HYG Options History — August 2013

In August 2013, HYG traded between $89.93 and $92.21. ATM implied volatility averaged 9.6%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.4% (HV 20d: 8.2%). Max pain ranged from $92.00 to $93.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 14.65.

Notable Days

  • 2013-08-01: Highest Volume — 91,340 contracts
  • 2013-08-12: Largest IV spike — 36.3% change
  • 2013-08-13: Highest IV Rank — 63.7%
  • 2013-08-21: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.21$89.93$92.21$91.65$91.35
Max Pain$92.62$92.00$93.00$92.00$92.00
ATM IV9.6%7.8%11.0%9.3%10.3%
Expected Move2.7%2.4%3.0%2.7%2.9%
HV 20d8.2%6.7%10.9%10.9%6.7%
HV 60d10.3%10.0%10.5%10.2%10.0%
IV Rank52.0%38.3%63.7%49.5%56.5%
IV Percentile87.2%75.4%94.4%87.3%90.5%
Term Structure0.4%-0.4%1.2%-0.4%0.5%
VWIV10.6%8.7%12.6%10.6%11.3%
Skew 25d3.0%1.7%4.1%2.7%2.7%
Skew 10d5.7%3.0%8.8%3.7%5.5%
Call IV 25d8.6%7.4%9.6%8.8%9.6%
Put IV 25d11.5%9.6%13.0%11.5%12.3%
Bid-Ask Spread %72.8635.5678.9372.0560.41
Gamma HHI0.150.120.200.120.17
Net GEX-111.5M-176.5M-15.8M-21.8M-156.7M
Net DEX567.7M230.8M901.4M295.1M411.3M
Net VEX-3.1M-3.5M-2.6M-3.1M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.650.51100.836.8320.41
Total Volume17,680.2731,26591,34091,34025,823
Total OI417,435.136321,311446,636321,311446,636

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$91.65$92.009.3%2.7%10.9%49.5%10.6%2.7%-0.4%-21.8M295.1M-3.1M6.8372.0511,66679,674137,714183,597
2013-08-02$92.21$92.008.8%2.5%10.2%46.1%10.3%2.4%-0.3%-15.8M230.8M-3.5M100.8371.5070971,485149,033220,221
2013-08-05$91.74$93.008.3%2.6%9.3%41.8%10.1%2.4%0.9%-65.4M392.6M-3.5M3.7877.574501,701149,500257,420
2013-08-06$91.65$93.008.8%2.5%9.3%46.3%10.2%1.7%0.8%-86.7M343.1M-3.0M1.6774.53474791149,728253,587
2013-08-07$91.36$93.009.7%2.7%9.3%53.0%10.1%2.8%0.7%-80.7M506.7M-3.4M28.0076.6540011,202149,891252,696
2013-08-08$91.56$93.008.1%2.4%8.1%40.4%8.9%1.7%1.0%-96.8M369.0M-3.0M17.3477.8661110,596149,936262,596
2013-08-09$91.57$93.007.8%2.4%8.1%38.3%9.3%2.5%1.0%-90.0M508.5M-3.4M0.8675.201,5391,317150,141268,725
2013-08-12$91.49$93.0010.7%2.5%7.9%61.1%8.7%1.8%0.3%-111.8M418.7M-2.7M1.9776.671,3612,677151,524269,865
2013-08-13$91.49$93.0011.0%2.5%7.9%63.7%9.8%3.5%-0.0%-116.5M579.6M-3.2M2.3373.674,83411,279152,170269,526
2013-08-14$91.31$93.0011.0%2.4%7.3%63.7%10.5%2.3%1.2%-157.2M470.9M-2.8M7.8872.531,99915,743156,574275,391
2013-08-15$90.84$93.008.9%2.6%6.9%46.9%11.7%3.2%0.8%-158.3M734.9M-3.2M26.6974.883348,914156,679280,545
2013-08-16$90.53$93.009.2%2.6%6.9%49.4%10.0%3.2%-0.2%-176.5M818.4M-2.9M4.7075.463,73117,522156,024279,772
2013-08-19$89.93$93.0010.1%2.9%7.1%54.5%11.5%4.1%-0.2%-140.2M901.4M-2.8M3.4674.371,6725,792148,197252,737
2013-08-20$90.76$93.009.4%2.7%8.1%49.3%12.6%3.8%0.4%-106.3M677.6M-3.1M52.1071.3576940,062148,914254,696
2013-08-21$90.43$93.0010.6%3.0%7.8%58.9%12.3%3.8%0.1%-132.4M834.4M-3.2M0.5174.323,4941,794149,486275,165
2013-08-22$90.92$92.009.6%2.7%8.1%50.5%10.9%3.9%0.6%-132.1M718.9M-3.2M0.7078.931,9291,349152,801275,904
2013-08-23$91.30$92.009.6%2.7%8.3%50.6%11.7%2.9%0.9%-104.4M567.7M-3.3M9.6276.941,17511,301151,243276,187
2013-08-26$91.31$92.0010.0%2.9%8.3%53.7%11.2%3.7%-0.0%-117.4M608.6M-3.2M28.7378.4144812,870151,937280,407
2013-08-27$90.72$92.0010.2%2.9%8.5%55.5%11.7%3.4%0.1%-142.8M802.0M-3.4M0.9775.652,4372,358152,021293,034
2013-08-28$91.06$92.0010.1%2.9%8.6%54.9%11.0%3.5%0.8%-131.5M727.2M-3.4M0.6878.507,6505,212152,166293,906
2013-08-29$91.43$0.0010.6%3.0%7.1%59.2%9.7%3.4%0.2%-111.3M572.5M-3.2M2.1635.565771,245152,580292,701
2013-08-30$91.35$92.0010.3%2.9%6.7%56.5%11.3%2.7%0.5%-156.7M411.3M-2.6M20.4160.411,20624,617152,975293,661