HYG Options History — September 2013

In September 2013, HYG traded between $90.27 and $92.74. ATM implied volatility averaged 9.3%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.8% (HV 20d: 7.5%). Max pain ranged from $86.00 to $92.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 5.51.

Notable Days

  • 2013-09-16: Highest Volume — 40,184 contracts
  • 2013-09-18: Largest IV drop — 14.0% change
  • 2013-09-03: Highest IV Rank — 71.9%
  • 2013-09-03: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.51$90.27$92.74$90.39$91.58
Max Pain$90.89$86.00$92.00$86.00$92.00
ATM IV9.3%7.5%12.2%12.2%8.5%
Expected Move2.6%2.1%3.5%3.5%2.5%
HV 20d7.5%6.7%8.0%7.5%6.8%
HV 60d9.2%8.0%10.2%10.2%8.0%
IV Rank47.8%32.9%71.9%71.9%41.5%
IV Percentile76.9%60.7%98.4%98.4%71.0%
Term Structure0.0%-0.7%1.6%-0.7%-0.7%
VWIV10.6%7.4%15.0%15.0%8.7%
Skew 25d3.4%1.9%4.4%3.5%1.9%
Skew 10d7.0%3.6%9.0%3.6%3.7%
Call IV 25d8.2%6.3%10.9%10.9%8.2%
Put IV 25d11.6%9.9%14.4%14.4%10.2%
Bid-Ask Spread %75.5445.2785.2267.2476.31
Gamma HHI0.170.140.240.150.16
Net GEX-77.0M-183.8M56.8M-148.0M-3.1M
Net DEX348.0M-48.2M809.5M771.9M185.1M
Net VEX-2.7M-3.1M-2.1M-3.1M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.510.1034.250.892.93
Total Volume9,938.797440,1845,35211,789
Total OI410,705.8231,612516,064452,471248,703

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$90.39$86.0012.2%3.5%7.5%71.9%15.0%3.5%-0.7%-148.0M771.9M-3.1M0.8967.242,8362,516152,301300,170
2013-09-04$90.73$92.0011.2%3.2%7.6%63.5%11.2%4.0%-0.2%-147.1M703.9M-3.0M0.3856.892,053778154,595302,419
2013-09-05$90.27$92.0011.9%3.4%7.8%69.5%11.5%4.0%-0.6%-164.8M809.5M-2.9M0.1974.129,6721,856156,376302,953
2013-09-06$90.57$91.0010.6%3.0%7.8%58.9%11.4%3.5%-0.4%-183.4M705.7M-2.9M2.5272.711,7984,524158,927304,409
2013-09-09$90.80$90.0010.4%3.0%7.9%57.7%11.5%4.0%-0.3%-169.9M644.2M-2.9M0.1075.254,271411160,012306,480
2013-09-10$91.12$90.0010.3%3.0%8.0%56.7%12.0%4.4%-0.4%-155.9M522.7M-2.8M34.2577.1429210,002164,255306,166
2013-09-11$91.24$90.0010.1%2.9%8.0%54.4%11.9%3.6%-0.4%-161.1M492.9M-2.5M0.3582.565,1281,793164,300307,619
2013-09-12$91.13$0.009.6%2.8%8.0%50.5%0.0%3.3%-0.6%-166.7M520.6M-2.7M0.2945.2710,4963,084169,270308,511
2013-09-13$91.06$0.009.4%2.7%7.8%49.2%0.0%2.9%-0.7%-183.8M538.4M-2.8M28.6477.932597,418179,611308,991
2013-09-16$91.56$91.008.8%2.5%7.9%43.9%9.8%3.3%0.4%-141.5M332.1M-2.4M2.3079.3412,17628,008179,167309,586
2013-09-17$91.86$91.008.7%2.5%7.5%42.9%8.9%2.9%1.0%-96.5M263.9M-2.9M7.8481.526294,932190,710318,955
2013-09-18$92.74$91.007.5%2.1%7.5%32.9%9.3%3.4%1.6%56.8M-41.6M-2.7M0.2676.0217,6454,537191,109320,667
2013-09-19$92.47$91.008.3%2.4%7.5%39.8%8.9%3.5%0.1%50.6M-48.2M-2.4M1.1777.499471,111195,785320,279
2013-09-20$92.36$91.007.8%2.2%7.3%36.2%12.3%3.6%0.2%14.9M-280.3K-2.4M8.2979.441,23410,230188,997320,637
2013-09-23$92.35$91.008.4%2.4%7.2%41.0%7.4%3.9%-0.0%24.7M40.2M-2.7M2.9278.692,9908,726104,369127,243
2013-09-24$92.15$92.008.2%2.4%7.3%39.2%0.0%3.1%0.2%21.2M94.5M-2.6M1.4083.405,2957,437106,803133,676
2013-09-25$91.99$92.007.9%2.3%6.9%36.4%9.0%3.5%0.4%13.1M109.4M-2.6M1.0085.22486488111,165140,025
2013-09-26$91.94$92.007.6%2.1%6.8%34.1%8.7%3.1%0.5%3.1M142.9M-2.6M4.8481.807493,623108,421140,238
2013-09-27$91.84$91.007.8%2.1%6.7%36.0%0.0%3.3%0.8%-2.5M172.9M-2.5M9.5782.456205,935108,759141,457
2013-09-30$91.58$92.008.5%2.5%6.8%41.5%0.0%1.9%-0.7%-3.1M185.1M-2.1M2.9376.312,9968,793108,480140,223