HYG Options History — May 2013

In May 2013, HYG traded between $92.92 and $96.29. ATM implied volatility averaged 6.1%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.7% (HV 20d: 5.4%). Max pain ranged from $94.00 to $95.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 13.94.

Notable Days

  • 2013-05-29: Highest Volume — 40,809 contracts
  • 2013-05-13: Largest IV spike — 34.2% change
  • 2013-05-31: Highest IV Rank — 53.3%
  • 2013-05-31: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.21$92.92$96.29$95.20$92.92
Max Pain$94.91$94.00$95.00$94.00$95.00
ATM IV6.1%4.6%9.8%5.7%9.8%
Expected Move1.8%1.4%2.8%1.6%2.8%
HV 20d5.4%5.0%6.3%5.1%6.3%
HV 60d4.3%3.8%5.3%3.8%5.3%
IV Rank24.2%12.1%53.3%21.0%53.3%
IV Percentile40.4%4.4%94.4%30.2%94.4%
Term Structure1.2%-0.4%2.0%0.5%-0.4%
VWIV7.3%5.2%10.4%6.5%10.4%
Skew 25d2.8%1.9%3.9%2.2%1.9%
Skew 10d5.7%3.9%7.8%4.6%3.9%
Call IV 25d5.4%3.8%9.7%5.1%9.7%
Put IV 25d8.2%6.1%11.6%7.3%11.6%
Bid-Ask Spread %10.105.9415.0014.2710.86
Gamma HHI0.160.150.190.170.19
Net GEX-65.3M-164.7M-39.7M-60.2M-164.7M
Net DEX246.8M112.1M512.8M192.6M512.8M
Net VEX-1.4M-1.8M-1.0M-1.2M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.940.3683.183.914.56
Total Volume9,592.77394840,80931,25727,780
Total OI181,867.773143,556211,575143,556211,575

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$95.20$94.005.7%1.6%5.1%21.0%6.5%2.2%0.5%-60.2M192.6M-1.2M3.9114.276,36624,89110,483133,073
2013-05-02$95.81$94.004.9%1.4%5.5%14.8%6.8%2.2%1.1%-48.1M112.1M-1.0M4.3312.953951,71015,589146,137
2013-05-03$95.96$95.004.9%1.4%5.5%14.9%5.2%2.5%0.2%-53.7M139.9M-1.1M3.889.762,5619,94911,859145,397
2013-05-06$96.02$95.004.8%1.7%5.5%14.0%6.3%2.3%1.6%-56.6M166.3M-1.2M2.187.9137581911,637153,393
2013-05-07$95.95$95.004.7%1.7%5.5%12.7%5.7%2.5%1.9%-58.9M172.4M-1.3M0.368.616,7212,45011,943153,776
2013-05-08$96.29$95.004.6%1.7%5.5%12.1%7.6%2.3%1.5%-39.7M118.6M-1.2M10.707.948186718,348154,375
2013-05-09$96.01$95.005.0%1.6%5.7%15.2%6.5%2.2%2.0%-44.3M136.1M-1.2M83.189.84342,82818,317153,989
2013-05-10$95.51$95.004.7%1.5%6.0%13.3%5.9%2.6%1.6%-58.4M192.6M-1.4M0.9411.985,8285,46318,341156,071
2013-05-13$95.12$95.006.4%1.9%5.7%26.1%8.2%2.9%1.3%-47.9M228.4M-1.6M12.5912.044565,73923,955159,667
2013-05-14$95.22$95.006.3%1.9%5.2%25.5%7.2%2.9%1.5%-45.5M214.4M-1.5M77.728.59755,82924,212162,860
2013-05-15$95.23$95.006.0%1.9%5.2%23.0%7.5%2.8%1.6%-41.6M227.9M-1.6M36.858.67863,16924,264168,568
2013-05-16$95.46$95.006.6%1.9%5.2%28.0%6.9%3.1%1.5%-51.3M198.2M-1.5M21.779.84561,21924,305171,088
2013-05-17$95.46$95.007.0%2.0%5.2%31.2%7.6%3.3%1.3%-46.3M207.6M-1.6M3.0511.961,1343,45424,349171,888
2013-05-20$95.56$95.006.0%1.7%5.1%23.5%8.2%3.9%0.6%-55.9M233.5M-1.5M2.439.9531075318,022159,647
2013-05-21$95.74$95.005.6%1.6%5.0%20.4%7.5%3.3%1.8%-51.4M211.7M-1.5M6.097.156463,93218,287160,217
2013-05-22$95.15$95.006.5%1.9%5.5%26.8%6.9%2.6%1.1%-68.0M282.4M-1.6M2.905.943,1559,14418,666163,000
2013-05-23$94.89$95.006.4%1.8%5.5%26.7%8.9%3.4%1.2%-78.5M335.1M-1.7M3.2311.382,3017,44121,191166,930
2013-05-24$94.71$95.006.4%1.8%5.5%26.3%7.4%3.0%0.6%-75.2M279.4M-1.2M6.7511.902541,71523,312171,841
2013-05-28$94.36$95.007.6%2.2%5.5%36.0%7.3%3.5%0.7%-91.1M406.1M-1.8M0.676.155,7843,89623,546172,518
2013-05-29$93.98$95.007.1%2.0%5.5%32.2%8.8%3.2%1.3%-107.6M460.4M-1.7M4.2615.007,76433,04522,045174,827
2013-05-30$94.17$95.007.4%2.1%5.1%34.5%8.1%2.9%0.9%-92.3M400.0M-1.6M14.299.626919,87529,355178,228
2013-05-31$92.92$95.009.8%2.8%6.3%53.3%10.4%1.9%-0.4%-164.7M512.8M-1.7M4.5610.864,99522,78529,298182,277