HYG Options History — June 2013

In June 2013, HYG traded between $89.04 and $93.03. ATM implied volatility averaged 11.1%, placing in the 69.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.9% (HV 20d: 9.2%). Max pain ranged from $92.00 to $95.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 6.46.

Notable Days

  • 2013-06-20: Highest Volume — 91,418 contracts
  • 2013-06-24: Largest IV spike — 29.4% change
  • 2013-06-20: Highest IV Rank — 100.0%
  • 2013-06-24: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.65$89.04$93.03$92.36$90.88
Max Pain$92.95$92.00$95.00$95.00$92.00
ATM IV11.1%9.2%15.6%11.0%11.1%
Expected Move3.2%2.8%4.5%3.2%3.2%
HV 20d9.2%6.3%13.2%6.3%12.6%
HV 60d6.8%5.4%8.7%5.4%8.7%
IV Rank69.3%48.7%100.0%63.0%64.5%
IV Percentile96.9%92.5%100.0%96.8%97.2%
Term Structure-0.2%-1.8%1.0%-0.0%-0.6%
VWIV12.1%9.6%15.9%11.0%12.2%
Skew 25d4.1%2.0%6.2%3.0%3.5%
Skew 10d8.6%3.8%12.7%5.2%6.4%
Call IV 25d10.0%8.6%13.2%9.5%10.2%
Put IV 25d14.1%11.3%19.4%12.5%13.7%
Bid-Ask Spread %35.919.1071.4711.1069.83
Gamma HHI0.190.100.350.170.10
Net GEX-115.6M-202.7M-24.7M-126.0M-52.2M
Net DEX739.9M416.1M1.37B685.3M416.1M
Net VEX-2.9M-3.9M-2.1M-2.1M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.460.1341.811.573.46
Total Volume34,308.68,26991,41867,0448,269
Total OI331,284.65223,946437,788223,946343,379

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$92.36$95.0011.0%3.2%6.3%63.0%11.0%3.0%-0.0%-126.0M685.3M-2.1M1.5711.1026,10240,94233,329190,617
2013-06-04$92.36$94.0010.3%2.9%6.3%56.9%10.9%2.0%-0.1%-125.1M654.6M-2.2M0.9411.539,5848,97352,657209,066
2013-06-05$91.56$94.0011.0%3.2%6.7%62.7%11.6%2.9%-0.5%-135.0M841.8M-2.3M16.299.354,11867,07658,135208,388
2013-06-06$92.28$94.0010.6%3.0%7.4%59.5%10.9%2.0%0.0%-131.8M726.4M-2.4M2.649.108,90723,54160,487235,522
2013-06-07$92.34$93.009.2%3.2%7.4%48.7%12.0%4.7%-0.2%-129.9M716.3M-2.5M2.8829.155,21114,98464,813235,039
2013-06-10$92.15$93.009.9%3.1%7.3%54.0%11.6%4.6%-0.3%-151.6M776.6M-2.4M7.8723.322,61120,54962,760242,942
2013-06-11$91.58$93.009.4%2.9%7.4%49.9%15.5%4.9%-0.2%-184.3M951.1M-2.5M25.1122.191,16029,13362,722249,103
2013-06-12$91.65$93.0010.4%3.2%7.4%57.8%10.8%4.7%-0.7%-162.3M879.1M-2.3M1.0027.8512,02512,06863,365246,372
2013-06-13$92.70$93.0011.2%3.2%8.8%64.4%12.6%3.9%0.0%-113.6M641.6M-2.7M0.4232.6121,8219,06974,230255,357
2013-06-14$92.81$93.0010.6%3.0%8.7%59.6%9.9%4.2%0.3%-96.1M519.4M-2.4M0.1336.1917,9542,39394,507262,470
2013-06-17$92.80$93.0010.1%2.9%8.7%55.9%13.0%4.5%0.5%-84.6M557.0M-3.1M2.0442.794,2738,725109,335262,746
2013-06-18$93.03$93.0010.1%2.9%8.8%85.6%9.6%4.1%1.0%-70.9M479.6M-3.0M0.2943.1521,6596,373112,224267,243
2013-06-19$91.64$93.009.9%2.8%10.0%83.7%10.5%3.4%0.3%-169.2M856.4M-3.1M2.0543.024,2378,692128,562266,085
2013-06-20$90.74$93.0012.5%3.6%10.2%100.0%13.4%4.9%0.1%-202.7M1.12B-3.0M2.5234.4825,95365,465127,575264,472
2013-06-21$90.15$92.0012.0%3.4%10.3%95.1%12.7%4.0%0.1%-189.9M1.37B-3.2M1.3232.5427,74436,716142,399295,389
2013-06-24$89.04$92.0015.6%4.5%10.9%100.0%15.9%6.2%-1.8%-69.0M911.7M-3.3M3.5151.4015,12953,066126,116202,714
2013-06-25$90.31$92.0013.0%3.7%12.5%79.5%14.8%5.0%-0.9%-54.1M689.0M-3.7M41.8155.6756423,579133,846203,435
2013-06-26$91.06$92.0012.2%3.5%13.0%73.2%14.5%4.8%-0.1%-38.3M566.2M-3.9M13.2961.5598713,115134,163204,101
2013-06-27$91.50$92.0012.0%3.4%13.2%71.7%9.6%4.6%-0.7%-24.7M443.6M-3.9M0.1371.4720,6712,734134,421205,607
2013-06-28$90.88$92.0011.1%3.2%12.6%64.5%12.2%3.5%-0.6%-52.2M416.1M-3.6M3.4669.831,8526,417141,671201,708