HYG Options History — August 2014

In August 2014, HYG traded between $92.04 and $94.40. ATM implied volatility averaged 7.0%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.6% (HV 20d: 5.4%). Max pain ranged from $98.00 to $100.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 16.62.

Notable Days

  • 2014-08-04: Highest Volume — 117,359 contracts
  • 2014-08-18: Largest IV drop — 19.0% change
  • 2014-08-05: Highest IV Rank — 69.5%
  • 2014-08-05: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.65$92.04$94.40$92.04$94.24
Max Pain$99.33$98.00$100.00$100.00$99.00
ATM IV7.0%5.1%9.4%9.0%5.4%
Expected Move2.1%1.6%2.5%2.3%1.6%
HV 20d5.4%3.5%6.2%4.8%3.5%
HV 60d4.2%3.9%4.4%3.9%4.1%
IV Rank43.5%23.2%69.5%65.7%26.1%
IV Percentile58.8%17.9%89.3%87.7%27.0%
Term Structure0.4%-0.7%1.7%0.2%0.7%
VWIV10.3%6.5%15.4%9.6%6.5%
Skew 25d4.4%2.6%5.8%3.9%2.6%
Skew 10d8.3%4.7%12.8%10.8%4.7%
Call IV 25d5.5%3.1%7.9%7.5%4.3%
Put IV 25d9.8%6.9%12.6%11.5%6.9%
Bid-Ask Spread %55.8433.0067.9959.0844.01
Gamma HHI0.170.150.330.190.33
Net GEX-263.8M-422.1M-169.1M-337.0M-202.9M
Net DEX977.6M97.1M1.91B1.91B97.1M
Net VEX-4.4M-5.9M-1.5M-5.2M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.620.34212.054.820.34
Total Volume25,795.4761,976117,35941,9619,754
Total OI553,325.905497,853624,081508,882546,361

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$92.04$100.009.0%2.3%4.8%65.7%9.6%3.9%0.2%-337.0M1.91B-5.2M4.8259.087,21134,75082,735426,147
2014-08-04$92.60$98.008.8%1.8%5.5%63.2%10.8%5.8%-0.1%-330.5M1.62B-5.1M5.6559.9617,63799,72277,798420,055
2014-08-05$92.42$98.009.4%2.5%5.5%69.5%12.4%4.2%-0.5%-335.3M1.74B-5.9M6.8658.023,27422,45089,784467,344
2014-08-06$92.64$100.008.7%2.2%5.7%62.1%8.2%4.8%0.3%-347.7M1.57B-5.2M7.7445.393,40026,31392,474463,455
2014-08-07$92.70$98.009.1%2.3%5.6%66.9%0.0%5.1%0.2%-335.7M1.59B-5.8M12.2133.001,53818,77895,545476,822
2014-08-08$92.99$98.008.4%2.2%5.7%59.3%10.6%4.8%-0.2%-422.1M1.47B-5.3M11.8667.501,14713,59895,839487,857
2014-08-11$93.43$98.007.6%2.3%6.1%50.9%8.2%4.6%1.7%-263.1M1.07B-4.5M24.9362.2168417,04995,559480,847
2014-08-12$93.41$100.007.5%2.4%6.1%49.8%11.5%4.2%0.8%-290.8M1.21B-5.1M1.3663.0813,89018,84596,020494,088
2014-08-13$93.68$100.007.4%1.7%6.2%48.4%8.1%4.4%-0.7%-321.3M1.04B-4.8M1.4145.9616,98723,95494,608509,892
2014-08-14$93.86$100.006.9%2.0%5.6%42.7%0.0%4.0%0.5%-285.0M924.8M-5.2M3.1657.224,37813,853107,989513,154
2014-08-15$94.05$100.006.3%2.1%5.5%36.2%8.4%4.0%-0.6%-289.7M778.7M-3.8M11.8463.696,26174,143101,776522,305
2014-08-18$94.32$100.005.1%1.8%5.5%23.2%7.8%5.4%0.7%-215.3M632.8M-4.2M3.1262.101,4854,63486,776461,916
2014-08-19$94.29$100.005.4%2.2%5.5%26.8%11.8%3.7%0.9%-181.1M539.0M-3.7M9.3257.305865,46287,381437,794
2014-08-20$94.36$99.005.3%2.0%5.5%25.4%13.9%3.6%0.9%-175.9M533.5M-3.7M13.3233.091381,83887,062440,796
2014-08-21$94.36$99.005.6%2.3%5.5%29.0%15.4%5.1%0.3%-189.7M595.5M-4.1M1.1057.783,3653,71087,101441,631
2014-08-22$94.13$100.006.1%2.3%5.5%34.3%13.7%4.8%1.1%-213.2M748.3M-4.6M2.0856.142,6805,58385,161442,367
2014-08-25$94.33$100.005.9%2.2%5.4%32.3%8.1%3.5%1.2%-193.3M574.7M-3.6M6.1067.993091,88684,966435,954
2014-08-26$94.40$100.006.0%2.1%5.4%33.2%10.4%4.7%-0.0%-169.1M484.5M-3.4M212.0561.0517537,10985,068437,270
2014-08-27$94.31$100.005.9%2.1%5.1%32.2%7.9%3.8%1.0%-205.8M667.0M-4.2M2.0055.873,7787,56382,226456,318
2014-08-28$94.17$99.006.4%2.1%4.1%37.3%11.8%4.7%0.1%-235.3M739.7M-4.1M7.7162.161,35310,43583,734457,869
2014-08-29$94.24$99.005.4%1.6%3.5%26.1%6.5%2.6%0.7%-202.9M97.1M-1.5M0.3444.017,3032,45183,158463,203