HYG Options History — November 2012

In November 2012, HYG traded between $90.67 and $93.05. ATM implied volatility averaged 8.3%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.2% (HV 20d: 5.1%). 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 16 of 21 days. Put/call ratio averaged 17.95.

Notable Days

  • 2012-11-20: Highest Volume — 53,555 contracts
  • 2012-11-19: Largest IV drop — 30.6% change
  • 2012-11-16: Highest IV Rank — 47.9%
  • 2012-11-16: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.97$90.67$93.05$92.54$93.05
Max Pain$92.48$92.00$93.00$92.00$92.00
ATM IV8.3%5.8%10.6%6.9%5.8%
Expected Move2.3%1.7%3.0%2.0%1.7%
HV 20d5.1%3.8%6.3%4.6%6.2%
HV 60d6.0%5.6%6.4%5.6%6.3%
IV Rank33.7%19.1%47.9%24.6%19.1%
IV Percentile61.3%12.3%84.5%37.3%12.3%
Term Structure0.4%-1.0%1.4%0.1%1.4%
VWIV9.4%6.6%11.9%8.0%6.6%
Skew 25d3.8%1.7%5.1%1.8%1.7%
Skew 10d7.3%3.2%10.4%5.1%4.1%
Call IV 25d6.7%4.8%8.6%6.8%5.6%
Put IV 25d10.5%7.3%13.1%8.6%7.3%
Bid-Ask Spread %16.236.2577.3465.5716.56
Gamma HHI0.200.180.290.220.29
Net GEX-117.3M-169.2M-67.5M-67.5M-125.9M
Net DEX381.0M121.7M607.2M224.6M121.7M
Net VEX-1.4M-1.9M-841.7K-1.1M-841.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.951.1091.633.331.10
Total Volume12,815.95224553,5551,13830,074
Total OI178,628.667131,619251,458131,619251,458

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$92.54$92.006.9%2.0%4.6%24.6%8.0%1.8%0.1%-67.5M224.6M-1.1M3.3365.5726387513,175118,444
2012-11-02$92.41$92.007.9%2.3%4.6%30.9%7.5%1.8%-0.8%-75.0M236.9M-1.2M3.4777.3419668113,252118,600
2012-11-05$92.26$93.008.3%2.2%4.3%33.4%8.6%3.6%0.7%-72.6M256.3M-1.1M48.009.39524013,417118,910
2012-11-06$92.40$93.009.1%2.3%4.4%38.2%9.9%4.0%0.8%-71.3M253.7M-1.2M53.9411.491548,30613,422119,016
2012-11-07$91.85$93.008.6%2.3%4.8%35.1%9.4%4.0%0.7%-87.7M338.9M-1.3M34.9110.3538613,47513,494125,847
2012-11-08$91.55$93.008.3%2.2%4.9%33.5%10.2%4.1%0.9%-97.4M407.2M-1.4M91.6313.1113612,46213,595134,760
2012-11-09$91.39$93.009.3%2.6%4.8%40.0%9.7%3.1%0.3%-113.1M438.5M-1.4M8.097.392,09416,93913,627140,972
2012-11-12$91.42$93.009.8%2.5%4.4%43.0%8.4%3.1%0.7%-117.1M437.7M-1.3M2.019.3033467213,128142,309
2012-11-13$91.21$93.008.9%2.5%4.3%37.4%9.7%3.8%0.9%-124.3M476.2M-1.3M11.477.867658,77813,223142,065
2012-11-14$90.71$93.009.9%2.5%4.2%43.6%10.7%4.5%0.9%-126.7M562.4M-1.4M12.119.141,29415,67213,419145,265
2012-11-15$90.67$93.009.4%2.7%3.8%40.7%10.7%4.3%0.4%-140.9M607.2M-1.4M7.9110.092,72721,58314,540155,463
2012-11-16$90.93$93.0010.6%3.0%3.9%47.9%11.9%4.5%-1.0%-169.2M559.0M-1.5M5.499.822,17411,92915,911163,787
2012-11-19$92.08$92.007.3%2.1%6.3%27.3%9.2%4.5%0.4%-102.7M344.6M-1.3M4.7110.981,5527,30814,268153,917
2012-11-20$92.09$92.007.3%2.1%6.1%26.9%10.3%4.7%0.5%-105.7M343.3M-1.3M39.0910.371,33652,21915,364159,098
2012-11-21$92.06$92.007.5%2.2%6.1%28.6%9.3%4.3%0.2%-149.5M466.4M-1.9M4.1514.6816869816,355205,224
2012-11-23$92.37$92.007.8%2.2%6.1%30.3%8.7%5.1%0.4%-139.4M412.5M-1.6M2.2311.5018641416,486204,794
2012-11-26$92.39$92.008.5%2.4%6.1%34.6%8.6%5.1%-0.2%-143.2M425.7M-1.7M2.466.815881,44616,600204,697
2012-11-27$92.48$92.008.3%2.4%6.1%33.5%11.4%4.6%-0.1%-139.1M401.5M-1.7M33.8113.3457119,30817,109205,537
2012-11-28$92.50$92.008.5%2.4%6.0%34.6%8.6%3.6%-0.5%-154.3M414.8M-1.7M2.329.475361,24517,337222,581
2012-11-29$92.91$92.006.5%1.9%6.2%24.3%10.2%4.3%1.1%-141.2M273.0M-1.3M4.646.255,20124,14517,233223,503
2012-11-30$93.05$92.005.8%1.7%6.2%19.1%6.6%1.7%1.4%-125.9M121.7M-841.7K1.1016.5614,32115,75320,599230,859