HYG Options History — July 2013

In July 2013, HYG traded between $89.85 and $93.97. ATM implied volatility averaged 8.9%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 3.0% (HV 20d: 11.9%). Max pain ranged from $90.00 to $92.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.11.

Notable Days

  • 2013-07-11: Highest Volume — 42,326 contracts
  • 2013-07-18: Largest IV drop — 14.4% change
  • 2013-07-03: Highest IV Rank — 69.0%
  • 2013-07-03: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.39$89.85$93.97$90.89$92.98
Max Pain$90.91$90.00$92.00$92.00$92.00
ATM IV8.9%7.0%11.7%11.4%7.0%
Expected Move2.6%2.0%3.4%3.3%2.0%
HV 20d11.9%9.4%14.0%12.4%9.4%
HV 60d9.6%8.7%10.0%8.7%9.8%
IV Rank46.9%31.4%69.0%66.8%31.4%
IV Percentile82.7%65.1%97.6%97.6%65.1%
Term Structure0.5%-0.4%1.1%0.2%0.6%
VWIV10.0%7.0%13.9%13.0%7.0%
Skew 25d3.1%1.2%4.6%4.2%1.2%
Skew 10d6.9%3.2%10.3%10.3%3.2%
Call IV 25d8.0%6.3%10.6%10.2%7.3%
Put IV 25d11.1%8.5%14.7%14.5%8.5%
Bid-Ask Spread %72.0459.2182.6571.0871.98
Gamma HHI0.170.100.400.100.14
Net GEX22.8M-65.5M150.4M-26.0M-2.7M
Net DEX129.9M-340.0M689.6M448.8M-26.3M
Net VEX-3.3M-3.7M-2.7M-3.7M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.110.2041.681.080.53
Total Volume12,520.86469542,32611,47214,744
Total OI352,531.591301,143402,487342,191327,114

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$90.89$92.0011.4%3.3%12.4%66.8%13.0%4.2%0.2%-26.0M448.8M-3.7M1.0871.085,5055,967142,320199,871
2013-07-02$90.61$92.0011.3%3.2%12.4%66.2%13.9%4.4%-0.0%-39.9M518.7M-3.7M2.2071.163,7108,158136,251204,788
2013-07-03$90.82$92.0011.7%3.4%12.1%69.0%11.6%3.2%-0.4%-33.6M466.1M-3.4M0.2372.009,2232,120139,483211,527
2013-07-05$89.85$90.0011.5%3.2%12.3%67.3%10.8%4.6%0.6%-65.5M689.6M-3.4M1.0559.212,1752,288148,585213,806
2013-07-08$91.09$90.0011.1%3.2%13.4%64.5%10.7%4.0%-0.1%-31.2M417.0M-3.3M3.3360.651,3994,665148,714213,514
2013-07-09$91.14$90.009.6%2.9%13.4%52.7%10.3%3.9%-0.3%-45.6M460.3M-3.2M1.7870.825,1309,130149,249215,138
2013-07-10$91.50$90.0010.1%2.9%13.3%56.6%10.9%3.7%0.0%-17.9M346.8M-3.4M20.2372.8772114,586153,832222,023
2013-07-11$92.65$90.009.2%2.6%14.0%49.2%10.6%3.1%0.5%50.0M10.0M-3.4M0.2074.1435,1517,175153,824222,021
2013-07-12$92.56$90.008.7%2.5%13.4%45.3%10.2%2.7%0.7%38.0M25.7M-3.3M0.7375.9115,26611,160152,421222,746
2013-07-15$92.95$90.008.8%2.5%13.5%45.7%9.8%3.0%0.7%63.5M-106.8M-3.3M5.8675.656894,038158,945230,410
2013-07-16$92.72$90.008.8%2.5%13.5%46.3%9.9%2.9%0.8%63.3M680.2K-3.3M0.3172.989,3942,913158,933231,060
2013-07-17$93.40$90.009.2%2.6%13.8%49.2%10.1%3.0%-0.1%98.3M-219.6M-3.4M0.4271.2819,6198,332159,066230,820
2013-07-18$93.96$90.007.9%2.3%12.6%38.6%9.4%3.0%0.7%128.8M-307.3M-3.4M0.3475.0817,2745,881157,745230,155
2013-07-19$93.90$90.007.4%2.1%12.0%34.7%10.1%2.9%0.8%150.4M-340.0M-3.5M0.2875.515,3461,485169,313233,174
2013-07-22$93.97$90.007.2%2.1%11.6%33.0%9.8%2.5%1.1%53.7M-128.7M-3.3M41.6869.2132413,505134,503166,640
2013-07-23$93.74$92.007.6%2.2%10.4%36.7%9.3%2.8%0.7%45.2M-110.7M-3.2M0.2864.767,7742,171134,597176,306
2013-07-24$92.95$92.007.6%2.2%10.2%36.1%8.6%3.3%0.7%27.7M80.1M-3.1M6.5875.341,1187,357140,492175,076
2013-07-25$92.74$92.007.4%2.1%9.9%34.8%8.1%2.1%0.7%10.0M149.4M-3.1M1.2174.86340412138,919180,976
2013-07-26$92.78$92.007.2%2.1%9.8%33.0%8.5%2.7%1.0%13.6M145.0M-3.0M0.3082.654,1161,224139,023181,075
2013-07-29$92.58$92.007.9%2.3%9.5%38.7%8.3%2.8%0.7%9.3M164.6M-3.3M0.3268.442,412767143,072181,211
2013-07-30$92.71$92.007.5%2.1%9.5%35.5%9.9%2.3%0.8%11.8M173.5M-3.0M1.4779.23281414145,234181,723
2013-07-31$92.98$92.007.0%2.0%9.4%31.4%7.0%1.2%0.6%-2.7M-26.3M-2.7M0.5371.989,6465,098145,198181,916