HYG Options History — December 2014

In December 2014, HYG traded between $86.96 and $90.48. ATM implied volatility averaged 10.3%, placing in the 69.3% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.6% (HV 20d: 9.6%). Max pain ranged from $89.00 to $95.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.29.

Notable Days

  • 2014-12-17: Highest Volume — 156,473 contracts
  • 2014-12-08: Largest IV spike — 19.7% change
  • 2014-12-12: Highest IV Rank — 100.0%
  • 2014-12-16: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.44$86.96$90.48$89.88$89.60
Max Pain$90.76$89.00$95.00$95.00$89.00
ATM IV10.3%7.2%14.4%8.3%11.2%
Expected Move3.0%2.4%3.8%2.4%3.2%
HV 20d9.6%7.0%12.6%7.0%11.0%
HV 60d8.0%7.0%9.1%7.0%8.9%
IV Rank69.3%45.5%100.0%56.6%72.0%
IV Percentile92.3%69.4%100.0%86.5%96.4%
Term Structure0.1%-0.8%0.7%-0.1%0.3%
VWIV11.7%9.0%14.8%9.9%12.4%
Skew 25d3.9%2.9%5.5%2.9%4.4%
Skew 10d8.3%5.2%12.9%5.2%9.2%
Call IV 25d9.2%6.3%13.2%7.6%9.5%
Put IV 25d13.1%10.0%17.6%10.5%13.9%
Bid-Ask Spread %50.0223.8666.4066.4029.24
Gamma HHI0.160.100.240.210.11
Net GEX-224.3M-403.8M-37.7M-260.4M-58.0M
Net DEX1.35B176.0M2.95B1.35B471.4M
Net VEX-3.9M-5.3M-2.7M-2.8M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.290.309.836.734.48
Total Volume78,952.3641,592156,47372,95317,349
Total OI669,200.409523,383914,691523,383584,615

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$89.88$95.008.3%2.4%7.0%56.6%9.9%2.9%-0.1%-260.4M1.35B-2.8M6.7366.409,44063,513145,751377,632
2014-12-02$90.28$94.007.6%2.5%7.3%49.6%9.0%3.4%0.2%-303.9M1.31B-2.7M5.2023.867,16637,258147,410405,896
2014-12-03$90.48$93.007.9%2.5%7.3%52.8%9.7%3.7%-0.0%-257.2M1.19B-2.7M9.6462.949,01986,950150,415393,740
2014-12-04$90.38$93.007.6%2.5%7.3%50.2%9.2%3.1%0.4%-302.2M1.40B-3.2M9.8359.251471,445155,915453,142
2014-12-05$90.31$93.007.2%2.5%7.1%45.5%10.1%3.3%0.2%-323.5M1.36B-2.9M3.0760.479,93930,507156,031453,820
2014-12-08$89.86$93.008.6%2.6%7.2%60.7%10.1%2.9%-0.3%-339.9M1.63B-2.9M8.5065.029,18478,052156,917458,883
2014-12-09$89.72$91.009.4%2.5%7.2%68.6%10.0%4.5%-0.8%-403.8M1.88B-2.9M6.3955.5810,51267,186161,472494,180
2014-12-10$88.61$91.0011.0%2.9%8.1%86.4%10.6%3.9%-0.2%-343.9M2.28B-3.4M2.7724.6119,69454,546163,129498,286
2014-12-11$88.17$91.0011.6%3.2%8.1%92.2%13.0%4.4%0.2%-352.7M2.46B-3.6M2.4163.2145,801110,477174,527519,192
2014-12-12$87.38$91.0013.5%3.5%8.4%100.0%14.8%5.5%0.4%-348.5M2.86B-4.2M2.5362.1328,39271,867210,894577,626
2014-12-15$87.13$91.0013.6%3.7%8.4%100.0%12.5%5.0%0.2%-363.6M2.95B-3.9M2.1154.7846,26397,663226,281581,060
2014-12-16$86.96$89.0014.4%3.8%8.3%100.0%13.3%4.4%0.3%-310.1M2.76B-4.4M0.8858.6073,85365,165261,136576,780
2014-12-17$88.76$89.0012.0%3.5%11.7%79.0%14.2%5.0%0.4%-277.7M1.90B-5.2M1.0540.1976,44780,026303,371580,623
2014-12-18$89.45$89.0011.4%3.4%12.1%73.3%12.8%3.7%-0.3%-223.5M1.29B-5.3M1.0759.0371,28175,981316,340588,352
2014-12-19$90.23$89.0010.6%3.3%12.6%66.2%12.9%4.4%-0.1%-171.9M801.4M-5.0M1.6752.1420,00733,334331,581583,110
2014-12-22$90.00$0.0010.3%3.2%12.4%64.3%12.6%3.5%0.7%-60.1M448.4M-4.9M0.9360.7546,98643,855216,473380,119
2014-12-23$90.39$89.009.4%3.0%12.5%55.7%12.2%3.3%0.5%-57.0M303.8M-4.3M0.7138.3534,84124,716216,182377,207
2014-12-24$90.25$89.0010.1%3.1%12.5%61.9%12.0%3.1%0.3%-48.9M239.7M-4.5M0.6840.8835,10823,723212,655377,193
2014-12-26$89.98$89.0010.2%3.0%12.5%63.1%11.2%3.5%-0.5%-49.7M176.0M-4.4M0.6842.6833,21122,490212,703377,160
2014-12-29$90.02$89.0010.4%3.1%12.1%64.8%11.0%3.9%0.4%-37.7M287.3M-4.1M0.6839.1633,78222,937210,258372,174
2014-12-30$89.84$89.0010.1%3.1%11.1%61.7%13.0%3.9%0.7%-41.2M367.9M-4.1M0.3041.285,2751,564209,848372,330
2014-12-31$89.60$89.0011.2%3.2%11.0%72.0%12.4%4.4%0.3%-58.0M471.4M-4.2M4.4829.243,16814,181211,421373,194