HYG Options History — October 2014

In October 2014, HYG traded between $90.17 and $92.97. ATM implied volatility averaged 9.2%, placing in the 73.1% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.8% (HV 20d: 7.4%). Max pain ranged from $93.00 to $100.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 4.62.

Notable Days

  • 2014-10-08: Highest Volume — 161,251 contracts
  • 2014-10-09: Largest IV spike — 29.7% change
  • 2014-10-10: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.93$90.17$92.97$91.66$92.54
Max Pain$95.83$93.00$100.00$98.00$93.00
ATM IV9.2%7.6%12.3%9.7%8.3%
Expected Move2.5%2.2%2.9%2.4%2.2%
HV 20d7.4%4.8%9.2%4.8%8.5%
HV 60d5.7%4.8%6.4%4.8%6.0%
IV Rank73.1%51.1%100.0%89.6%56.6%
IV Percentile93.7%83.7%100.0%98.8%87.7%
Term Structure-0.0%-1.1%0.9%0.1%0.7%
VWIV11.2%9.3%14.3%12.8%10.7%
Skew 25d4.2%2.8%7.2%4.7%2.9%
Skew 10d9.9%5.5%15.4%10.9%5.5%
Call IV 25d7.9%5.3%10.1%7.4%6.7%
Put IV 25d12.1%9.4%16.5%12.0%9.6%
Bid-Ask Spread %51.5730.8868.5836.8056.71
Gamma HHI0.170.120.200.160.17
Net GEX-168.0M-424.0M-1.8M-254.6M-156.4M
Net DEX864.1M118.8M2.04B1.05B372.7M
Net VEX-5.2M-6.3M-4.2M-4.2M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.620.3522.060.902.24
Total Volume72,093.4782,892161,251112,447101,686
Total OI697,027.435459,941843,707459,941746,615

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$91.66$98.009.7%2.4%4.8%89.6%12.8%4.7%0.1%-254.6M1.05B-4.2M0.9036.8059,18853,25972,465387,476
2014-10-02$91.84$98.009.1%2.5%4.8%81.7%10.7%3.1%0.3%-196.1M817.8M-4.4M0.9841.4415,65215,362130,637435,253
2014-10-03$92.15$98.009.0%2.5%5.1%80.7%10.7%3.8%0.1%-131.8M669.6M-4.9M0.8662.0555,83147,962145,328448,912
2014-10-06$92.25$98.009.0%2.6%5.1%79.9%0.0%4.3%-0.3%-100.8M525.1M-4.6M8.1530.883162,576166,010475,688
2014-10-07$91.90$98.009.2%2.5%5.0%82.4%11.6%4.8%-0.6%-115.8M741.6M-4.9M9.8164.874,72646,354166,013458,473
2014-10-08$92.38$98.007.6%2.5%5.4%62.2%10.3%4.0%-0.2%-80.1M531.6M-4.2M8.3958.6917,176144,075170,610485,282
2014-10-09$91.36$98.009.9%2.6%6.6%92.2%11.5%3.9%-0.6%-243.6M1.30B-5.7M4.9259.177,02234,551182,838544,287
2014-10-10$90.91$100.0010.1%2.7%6.8%100.0%10.8%4.5%-0.3%-282.2M1.57B-5.6M7.1539.7013,02693,099188,990543,440
2014-10-13$90.17$100.0012.3%2.9%7.3%100.0%11.6%4.7%-0.2%-386.0M2.04B-5.8M22.0637.651,47632,555185,916559,363
2014-10-14$90.63$99.0011.7%2.7%7.5%93.6%12.1%5.1%-1.1%-424.0M1.85B-5.3M9.6859.1110,04597,198186,796568,159
2014-10-15$90.43$99.0011.5%2.9%7.4%91.3%10.5%7.2%0.4%-416.4M1.99B-5.4M4.0668.5820,64983,911187,285553,534
2014-10-16$91.00$95.0010.5%2.7%7.8%80.5%13.0%7.1%0.2%-320.9M1.61B-5.4M1.3040.2052,89468,984193,926563,350
2014-10-17$91.77$95.009.0%2.6%8.5%64.5%14.3%4.2%-0.3%-187.1M904.6M-5.6M1.3063.3445,00158,520237,323606,384
2014-10-20$92.43$93.008.2%2.7%8.9%55.9%9.7%5.7%0.1%-59.3M507.9M-5.6M2.3163.479,52722,010193,097493,496
2014-10-21$92.97$93.007.7%2.3%9.0%51.1%11.3%3.1%0.1%-6.6M118.8M-5.1M1.4235.2032,39446,038204,788496,948
2014-10-22$92.46$93.008.7%2.6%9.2%61.4%12.6%3.1%-0.5%-32.4M399.9M-6.0M1.2155.9549,97560,582209,052503,875
2014-10-23$92.60$93.008.2%2.3%8.8%56.1%11.4%3.3%-0.0%-1.8M330.0M-6.3M3.4547.4311,35139,156227,117516,882
2014-10-24$92.83$93.008.4%2.2%8.8%57.8%10.0%2.8%0.1%-38.9M412.9M-5.6M3.3853.2615,02550,816192,843510,874
2014-10-27$92.41$93.009.2%2.6%8.9%67.3%11.2%4.3%0.0%-94.0M651.2M-5.9M4.5743.111,2775,837194,823520,340
2014-10-28$92.56$93.009.2%2.3%8.7%67.0%9.3%3.3%-0.1%-91.2M603.2M-5.6M0.3542.6922,4547,757194,848523,743
2014-10-29$92.50$93.008.3%2.6%8.6%57.1%10.1%3.8%0.9%-93.1M572.4M-5.1M3.6860.6011,25141,417195,128528,665
2014-10-30$92.55$93.007.8%2.2%8.6%52.1%11.0%3.0%0.8%-150.2M309.8M-4.3M3.9965.249,65238,537195,449539,310
2014-10-31$92.54$93.008.3%2.2%8.5%56.6%10.7%2.9%0.7%-156.4M372.7M-4.5M2.2456.7131,39870,288195,459551,156