HYG Options History — December 2013

In December 2013, HYG traded between $92.60 and $93.20. ATM implied volatility averaged 6.5%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 3.0% (HV 20d: 3.5%). Max pain ranged from $90.00 to $94.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.71.

Notable Days

  • 2013-12-20: Highest Volume — 55,170 contracts
  • 2013-12-31: Largest IV spike — 13.3% change
  • 2013-12-11: Highest IV Rank — 33.3%
  • 2013-12-02: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.94$92.60$93.20$93.00$92.88
Max Pain$91.33$90.00$94.00$94.00$90.00
ATM IV6.5%5.0%7.5%7.0%5.9%
Expected Move2.6%2.0%3.6%3.6%2.2%
HV 20d3.5%3.0%3.9%3.8%3.0%
HV 60d4.0%3.7%4.4%4.4%3.8%
IV Rank25.3%12.3%33.3%29.1%19.9%
IV Percentile39.7%8.7%59.1%49.2%26.6%
Term Structure0.3%-0.6%1.3%0.7%0.5%
VWIV12.6%10.6%15.4%15.2%12.9%
Skew 25d2.7%1.1%3.9%2.8%2.6%
Skew 10d6.4%4.2%9.2%5.5%5.1%
Call IV 25d5.8%4.6%6.5%5.9%5.4%
Put IV 25d8.5%6.2%10.0%8.7%8.0%
Bid-Ask Spread %43.7223.6464.2333.1832.64
Gamma HHI0.230.140.510.230.15
Net GEX48.7M-18.6M155.2M73.1M-8.0M
Net DEX73.6M-58.7M165.8M-36.6M108.3M
Net VEX-2.5M-2.9M-1.7M-2.9M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.710.0311.060.140.33
Total Volume10,938.191,37455,1708,6854,484
Total OI327,860.333224,562396,722333,463233,281

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$93.00$94.007.0%3.6%3.8%29.1%0.0%2.8%0.7%73.1M-36.6M-2.9M0.1433.187,6311,054154,632178,831
2013-12-03$92.91$94.007.2%2.2%3.8%30.7%0.0%2.4%0.0%62.6M-9.2M-2.6M6.6445.753,51623,329152,982179,479
2013-12-04$92.67$94.006.8%2.5%3.8%27.7%15.2%2.8%0.2%35.6M130.1M-2.9M11.0649.585736,335154,652192,574
2013-12-05$92.60$94.007.1%2.5%3.6%30.3%0.0%2.8%-0.1%28.1M137.5M-2.7M4.8755.922,48612,098152,656194,977
2013-12-06$92.86$94.007.1%2.4%3.8%30.1%15.4%2.4%-0.5%62.1M75.0M-2.6M2.8052.601,2333,452154,913206,807
2013-12-09$93.20$94.007.1%3.0%3.9%30.1%10.6%2.4%-0.1%96.3M-30.4M-2.6M2.1243.052,5565,430152,936204,904
2013-12-10$93.20$94.006.9%2.9%3.7%28.1%11.9%2.5%-0.0%96.5M18.4M-2.6M0.0354.3911,820337155,258207,919
2013-12-11$92.92$90.007.5%2.9%3.8%33.3%0.0%2.4%-0.6%48.1M102.3M-2.7M4.0656.572,52110,231166,890208,198
2013-12-12$92.75$90.007.0%2.0%3.6%29.1%14.6%3.3%0.4%48.8M165.8M-2.9M0.9864.234,2974,227169,221217,546
2013-12-13$92.90$90.007.4%3.0%3.5%32.5%11.9%3.1%-0.3%54.9M143.7M-2.8M4.7946.374192,009169,256213,388
2013-12-16$92.98$90.007.3%2.3%3.5%31.4%0.0%3.2%1.1%73.0M86.0M-2.6M1.2047.313,0173,611169,211213,471
2013-12-17$92.99$90.007.4%2.5%3.3%32.2%14.1%3.5%0.5%84.2M81.0M-2.6M0.2849.571,071303168,901216,743
2013-12-18$93.15$90.007.0%3.1%3.4%28.9%12.5%3.9%0.9%103.6M1.5M-2.1M1.8951.892,2224,209168,998216,852
2013-12-19$93.05$90.006.7%2.9%3.4%26.6%11.5%3.3%0.3%62.5M71.6M-2.3M0.1941.6419,2153,580168,509213,959
2013-12-20$93.11$90.005.9%3.0%3.2%20.0%11.2%2.8%0.1%155.2M-58.7M-1.9M0.7045.8432,53222,638179,344217,378
2013-12-23$93.18$90.005.6%2.0%3.2%17.6%0.0%3.0%1.0%-2.3M132.5M-2.4M0.1431.487,4261,02988,559137,088
2013-12-24$93.13$90.005.0%2.5%3.1%12.3%11.8%1.1%1.3%-4.3M45.7M-1.7M0.0832.775,30842790,203136,562
2013-12-26$92.75$90.005.1%3.4%3.4%13.4%0.0%2.0%0.3%-18.6M127.2M-2.2M0.3826.602,49895587,708136,854
2013-12-27$92.74$90.005.1%2.1%3.4%13.3%11.0%1.8%0.2%-15.1M130.2M-2.2M4.5833.205932,71388,880137,212
2013-12-30$92.82$90.005.2%2.1%3.4%14.1%11.2%2.0%0.5%-14.2M122.7M-2.0M9.6523.645935,72488,875138,460
2013-12-31$92.88$90.005.9%2.2%3.0%19.9%12.9%2.6%0.5%-8.0M108.3M-2.2M0.3332.643,3731,11189,391143,890