HYG Options History — December 2012

In December 2012, HYG traded between $92.95 and $93.90. ATM implied volatility averaged 7.5%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.9% (HV 20d: 4.6%). Max pain ranged from $92.00 to $93.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 16.80.

Notable Days

  • 2012-12-13: Highest Volume — 54,571 contracts
  • 2012-12-13: Largest IV spike — 44.4% change
  • 2012-12-28: Highest IV Rank — 45.9%
  • 2012-12-13: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.35$92.95$93.90$93.03$93.35
Max Pain$92.40$92.00$93.00$93.00$93.00
ATM IV7.5%6.2%8.9%7.0%8.4%
Expected Move2.2%1.9%2.6%2.0%2.4%
HV 20d4.6%3.0%6.2%6.2%4.0%
HV 60d5.7%4.9%6.3%6.3%4.9%
IV Rank33.3%22.0%45.9%27.6%42.2%
IV Percentile52.9%21.8%82.5%38.9%73.4%
Term Structure1.2%0.1%2.6%0.7%0.1%
VWIV9.1%5.1%11.5%10.8%8.5%
Skew 25d3.0%1.9%4.2%2.5%1.9%
Skew 10d6.5%4.1%8.5%6.1%4.4%
Call IV 25d6.7%5.9%8.1%6.3%7.2%
Put IV 25d9.8%8.4%11.5%8.8%9.2%
Bid-Ask Spread %22.485.6151.068.0215.84
Gamma HHI0.220.190.290.220.19
Net GEX-68.6M-121.0M-26.1M-121.0M-51.4M
Net DEX161.1M17.7M239.6M190.5M176.0M
Net VEX-1.3M-1.6M-1.0M-1.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.800.08132.7520.124.24
Total Volume11,740.41,72054,57120,4481,720
Total OI235,756.85148,296302,446247,880164,841

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$93.03$93.007.0%2.0%6.2%27.6%10.8%2.5%0.7%-121.0M190.5M-1.1M20.128.0296819,48017,174230,706
2012-12-04$93.03$93.007.9%2.3%6.1%33.7%9.9%2.7%0.8%-100.3M231.3M-1.3M4.016.009994,00317,765207,425
2012-12-05$93.18$93.007.7%2.2%6.1%32.7%8.9%2.3%0.9%-96.5M166.3M-1.1M22.766.611292,93617,995206,295
2012-12-06$93.35$93.008.2%2.3%5.7%35.9%9.1%3.0%0.5%-88.3M173.7M-1.2M22.595.61851,92018,050208,807
2012-12-07$93.21$92.008.1%2.5%5.5%35.0%11.5%3.7%1.3%-94.9M214.9M-1.3M3.8551.066,19523,87418,095210,439
2012-12-10$93.29$92.007.4%2.4%5.5%30.5%10.3%3.7%1.6%-68.1M141.2M-1.2M0.5840.965,6103,25224,224217,809
2012-12-11$93.38$92.007.8%2.5%5.4%32.9%8.5%3.8%1.2%-57.7M114.4M-1.3M31.8845.1249815,87429,544211,907
2012-12-12$93.66$92.006.2%2.2%5.3%22.0%9.4%3.7%2.1%-26.1M66.3M-1.2M8.1336.081,0648,64729,881226,037
2012-12-13$93.33$92.008.9%2.6%5.0%41.3%10.9%4.1%0.8%-66.7M137.1M-1.3M132.7536.9840854,16330,269232,788
2012-12-14$93.26$92.008.4%2.4%5.1%38.9%9.1%4.2%0.9%-94.5M239.6M-1.6M1.3338.371,7332,31130,325272,121
2012-12-17$93.62$92.007.0%2.0%5.1%31.4%11.0%4.0%2.2%-66.6M166.3M-1.5M28.6426.531303,72331,830258,292
2012-12-18$93.67$92.006.9%2.0%3.0%30.6%7.1%3.7%1.2%-59.5M130.2M-1.4M0.0824.847,09656031,847258,372
2012-12-19$93.57$92.007.2%2.1%3.0%32.4%10.8%3.3%1.5%-57.0M130.4M-1.5M9.0318.602962,67438,455258,696
2012-12-20$93.90$92.006.9%2.0%3.2%30.0%6.5%3.0%1.7%-35.5M17.7M-1.0M0.3920.448,4913,29335,242260,888
2012-12-21$93.63$92.006.6%1.9%3.3%28.1%8.3%3.0%2.6%-59.1M156.5M-1.5M2.4314.041,9944,83735,510263,826
2012-12-24$93.29$92.006.5%1.9%3.6%26.9%5.1%2.4%1.3%-66.0M184.9M-1.3M2.8716.191,8565,32229,850118,446
2012-12-26$93.01$93.007.3%2.1%3.8%33.5%10.0%1.9%1.0%-53.9M190.4M-1.5M28.509.6192626,39429,763121,032
2012-12-27$93.20$93.007.4%2.1%3.9%34.6%8.4%2.3%0.9%-54.9M180.4M-1.5M2.2513.226531,47130,035131,371
2012-12-28$92.95$93.008.9%2.5%3.7%45.9%9.1%1.9%0.1%-54.1M214.5M-1.5M9.5315.398768,34730,466128,719
2012-12-31$93.35$93.008.4%2.4%4.0%42.2%8.5%1.9%0.1%-51.4M176.0M-1.5M4.2415.843281,39230,796134,045