HYG Options History — October 2012

In October 2012, HYG traded between $91.66 and $93.48. ATM implied volatility averaged 6.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 0.8% (HV 20d: 7.2%). Max pain ranged from $92.00 to $93.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 21.41.

Notable Days

  • 2012-10-25: Highest Volume — 22,592 contracts
  • 2012-10-31: Largest IV drop — 36.7% change
  • 2012-10-26: Highest IV Rank — 28.1%
  • 2012-10-26: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.56$91.66$93.48$91.66$92.59
Max Pain$92.19$92.00$93.00$93.00$92.00
ATM IV6.3%4.7%7.5%6.2%4.7%
Expected Move1.9%1.4%2.1%1.8%1.4%
HV 20d7.2%4.6%8.0%8.0%4.6%
HV 60d6.0%5.6%6.3%6.3%5.6%
IV Rank19.4%10.5%28.1%12.0%10.6%
IV Percentile24.0%1.6%49.2%17.1%1.6%
Term Structure0.5%-0.2%1.7%0.6%0.0%
VWIV7.2%5.2%9.5%6.2%5.2%
Skew 25d2.6%1.0%3.6%2.0%2.3%
Skew 10d5.3%0.7%8.1%4.6%5.7%
Call IV 25d5.7%4.9%6.3%6.2%5.8%
Put IV 25d8.3%6.4%9.6%8.1%8.1%
Bid-Ask Spread %21.4612.4292.7217.2692.72
Gamma HHI0.190.160.240.170.24
Net GEX-29.7M-89.6M-10.8M-20.6M-89.6M
Net DEX128.9M25.7M299.6M99.6M225.4M
Net VEX-788.0K-1.4M-443.1K-529.6K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.410.87141.0953.190.87
Total Volume5,800.71427922,59211,3252,384
Total OI83,988.14355,700131,78655,700131,786

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$91.66$93.006.2%1.8%8.0%12.0%6.2%2.0%0.6%-20.6M99.6M-529.6K53.1917.2620911,1169,90945,791
2012-10-02$91.89$93.006.1%1.7%7.9%11.7%6.4%2.2%0.7%-22.0M116.6M-628.0K2.7716.407420510,06656,418
2012-10-03$92.12$93.005.8%1.7%7.9%10.6%5.7%1.0%0.8%-20.4M93.6M-577.4K1.5216.2017426510,10256,519
2012-10-04$92.51$93.005.5%1.6%7.8%10.5%6.0%1.9%0.8%-18.5M87.7M-612.2K5.0812.421,1836,00610,25556,702
2012-10-05$92.46$92.005.4%2.0%7.7%12.2%8.0%2.3%1.7%-22.3M105.3M-685.0K15.2322.641322,01110,68761,036
2012-10-08$92.33$92.005.7%2.0%7.7%16.1%7.1%2.5%0.9%-24.3M118.8M-747.1K1.8923.0717633310,77762,588
2012-10-09$92.08$92.005.9%2.1%7.3%17.9%8.0%3.0%0.7%-27.8M138.6M-801.1K12.6721.581932,44510,90962,691
2012-10-10$91.85$92.006.0%2.0%7.3%18.8%7.3%3.0%0.5%-34.1M163.5M-832.6K2.5419.5738297110,94364,803
2012-10-11$92.35$92.007.0%2.0%7.1%25.2%7.1%2.7%0.9%-23.0M107.5M-650.2K15.2725.582664,06211,10165,548
2012-10-12$92.51$92.006.5%1.9%7.2%22.2%7.8%2.8%0.3%-30.2M132.0M-855.3K1.5420.372,9164,48911,20768,391
2012-10-15$92.93$92.006.8%1.9%7.4%23.8%7.5%2.9%0.4%-19.9M98.6M-775.1K3.9020.2810440613,45971,130
2012-10-16$93.27$92.006.4%1.8%7.6%21.4%7.4%2.3%0.5%-10.9M27.3M-443.1K10.7816.732722,93113,52071,285
2012-10-17$93.48$92.007.0%2.0%7.6%25.2%7.2%2.6%0.5%-10.8M25.7M-463.1K2.8916.705221,50813,61472,929
2012-10-18$93.43$92.006.7%1.9%7.4%22.9%7.9%2.3%0.5%-12.3M55.6M-651.7K11.4613.943734,27313,82473,180
2012-10-19$92.96$92.006.3%1.8%7.6%20.7%6.9%2.4%0.6%-19.7M114.1M-846.9K2.2118.641,3062,88113,89474,820
2012-10-22$92.98$92.006.5%1.9%7.6%22.2%6.5%2.4%0.6%-24.8M109.7M-801.1K6.1115.901,0776,58413,00161,512
2012-10-23$92.63$92.006.9%2.0%7.0%24.5%9.5%3.6%0.5%-29.5M150.2M-905.0K115.9418.9016118,66713,85965,199
2012-10-24$92.55$92.007.0%2.0%6.7%25.3%7.6%3.5%-0.0%-42.8M205.9M-1.1M40.6813.2240216,35313,93882,834
2012-10-25$92.70$92.006.9%2.0%5.5%24.6%8.6%2.8%-0.1%-53.8M231.5M-1.2M141.0914.1915922,43313,74698,828
2012-10-26$92.48$92.007.5%2.1%5.3%28.1%7.8%3.4%-0.2%-66.1M299.6M-1.4M2.0014.3347194013,792117,158
2012-10-31$92.59$92.004.7%1.4%4.6%10.6%5.2%2.3%0.0%-89.6M225.4M-1.0M0.8792.721,2751,10914,055117,731