largest IV drop — 22.6% change
  • 2012-07-12: Highest IV Rank — 13.4%
  • 2012-07-11: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.19$90.45$91.92$90.87$91.70
Max Pain$90.71$90.00$91.00$90.00$91.00
ATM IV7.4%5.7%8.8%7.3%5.7%
Expected Move2.2%1.6%2.6%2.1%1.6%
HV 20d7.3%6.2%8.6%8.6%6.6%
HV 60d9.0%8.8%9.2%9.2%9.2%
IV Rank9.2%2.1%13.4%12.4%2.1%
IV Percentile24.4%1.6%46.8%23.0%1.6%
Term Structure1.5%0.7%2.8%1.3%1.2%
VWIV8.9%6.4%12.0%7.8%6.4%
Skew 25d4.2%2.4%5.7%5.7%3.2%
Skew 10d8.3%3.0%11.5%6.2%7.9%
Call IV 25d6.1%3.6%7.9%3.6%5.5%
Put IV 25d10.3%8.2%12.4%9.2%8.6%
Bid-Ask Spread %61.0331.7073.5931.7053.44
Gamma HHI0.160.140.200.180.19
Net GEX-27.1M-59.0M-11.6M-15.8M-59.0M
Net DEX93.8M26.7M208.1M53.9M88.9M
Net VEX-671.4K-862.9K-447.5K-544.0K-600.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.030.1040.590.310.10
Total Volume4,008.76228618,0481,8687,297
Total OI92,060.1974,227108,40574,331104,503

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$90.87$90.007.3%2.1%8.6%12.4%7.8%5.7%1.3%-15.8M53.9M-544.0K0.3131.701,4264429,59364,738
2012-07-03$91.20$90.007.0%2.0%8.4%11.6%7.9%4.6%0.8%-11.6M26.7M-455.9K2.9372.304331,26910,38463,843
2012-07-05$91.21$90.007.5%2.1%7.9%13.0%6.6%2.4%0.8%-12.3M28.8M-447.5K12.8748.841331,7129,71764,887
2012-07-06$91.09$90.006.9%2.3%7.9%11.0%9.6%4.0%0.9%-14.4M40.1M-463.1K0.9565.261471399,73866,512
2012-07-09$91.12$90.006.8%2.2%7.9%8.2%9.5%3.7%1.3%-14.5M44.1M-481.9K0.1669.61410679,79366,594
2012-07-10$90.72$90.007.0%2.4%7.6%6.8%8.6%4.7%1.7%-15.9M62.0M-509.7K17.9173.591502,6879,86666,617
2012-07-11$91.01$91.007.5%2.6%7.4%8.4%9.9%4.8%1.2%-16.9M61.5M-559.2K40.5968.8643417,6149,95168,730
2012-07-12$90.81$91.008.8%2.5%7.3%13.4%12.0%4.5%1.7%-25.8M112.4M-773.4K3.0366.798826710,37984,946
2012-07-13$91.09$91.008.4%2.4%7.0%11.8%9.3%4.7%2.2%-24.9M108.7M-805.0K14.7468.603450110,41285,124
2012-07-16$90.74$91.008.4%2.4%7.2%11.7%10.5%4.1%1.8%-26.5M120.3M-779.1K29.3971.95832,43910,43485,250
2012-07-17$91.17$91.008.0%2.3%7.3%10.4%9.3%4.2%2.4%-16.1M81.9M-670.1K0.1271.521,70919810,46086,536
2012-07-18$91.55$91.007.1%2.0%7.1%7.3%9.8%4.8%2.8%-18.8M64.3M-687.9K5.2767.332,07410,92912,01186,493
2012-07-19$91.78$91.006.7%1.9%7.0%5.7%8.4%4.0%1.6%-17.2M33.5M-639.1K3.9264.331,0934,28913,59092,710
2012-07-20$91.35$91.007.6%2.2%6.5%9.0%10.1%3.7%1.8%-24.8M91.5M-791.3K20.2369.333487,03914,45593,950
2012-07-23$91.20$91.007.9%2.3%6.2%9.9%9.0%3.4%1.2%-38.9M147.7M-786.6K36.9947.081475,4379,59482,222
2012-07-24$90.64$91.008.1%2.3%6.6%10.6%9.2%4.4%1.6%-43.8M189.2M-861.1K24.8144.472275,6329,72586,658
2012-07-25$90.45$91.008.4%2.4%6.6%11.7%8.7%3.8%1.0%-48.3M208.1M-862.9K9.6848.244714,5589,90391,194
2012-07-26$91.38$91.008.1%2.3%7.3%10.5%8.8%5.1%0.7%-45.4M160.0M-831.5K1.5848.8237659410,25693,158
2012-07-27$91.92$91.006.2%1.8%7.5%3.9%7.8%4.8%1.4%-38.8M123.0M-783.4K1.8471.3728051510,45193,508
2012-07-30$91.92$91.006.3%1.8%6.8%4.3%7.7%4.3%1.7%-39.6M124.2M-765.7K4.2258.239540110,60793,772
2012-07-31$91.70$91.005.7%1.6%6.6%2.1%6.4%3.2%1.2%-59.0M88.9M-600.7K0.1053.446,65264510,57893,925