HYG Options History — April 2013

In April 2013, HYG traded between $93.93 and $95.85. ATM implied volatility averaged 5.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.8% (HV 20d: 3.7%). Max pain ranged from $94.00 to $94.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 22.95.

Notable Days

  • 2013-04-30: Highest Volume — 70,834 contracts
  • 2013-04-11: Largest IV spike — 51.4% change
  • 2013-04-18: Highest IV Rank — 35.4%
  • 2013-04-18: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.65$93.93$95.85$94.03$95.85
Max Pain$94.00$94.00$94.00$94.00$94.00
ATM IV5.5%3.5%7.5%5.8%4.0%
Expected Move1.6%1.2%2.2%1.7%1.2%
HV 20d3.7%2.8%4.5%2.9%4.3%
HV 60d3.7%3.4%4.0%3.5%3.7%
IV Rank19.5%3.4%35.4%21.7%7.7%
IV Percentile24.4%0.8%71.0%26.6%2.0%
Term Structure0.1%-0.4%1.1%-0.2%0.2%
VWIV6.5%4.7%10.8%5.8%5.6%
Skew 25d2.5%-0.1%4.0%1.1%2.5%
Skew 10d4.8%0.4%8.0%0.4%4.3%
Call IV 25d4.5%2.7%6.0%5.0%3.5%
Put IV 25d7.1%5.5%9.2%6.0%6.1%
Bid-Ask Spread %15.318.5927.468.8616.74
Gamma HHI0.260.180.370.250.18
Net GEX-23.0M-90.6M20.9M-75.3M-12.3M
Net DEX14.9M-130.6M163.6M52.0M-130.6M
Net VEX-1.3M-1.8M-939.9K-1.4M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.950.02345.501.880.02
Total Volume8,508.5451,16370,8341,89770,834
Total OI242,727.091171,494311,763253,827176,975

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$94.03$94.005.8%1.7%2.9%21.7%5.8%1.1%-0.2%-75.3M52.0M-1.4M1.888.866581,23938,995214,832
2013-04-02$93.96$94.005.5%1.6%2.9%19.6%5.5%-0.1%-0.2%-46.0M5.8M-1.3M1.0210.193,6613,72738,997215,493
2013-04-03$93.96$94.005.5%1.6%2.8%19.4%5.6%0.6%0.4%-59.8M122.5M-1.5M38.6012.0331612,19742,573218,923
2013-04-04$93.93$94.006.3%1.8%2.8%25.5%5.8%1.6%-0.3%-90.6M163.6M-1.5M9.858.591721,69442,648228,990
2013-04-05$94.02$94.005.9%1.9%2.8%22.2%7.2%2.3%-0.2%-75.5M148.2M-1.6M8.6627.461261,09142,719226,665
2013-04-08$94.12$94.005.1%1.7%2.8%16.0%7.2%2.5%0.4%-64.5M122.8M-1.5M8.4617.312151,81842,716226,760
2013-04-09$94.42$94.005.2%1.8%3.0%17.1%7.4%2.3%-0.2%-37.3M18.2M-1.2M0.1818.403,34760542,832227,686
2013-04-10$94.72$94.003.5%1.6%3.2%3.4%6.1%2.8%0.6%-6.3M-24.9M-1.1M5.3418.333571,90841,739228,065
2013-04-11$94.72$94.005.3%1.5%3.2%17.5%5.3%2.7%0.5%-3.7M-30.1M-1.1M3.9016.483041,18742,384228,803
2013-04-12$94.75$94.005.2%1.5%2.9%16.8%5.6%2.5%0.3%2.6M-41.7M-1.1M0.3219.632,55882642,279229,446
2013-04-15$94.15$94.006.4%1.8%3.7%26.6%7.9%3.1%-0.1%-42.8M56.4M-1.2M345.5014.323010,36543,747229,982
2013-04-16$94.80$94.005.3%1.5%4.5%18.0%5.9%3.2%0.2%12.4M-66.9M-1.0M6.7217.011651,10844,736233,780
2013-04-17$94.65$94.006.2%1.8%4.5%24.9%7.3%3.5%-0.1%-4.5M-33.2M-1.0M4.4419.547,89235,06544,751237,929
2013-04-18$94.50$94.007.5%2.2%4.3%35.4%10.8%3.5%-0.4%-28.5M77.3M-1.8M8.3716.707396,18549,971261,792
2013-04-19$94.45$94.006.7%1.9%4.3%28.8%7.3%3.4%-0.3%-15.9M55.0M-1.6M2.9418.034981,46550,388258,959
2013-04-22$94.67$94.005.6%1.6%4.4%20.2%6.8%2.8%0.4%-6.2M56.6M-1.6M25.9818.76511,32543,772127,722
2013-04-23$95.04$94.005.1%1.5%4.5%16.3%5.0%3.2%0.6%-3.2M27.4M-1.6M0.3215.451,64553343,799128,695
2013-04-24$95.21$94.005.3%1.5%4.5%17.7%7.6%4.0%1.1%15.0M-67.5M-1.1M1.7012.211,2662,15743,828128,905
2013-04-25$95.47$94.005.2%1.5%4.5%17.3%4.7%3.4%0.1%16.5M-66.9M-1.2M1.3712.321,4131,93243,779130,466
2013-04-26$95.37$94.005.3%1.5%4.5%18.0%6.0%3.0%-0.3%-572.3K-7.2M-1.5M2.249.7435980444,004131,944
2013-04-29$95.55$94.005.4%1.6%4.3%18.7%5.9%1.9%0.3%20.9M-109.1M-939.9K27.168.781193,23244,291132,236
2013-04-30$95.85$94.004.0%1.2%4.3%7.7%5.6%2.5%0.2%-12.3M-130.6M-1.0M0.0216.7469,1381,69644,255132,720