HYG Options History — May 2014

In May 2014, HYG traded between $93.82 and $95.05. ATM implied volatility averaged 4.8%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 2.0% (HV 20d: 2.8%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 35.06.

Notable Days

  • 2014-05-15: Highest Volume — 51,383 contracts
  • 2014-05-28: Largest IV drop — 32.2% change
  • 2014-05-05: Highest IV Rank — 16.6%
  • 2014-05-30: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.48$93.82$95.05$93.82$95.05
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV4.8%3.0%5.5%5.3%3.0%
Expected Move2.1%1.5%3.5%1.7%3.5%
HV 20d2.8%1.5%3.6%3.5%1.5%
HV 60d3.4%3.0%3.7%3.7%3.0%
IV Rank11.0%0.0%16.6%14.2%0.0%
IV Percentile6.1%0.0%18.7%10.3%0.0%
Term Structure0.6%-0.5%1.4%0.5%1.3%
VWIV10.8%2.8%17.7%7.6%2.8%
Skew 25d2.9%1.0%6.2%1.6%6.2%
Skew 10d4.5%1.8%8.9%3.2%8.9%
Call IV 25d3.9%2.2%5.0%4.7%2.2%
Put IV 25d6.7%5.6%8.3%6.3%8.3%
Bid-Ask Spread %51.5644.3072.5648.5748.45
Gamma HHI0.190.140.640.140.64
Net GEX-107.0M-219.2M146.6M-219.2M146.6M
Net DEX414.0M-178.2M814.6M814.6M-178.2M
Net VEX-2.5M-3.0M-1.5M-2.8M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio35.060.08183.4069.070.18
Total Volume18,859.2863,62751,38322,14134,898
Total OI412,058.571368,403460,336375,924458,638

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$93.82$95.005.3%1.7%3.5%14.2%7.6%1.6%0.5%-219.2M814.6M-2.8M69.0748.5731621,82551,598324,326
2014-05-02$94.04$95.004.9%2.3%3.6%11.5%9.4%1.0%0.7%-207.4M676.5M-2.0M0.0849.7022,5261,79551,886329,400
2014-05-05$94.00$95.005.5%1.5%3.5%16.6%0.0%1.9%0.1%-144.1M681.6M-2.7M1.4550.133,0954,47770,754318,925
2014-05-06$94.02$95.005.2%2.1%3.4%14.0%6.5%2.6%-0.2%-147.5M638.1M-2.8M3.8564.446,12523,56773,736322,418
2014-05-07$94.16$95.005.5%1.6%3.3%16.3%15.9%2.8%0.0%-116.2M565.5M-2.8M167.4145.348714,56577,314323,980
2014-05-08$94.14$95.005.3%2.3%3.3%14.9%11.0%2.6%0.3%-139.8M617.3M-2.8M8.5947.841,0799,27377,369338,332
2014-05-09$94.23$95.005.2%2.9%3.1%13.8%13.3%3.2%0.4%-129.9M584.9M-2.6M17.4147.811973,43078,422343,846
2014-05-12$94.33$95.005.1%2.4%2.7%13.2%11.5%3.4%0.6%-130.8M556.8M-2.5M0.9845.696,4456,32978,345343,836
2014-05-13$94.48$95.004.7%1.7%2.5%9.7%8.1%2.1%0.5%-60.9M425.8M-2.4M2.9946.724,48213,42084,738349,862
2014-05-14$94.53$95.004.7%2.2%2.5%9.9%17.2%2.4%-0.5%-52.6M427.7M-2.3M2.5949.835,80415,05984,565348,307
2014-05-15$94.44$95.004.8%1.9%2.6%10.1%0.0%4.2%0.2%-119.7M556.2M-2.9M45.0050.701,11750,26689,524357,117
2014-05-16$94.63$95.005.0%2.8%2.6%12.1%15.0%3.1%-0.5%-135.9M570.6M-3.0M14.5944.305197,57081,660378,676
2014-05-19$94.77$95.004.8%2.2%2.6%10.4%9.4%3.5%0.6%-120.4M194.8M-2.8M22.4953.862746,16178,687289,716
2014-05-20$94.65$95.005.1%2.2%2.7%12.9%16.2%2.7%1.1%-136.1M312.0M-3.0M1.0148.566,5436,60178,646295,636
2014-05-21$94.64$95.004.9%2.2%2.7%11.4%17.7%3.2%1.1%-127.4M261.3M-2.7M183.4048.475810,63782,806301,107
2014-05-22$94.71$95.004.9%2.2%2.7%11.0%9.4%2.8%1.4%-132.3M264.7M-2.4M138.0749.4515921,95382,847303,539
2014-05-23$94.74$95.004.7%1.5%2.7%9.6%8.7%3.1%1.0%-76.8M267.7M-2.8M1.5372.568,58213,10382,860325,283
2014-05-27$94.83$95.005.0%1.8%2.7%12.3%8.2%2.8%1.3%-62.5M132.1M-1.7M3.9456.682,5109,89682,199333,233
2014-05-28$94.86$95.003.4%1.6%2.6%0.0%9.0%2.9%0.4%-92.3M242.6M-2.4M37.0658.371,04838,83485,050339,240
2014-05-29$94.95$95.004.3%2.2%2.6%7.7%9.0%2.7%1.4%-41.5M80.5M-1.5M14.6755.2872910,69184,068370,739
2014-05-30$95.05$95.003.0%3.5%1.5%0.0%2.8%6.2%1.3%146.6M-178.2M-1.6M0.1848.4529,4815,41781,112377,526