HYG Options History — January 2015

In January 2015, HYG traded between $88.43 and $90.48. ATM implied volatility averaged 10.2%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.3% (HV 20d: 8.9%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.65.

Notable Days

  • 2015-01-22: Highest Volume — 71,690 contracts
  • 2015-01-22: Largest IV drop — 13.8% change
  • 2015-01-06: Highest IV Rank — 84.5%
  • 2015-01-06: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.75$88.43$90.48$89.59$90.32
Max Pain$89.38$89.00$90.00$89.00$89.00
ATM IV10.2%8.4%12.7%11.3%8.8%
Expected Move2.9%2.3%3.8%3.1%2.4%
HV 20d8.9%6.5%11.9%10.9%6.8%
HV 60d8.6%8.3%9.0%8.9%8.5%
IV Rank63.1%47.4%84.5%72.2%50.8%
IV Percentile88.6%75.4%98.8%96.4%78.6%
Term Structure-0.1%-1.5%0.6%0.6%0.4%
VWIV11.8%7.9%14.9%13.9%7.9%
Skew 25d4.0%2.5%5.6%5.3%3.3%
Skew 10d9.0%7.2%11.2%10.3%8.5%
Call IV 25d9.1%7.9%10.9%8.9%8.3%
Put IV 25d13.1%10.8%16.2%14.2%11.6%
Bid-Ask Spread %42.3224.8855.1837.0254.47
Gamma HHI0.140.100.220.110.21
Net GEX9.2M-108.5M107.7M-53.8M77.6M
Net DEX146.6M-428.7M946.4M459.8M-365.4M
Net VEX-3.4M-4.0M-2.8M-4.0M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.333.851.200.58
Total Volume44,355.47,27771,69051,37851,203
Total OI553,749.05369,771698,807590,492518,518

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$89.59$89.0011.3%3.1%10.9%72.2%13.9%5.3%0.6%-53.8M459.8M-4.0M1.2037.0223,30828,070213,095377,397
2015-01-05$88.77$89.0012.2%3.5%11.4%80.7%14.9%5.6%-0.1%-90.0M788.1M-3.7M3.8046.906,63625,198214,133374,716
2015-01-06$88.43$89.0012.7%3.8%11.4%84.5%14.3%5.3%-0.4%-108.5M946.4M-3.7M1.3648.9811,46715,565218,093388,390
2015-01-07$88.98$89.0011.8%3.3%11.6%76.9%12.6%4.3%-0.4%-78.6M676.7M-3.7M2.4150.424,0499,776226,899399,344
2015-01-08$89.63$89.0010.6%2.9%11.9%66.6%12.2%3.9%-0.1%-32.7M382.5M-3.6M2.2430.3819,54943,766228,577406,437
2015-01-09$90.11$89.0010.1%2.9%11.1%62.5%10.5%4.2%-0.1%-33.1M163.0M-3.4M0.9550.8033,20931,539229,919417,436
2015-01-12$89.98$90.0010.7%3.0%10.9%67.5%13.2%4.1%0.2%-1.5M169.4M-3.4M1.5155.1820,27230,614240,319412,776
2015-01-13$89.98$90.0010.5%2.9%10.3%65.5%13.5%4.7%-0.6%-8.1M206.8M-3.4M1.0746.5324,65626,272239,478418,962
2015-01-14$89.75$90.0011.2%2.9%10.2%71.5%12.8%4.5%-1.3%-34.0M326.8M-3.4M1.3841.5629,54040,684242,771429,738
2015-01-15$89.30$90.0010.8%3.3%10.4%68.7%11.7%4.0%0.6%-53.4M489.2M-3.5M1.2850.7624,53831,331249,511438,915
2015-01-16$89.57$90.0010.5%2.8%7.7%65.4%11.0%4.1%-1.5%-24.2M433.6M-3.4M1.3150.5020,43126,736253,330445,477
2015-01-20$89.41$90.0010.5%3.0%7.2%65.8%12.7%4.9%0.0%46.7M82.5M-3.5M2.7839.016,26417,400149,344220,427
2015-01-21$89.89$89.5010.0%2.9%6.7%61.3%10.2%3.4%-0.3%55.7M-19.1M-3.5M3.8543.824,75318,303154,126236,053
2015-01-22$90.00$89.508.6%2.5%6.7%49.2%11.4%2.9%0.4%72.2M-144.8M-3.3M1.7124.8826,42645,264158,021248,575
2015-01-23$90.05$89.508.6%2.4%6.5%49.3%12.0%2.5%0.5%77.7M-156.3M-3.6M2.1124.9615,53732,840171,392268,213
2015-01-26$90.42$89.008.4%2.3%6.6%47.4%8.1%3.6%0.1%90.4M-406.4M-2.8M0.3349.435,4751,802173,266267,581
2015-01-27$90.35$89.009.1%2.5%6.6%53.1%10.7%3.6%0.3%93.5M-388.7M-2.8M1.0626.0432,80934,622176,882269,007
2015-01-28$90.06$89.009.1%2.7%6.7%53.6%10.1%3.3%0.4%80.5M-283.6M-3.6M0.9649.5514,53513,998196,818296,331
2015-01-29$90.48$89.008.7%2.4%6.8%50.1%11.6%3.3%0.1%107.7M-428.7M-3.3M1.1425.2618,07720,594201,213303,501
2015-01-30$90.32$89.008.8%2.4%6.8%50.8%7.9%3.3%0.4%77.6M-365.4M-3.4M0.5854.4732,37618,827204,795313,723