HYG Options History — August 2012

In August 2012, HYG traded between $91.20 and $92.33. ATM implied volatility averaged 5.4%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded below realized volatility by 0.0% (HV 20d: 5.5%). Max pain ranged from $91.00 to $91.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 11.48.

Notable Days

  • 2012-08-01: Highest Volume — 8,144 contracts
  • 2012-08-15: Largest IV spike — 150.5% change
  • 2012-08-15: Highest IV Rank — 17.7%
  • 2012-08-07: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.72$91.20$92.33$91.69$92.33
Max Pain$91.00$91.00$91.00$91.00$91.00
ATM IV5.4%3.0%7.6%5.3%5.2%
Expected Move1.7%1.4%2.3%1.5%1.5%
HV 20d5.5%3.3%6.8%6.5%3.3%
HV 60d8.1%6.3%9.3%9.2%6.3%
IV Rank7.1%0.0%17.7%0.7%8.3%
IV Percentile6.0%0.0%31.3%0.8%3.2%
Term Structure1.7%0.7%2.8%2.1%2.0%
VWIV7.2%3.6%10.7%6.8%5.2%
Skew 25d4.0%1.9%6.8%3.1%1.9%
Skew 10d7.5%3.8%11.2%6.4%11.2%
Call IV 25d4.7%2.5%6.4%4.4%5.3%
Put IV 25d8.7%7.1%10.7%7.6%7.1%
Bid-Ask Spread %71.5452.3090.5262.7758.97
Gamma HHI0.200.150.270.200.27
Net GEX-35.8M-61.4M-3.2M-44.2M-3.2M
Net DEX81.3M3.2M128.4M89.4M3.2M
Net VEX-613.7K-757.2K-378.7K-624.7K-378.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.480.0780.332.000.23
Total Volume2,869.7395218,1448,1446,302
Total OI104,165.1385,888119,718103,47298,476

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$91.69$91.005.3%1.5%6.5%0.7%6.8%3.1%2.1%-44.2M89.4M-624.7K2.0062.772,7115,4339,28294,190
2012-08-02$91.32$91.006.9%2.0%6.7%6.3%6.8%2.1%1.7%-48.4M128.4M-757.2K2.0861.3528158411,80698,545
2012-08-03$91.70$91.005.5%1.6%6.8%1.2%6.4%3.1%1.8%-42.9M100.1M-715.5K2.0559.7717135011,94298,906
2012-08-06$91.64$91.005.2%2.0%6.8%0.3%9.1%5.0%2.2%-42.1M99.3M-734.1K6.2884.0613987312,01999,103
2012-08-07$91.46$91.006.6%2.3%6.6%5.1%8.7%4.0%1.2%-49.2M109.1M-692.6K5.7184.623912,23112,10898,798
2012-08-08$91.52$91.004.5%1.8%6.6%0.0%8.1%4.2%2.1%-44.5M92.1M-653.5K80.3386.77181,44612,42298,493
2012-08-09$91.53$91.003.3%1.8%6.5%0.0%8.5%3.3%1.6%-46.7M100.8M-664.0K70.6984.00715,01912,44099,882
2012-08-10$91.45$91.005.8%2.1%6.4%9.9%8.2%3.9%1.6%-56.4M118.2M-710.1K2.5984.771,0802,79312,502104,667
2012-08-13$91.50$91.007.0%2.0%6.2%14.5%6.2%3.8%1.9%-56.5M106.7M-662.6K0.2385.351,14526613,561104,233
2012-08-14$91.64$91.003.0%1.8%6.1%0.0%3.6%4.5%2.4%-42.7M85.9M-624.6K0.0786.334,16429514,043104,230
2012-08-15$91.20$91.007.6%2.0%6.1%17.7%6.8%3.6%1.9%-61.4M120.0M-664.7K2.7588.845831,60615,321104,397
2012-08-16$91.54$91.005.3%1.5%6.2%8.8%7.0%3.5%2.6%-50.6M103.2M-653.0K7.0188.021561,09413,163105,400
2012-08-17$91.54$91.004.8%1.4%6.0%6.9%7.1%3.7%2.8%-45.8M87.0M-606.8K1.1690.521,7642,03914,064104,990
2012-08-20$91.65$91.005.1%1.5%5.9%8.1%6.3%4.1%0.7%-21.6M55.9M-517.8K4.3473.3320589013,41972,469
2012-08-21$91.85$91.005.2%1.5%5.5%8.3%6.9%3.5%1.7%-18.7M48.3M-498.6K12.7252.302312,93813,74773,167
2012-08-22$91.76$91.005.0%1.4%5.4%7.6%8.5%4.5%1.6%-21.7M61.0M-544.2K14.9952.302964,43713,64873,471
2012-08-23$91.74$91.004.8%1.4%4.1%6.6%6.5%3.9%1.6%-21.5M58.3M-519.1K11.9862.13841,00613,89177,275
2012-08-24$92.15$91.005.3%1.5%3.8%8.5%5.3%5.4%1.4%-18.3M46.4M-552.6K0.4854.041,29962213,94975,853
2012-08-27$92.08$91.006.2%1.8%3.9%11.9%10.7%6.8%0.7%-20.3M55.6M-577.3K13.0162.094225,48914,21676,166
2012-08-28$92.00$91.006.2%1.8%3.8%12.0%7.1%5.9%0.9%-22.5M65.2M-588.1K8.7163.551231,07114,34180,276
2012-08-29$92.13$91.005.5%1.6%3.8%9.3%7.1%5.5%0.9%-21.1M61.1M-570.6K2.6760.3725868914,35580,790
2012-08-30$92.09$91.005.9%1.7%3.4%11.1%7.6%3.6%0.7%-22.9M74.4M-604.8K11.9559.212272,71214,45381,329
2012-08-31$92.33$91.005.2%1.5%3.3%8.3%5.2%1.9%2.0%-3.2M3.2M-378.7K0.2358.975,1331,16914,49383,983