HYG Options History — June 2014

In June 2014, HYG traded between $94.32 and $95.38. ATM implied volatility averaged 4.8%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.4% (HV 20d: 3.4%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 44.46.

Notable Days

  • 2014-06-18: Highest Volume — 30,366 contracts
  • 2014-06-06: Largest IV drop — 16.5% change
  • 2014-06-04: Highest IV Rank — 21.8%
  • 2014-06-03: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.96$94.32$95.38$94.32$95.20
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV4.8%3.8%5.7%5.5%4.3%
Expected Move2.2%1.5%2.8%2.2%2.7%
HV 20d3.4%2.3%3.7%3.2%2.3%
HV 60d3.2%3.0%3.4%3.4%3.1%
IV Rank15.4%9.2%21.8%20.3%14.1%
IV Percentile9.0%1.2%27.4%23.0%2.4%
Term Structure-0.2%-2.9%1.5%-0.3%-0.2%
VWIV8.9%5.7%16.9%8.9%11.1%
Skew 25d2.9%1.3%4.3%1.9%2.7%
Skew 10d4.0%1.7%5.9%3.2%4.3%
Call IV 25d3.6%2.1%5.4%4.7%3.0%
Put IV 25d6.5%5.4%7.6%6.6%5.7%
Bid-Ask Spread %54.4946.6576.2564.4757.69
Gamma HHI0.280.190.780.200.78
Net GEX-30.0M-173.3M68.7M-173.3M68.7M
Net DEX261.4M21.6M433.9M431.5M21.6M
Net VEX-1.9M-2.4M-749.6K-2.4M-749.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio44.460.39456.501.1417.63
Total Volume8,243.90594930,3666,8501,938
Total OI394,943.81273,994483,566406,651273,994

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$94.32$95.005.5%2.2%3.2%20.3%8.9%1.9%-0.3%-173.3M431.5M-2.4M1.1464.473,2053,64550,923355,728
2014-06-03$94.33$95.005.5%2.8%3.2%19.9%11.5%1.3%-0.2%-172.1M430.6M-2.4M4.3047.3517977053,518357,481
2014-06-04$94.33$95.005.7%2.2%3.2%21.8%0.0%1.9%0.1%-170.8M433.9M-2.4M10.2249.403954,03753,622358,041
2014-06-05$94.56$95.005.6%2.1%3.3%21.1%8.1%2.1%0.3%-77.6M236.1M-1.3M6.3949.432,87318,35753,926359,405
2014-06-06$94.83$95.004.7%2.1%3.4%13.7%0.0%2.5%0.2%-45.1M149.6M-1.2M3.7047.562,0147,45556,619374,794
2014-06-09$94.94$95.004.7%2.2%3.4%13.5%7.2%4.3%-0.2%26.7M231.8M-1.9M2.3349.7331172557,224371,706
2014-06-10$94.89$95.004.8%2.2%3.4%14.2%5.7%3.5%-0.5%27.7M242.6M-2.0M2.3456.214,0039,37957,450372,014
2014-06-11$94.90$95.004.7%2.2%3.4%13.8%13.7%3.4%-0.3%2.4M209.6M-1.6M456.5052.85146,39160,558380,581
2014-06-12$94.84$95.004.9%2.2%3.4%15.5%7.8%3.2%0.1%-29.5M311.5M-2.2M113.4550.87111,24860,565386,862
2014-06-13$94.95$95.004.7%1.6%3.4%13.5%7.5%3.1%-0.6%28.5M276.3M-2.0M111.6147.62839,26460,575387,969
2014-06-16$94.90$95.005.0%2.1%3.3%16.4%16.9%3.2%0.5%5.4M324.3M-2.3M2.7852.453,0698,53860,216392,907
2014-06-17$94.83$95.005.2%2.8%3.3%17.5%8.1%3.0%0.3%-17.2M355.9M-2.4M1.7846.653,0745,46763,267400,383
2014-06-18$95.26$95.005.2%2.1%3.6%17.6%9.2%3.8%-2.9%-13.1M303.2M-2.4M83.8276.2535830,00866,251405,039
2014-06-19$95.24$95.004.6%2.3%3.6%13.2%7.2%2.9%0.8%64.7M199.3M-1.8M7.3854.314863,58565,228416,191
2014-06-20$95.33$95.004.9%1.5%3.6%15.2%7.5%2.7%-1.8%33.9M198.7M-1.8M0.3951.976,4252,51365,242418,324
2014-06-23$95.32$95.004.4%2.3%3.6%11.1%10.2%3.1%1.5%-41.5M230.6M-1.8M3.8355.261,0824,14738,051236,023
2014-06-24$95.24$95.004.8%2.4%3.7%14.4%6.9%2.2%0.2%-44.7M244.5M-1.8M1.5947.871,2091,92638,975239,223
2014-06-25$95.38$95.004.3%1.7%3.7%12.9%7.6%2.6%-1.6%-33.4M212.2M-1.7M29.2575.11651,90140,055240,858
2014-06-26$95.28$95.004.3%2.0%3.7%14.2%7.0%4.1%0.0%-39.8M228.6M-1.7M17.0253.65931,58339,842241,523
2014-06-27$95.28$95.003.8%2.0%3.7%9.2%6.8%2.6%-0.5%-30.4M217.0M-1.4M56.2557.5337220,92439,886242,781
2014-06-30$95.20$95.004.3%2.7%2.3%14.1%11.1%2.7%-0.2%68.7M21.6M-749.6K17.6357.691041,83439,503234,491