HYG Options History — September 2014

In September 2014, HYG traded between $91.36 and $93.92. ATM implied volatility averaged 7.9%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 4.4% (HV 20d: 3.5%). Max pain ranged from $99.00 to $99.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 23.68.

Notable Days

  • 2014-09-26: Highest Volume — 86,840 contracts
  • 2014-09-15: Largest IV spike — 15.3% change
  • 2014-09-29: Highest IV Rank — 84.4%
  • 2014-09-29: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.71$91.36$93.92$93.92$91.95
Max Pain$99.00$99.00$99.00$99.00$99.00
ATM IV7.9%6.6%9.3%6.8%9.1%
Expected Move2.1%1.7%2.5%2.2%2.4%
HV 20d3.5%2.9%4.8%3.3%4.8%
HV 60d4.3%4.1%4.7%4.1%4.7%
IV Rank63.4%41.1%84.4%41.1%81.9%
IV Percentile83.3%60.7%98.0%63.1%97.6%
Term Structure-0.1%-1.0%1.0%0.5%-0.2%
VWIV11.3%6.8%19.3%12.7%8.6%
Skew 25d4.9%2.8%7.9%3.7%5.0%
Skew 10d9.1%5.2%11.1%8.8%9.9%
Call IV 25d6.1%3.5%8.8%6.4%7.8%
Put IV 25d11.0%9.8%13.8%10.1%12.8%
Bid-Ask Spread %55.8424.1869.7754.1340.65
Gamma HHI0.220.170.320.230.17
Net GEX-302.0M-403.7M-173.8M-266.4M-284.1M
Net DEX1.13B726.8M1.49B726.8M1.16B
Net VEX-3.4M-3.9M-2.9M-2.9M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.680.36281.335.683.57
Total Volume29,074.5247,30486,84030,50723,078
Total OI510,866.238334,939656,570517,317447,954

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$93.92$99.006.8%2.2%3.3%41.1%12.7%3.7%0.5%-266.4M726.8M-2.9M5.6854.134,56725,94058,965458,352
2014-09-03$93.68$99.007.4%2.2%3.4%48.1%13.7%3.0%0.1%-260.0M814.5M-3.2M1.3956.353,9315,46062,929464,175
2014-09-04$93.37$99.007.8%2.4%3.6%54.6%8.0%2.8%-0.3%-315.9M986.5M-3.3M15.0662.591,57623,73166,068465,142
2014-09-05$93.26$99.007.4%2.3%3.6%49.5%8.3%3.4%-0.4%-334.3M1.09B-3.5M38.9324.1866325,80967,606482,629
2014-09-08$93.16$99.008.1%2.1%3.5%67.4%6.8%4.3%-0.5%-351.7M1.08B-2.9M6.9159.171,3319,19967,973473,922
2014-09-09$92.74$99.008.5%2.2%3.4%74.0%14.7%3.5%-0.8%-403.7M1.36B-3.7M2.3263.058,81320,43069,225477,378
2014-09-10$92.78$99.007.8%2.2%3.4%64.6%10.2%4.4%-1.0%-363.9M1.31B-3.4M2.7961.702,1606,01977,366486,966
2014-09-11$92.78$99.007.5%1.8%3.2%60.3%14.5%3.7%0.7%-361.5M1.32B-3.4M281.3365.2012735,72976,199487,097
2014-09-12$92.67$99.007.8%1.7%3.1%64.8%0.0%4.5%-0.6%-401.0M1.38B-3.4M2.9224.7111,52233,58775,742496,366
2014-09-15$92.50$99.009.0%2.5%3.0%80.9%14.9%5.0%-0.7%-384.3M1.40B-3.5M2.7563.114,61112,67881,231519,649
2014-09-16$92.69$99.007.7%1.7%2.9%63.4%9.8%6.8%1.0%-357.6M1.29B-3.5M12.6434.324,21353,25484,438524,385
2014-09-17$92.99$99.007.2%1.7%3.2%56.5%0.0%5.3%-0.2%-262.7M1.10B-3.3M4.9469.772,37511,73288,652543,507
2014-09-18$93.02$99.006.6%1.9%3.2%48.2%10.3%6.5%0.2%-317.8M1.07B-3.2M62.0450.4272945,22487,396540,447
2014-09-19$93.16$99.006.9%2.1%3.3%52.7%0.0%6.6%-0.5%-289.2M1.04B-3.3M0.3666.4021,0917,52287,596568,974
2014-09-22$92.99$99.006.9%2.2%3.2%52.1%19.3%4.5%0.6%-173.8M739.4M-3.2M23.5965.612977,00742,032292,907
2014-09-23$92.52$99.007.4%2.2%3.4%59.6%11.4%3.3%0.4%-190.3M854.9M-3.4M3.0062.102,9918,96042,240298,434
2014-09-24$92.24$99.008.2%2.3%3.4%69.4%0.0%7.2%-0.3%-220.0M956.5M-3.2M8.5159.811,46012,42944,107305,077
2014-09-25$91.61$99.008.8%1.8%4.0%77.4%9.8%7.9%0.0%-240.7M1.24B-3.4M11.8455.635,14460,89745,447312,647
2014-09-26$91.55$99.009.0%2.1%4.0%80.8%10.7%7.8%0.6%-256.0M1.31B-3.6M3.2868.3620,30066,54050,207352,667
2014-09-29$91.36$99.009.3%2.5%3.9%84.4%8.8%5.0%-0.3%-306.2M1.49B-3.8M3.3665.274,00313,43665,104388,993
2014-09-30$91.95$99.009.1%2.4%4.8%81.9%8.6%5.0%-0.2%-284.1M1.16B-3.9M3.5740.655,05318,02568,692379,262