HYG Options History — March 2014

In March 2014, HYG traded between $93.73 and $94.72. ATM implied volatility averaged 5.5%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.4% (HV 20d: 4.1%). Max pain ranged from $94.00 to $95.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 116.65.

Notable Days

  • 2014-03-20: Highest Volume — 65,841 contracts
  • 2014-03-13: Largest IV spike — 12.5% change
  • 2014-03-14: Highest IV Rank — 21.9%
  • 2014-03-11: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.14$93.73$94.72$94.38$94.39
Max Pain$94.14$94.00$95.00$95.00$94.00
ATM IV5.5%5.0%6.1%6.0%5.1%
Expected Move2.4%1.4%3.0%2.5%2.9%
HV 20d4.1%3.7%4.9%4.9%3.7%
HV 60d4.0%3.9%4.2%3.9%4.1%
IV Rank17.1%12.2%21.9%20.9%13.0%
IV Percentile18.1%5.6%29.8%28.6%6.3%
Term Structure0.1%-0.6%1.1%-0.3%0.4%
VWIV9.2%3.3%13.4%9.2%7.9%
Skew 25d2.8%1.9%4.2%2.5%1.9%
Skew 10d5.6%3.2%7.9%5.4%3.2%
Call IV 25d4.8%3.4%5.8%5.7%4.7%
Put IV 25d7.6%6.5%9.1%8.2%6.5%
Bid-Ask Spread %23.4116.5635.3119.9418.93
Gamma HHI0.180.130.280.210.21
Net GEX-71.9M-185.5M16.2M-12.5M-185.5M
Net DEX537.7M17.5M783.4M132.5M403.0M
Net VEX-2.0M-3.0M-1.3M-1.9M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio116.650.391877.643.450.39
Total Volume16,806.811,50065,84114,04324,303
Total OI386,997.81286,741462,036350,578346,502

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$94.38$95.006.0%2.5%4.9%20.9%9.2%2.5%-0.3%-12.5M132.5M-1.9M3.4519.943,15410,889104,787245,791
2014-03-04$94.72$95.006.0%2.9%3.8%20.7%8.3%2.3%-0.4%16.2M17.5M-1.6M25.4817.971,22931,314105,868252,642
2014-03-05$94.55$95.005.9%2.8%3.9%20.4%8.3%2.2%-0.6%5.3M215.0M-1.5M2.8720.325,40915,529106,048282,028
2014-03-06$94.41$94.005.6%2.9%4.0%17.9%7.6%2.3%-0.5%-14.5M410.9M-1.9M11.5524.713774,355108,828294,814
2014-03-07$94.05$94.005.7%2.4%4.2%18.2%0.0%2.4%-0.1%-84.5M542.3M-2.0M1.4724.533,6215,311109,050298,427
2014-03-10$94.06$94.005.8%3.0%3.9%18.8%8.4%2.5%-0.5%-75.8M585.6M-2.0M27.1116.561333,605107,470300,536
2014-03-11$93.96$94.005.5%3.0%3.9%16.5%13.4%2.3%-0.1%-70.5M524.3M-1.6M7.9119.512,20917,467107,558302,754
2014-03-12$94.12$94.005.5%2.4%3.9%16.3%0.0%3.1%-0.0%-27.8M558.0M-2.0M30.5919.27872,661108,297319,108
2014-03-13$93.87$94.006.1%2.8%4.0%21.9%3.3%2.9%0.2%-93.9M659.1M-2.1M120.9021.709111,002108,365320,974
2014-03-14$93.80$94.006.1%3.0%3.9%21.9%0.0%3.3%-0.3%-125.7M720.0M-2.1M2.1320.714,0518,612108,420331,526
2014-03-17$93.93$94.005.7%2.6%3.9%18.5%0.0%2.8%0.1%-50.8M622.7M-1.9M5.3933.821,3387,21084,525332,456
2014-03-18$94.21$94.005.4%1.4%4.0%15.8%7.8%2.6%0.2%-28.1M540.0M-1.9M51.8723.431326,84783,986334,711
2014-03-19$93.73$94.005.3%2.3%4.3%14.7%11.2%3.6%1.1%-98.9M662.8M-1.4M3.2735.311,6635,43684,045337,055
2014-03-20$94.05$94.005.3%1.7%4.3%14.7%12.9%4.2%-0.0%-30.1M559.9M-1.6M0.8421.0735,80530,03684,464334,141
2014-03-21$93.99$94.005.0%1.5%4.3%12.2%11.5%3.7%0.2%-55.8M676.5M-2.4M1.5827.2012,28919,376105,372356,664
2014-03-24$94.02$94.005.2%2.4%4.2%14.3%11.7%2.8%0.2%-79.5M547.4M-1.7M12.6424.492,85336,06484,157202,584
2014-03-25$94.21$94.005.3%1.6%4.3%15.0%8.4%2.7%0.3%-110.5M713.3M-2.8M254.1328.274711,94486,146234,008
2014-03-26$94.23$94.005.3%2.3%4.2%14.8%8.4%2.6%0.3%-123.9M727.8M-2.9M6.7725.091931,30786,169243,968
2014-03-27$94.09$94.005.4%2.4%4.2%16.0%10.0%2.9%1.1%-140.1M783.4M-3.0M1877.6423.921120,65486,322244,993
2014-03-28$94.25$94.005.4%1.6%4.2%15.9%8.0%2.5%0.2%-122.6M690.4M-2.6M1.6124.921,6592,67086,317265,078
2014-03-31$94.39$94.005.1%2.9%3.7%13.0%7.9%1.9%0.4%-185.5M403.0M-1.3M0.3918.9317,4656,83884,516261,986