HYG Options History — March 2015

In March 2015, HYG traded between $89.66 and $91.42. ATM implied volatility averaged 8.3%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.9% (HV 20d: 5.4%). Max pain ranged from $89.00 to $93.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 5.49.

Notable Days

  • 2015-03-06: Highest Volume — 130,979 contracts
  • 2015-03-19: Largest IV drop — 12.5% change
  • 2015-03-18: Highest IV Rank — 54.1%
  • 2015-03-18: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.50$89.66$91.42$91.42$90.64
Max Pain$91.05$89.00$93.00$89.00$91.00
ATM IV8.3%7.1%9.2%7.6%8.0%
Expected Move2.3%2.1%2.6%2.1%2.1%
HV 20d5.4%3.8%6.9%4.4%6.7%
HV 60d6.8%5.9%7.8%7.8%6.0%
IV Rank46.0%36.4%54.1%40.3%43.9%
IV Percentile66.6%45.2%83.3%57.5%61.5%
Term Structure0.1%-1.5%1.0%-0.5%0.3%
VWIV9.3%6.8%11.3%9.1%6.8%
Skew 25d2.7%1.6%3.3%2.6%1.9%
Skew 10d5.6%2.0%9.1%3.9%2.0%
Call IV 25d7.3%6.2%8.3%6.2%7.1%
Put IV 25d10.1%8.8%11.5%8.8%9.1%
Bid-Ask Spread %22.7314.9045.9422.9322.50
Gamma HHI0.160.130.180.180.18
Net GEX-61.4M-222.3M94.1M94.1M-143.7M
Net DEX373.5M-345.1M883.0M-345.1M419.3M
Net VEX-4.0M-4.6M-3.4M-3.5M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.490.3531.160.600.94
Total Volume52,850.6362,804130,97996,29873,109
Total OI514,543.5430,354685,539430,354568,997

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$91.42$89.007.6%2.1%4.4%40.3%9.1%2.6%-0.5%94.1M-345.1M-3.5M0.6022.9360,27136,027198,886231,468
2015-03-03$91.16$89.008.2%2.2%4.5%45.4%10.8%2.4%-0.3%83.0M-230.7M-3.6M0.5119.4158,88029,949201,034240,552
2015-03-04$91.02$89.008.4%2.3%4.0%47.1%10.0%2.7%-0.4%69.2M-176.7M-3.8M0.5621.2460,14133,621202,004244,251
2015-03-05$91.18$93.008.0%2.1%3.8%44.2%10.5%2.4%-0.3%80.1M-194.8M-3.4M0.3523.7259,41120,957203,286248,679
2015-03-06$90.57$93.008.7%2.2%4.2%50.1%10.0%3.1%-0.5%41.9M-21.3M-3.6M0.5621.6183,98346,996203,527249,897
2015-03-09$90.43$92.008.5%2.6%4.2%47.9%9.0%3.0%0.8%-16.9M296.3M-3.5M27.7523.7389224,752170,704274,515
2015-03-10$90.08$92.009.0%2.5%4.3%52.8%9.3%3.3%-0.4%-72.0M515.9M-3.8M8.5422.592,47621,136174,989296,424
2015-03-11$90.33$92.008.8%2.6%4.3%50.7%10.8%3.2%0.5%-80.4M546.5M-3.9M6.1921.931,68910,455176,192321,169
2015-03-12$90.51$91.008.6%2.4%4.4%48.8%8.5%2.6%-0.3%-29.4M373.9M-3.8M4.6420.954972,307177,823309,664
2015-03-13$90.20$91.009.0%2.6%4.6%52.6%11.3%2.6%-0.1%-71.7M485.0M-3.7M15.7421.054,82775,987178,116310,893
2015-03-16$90.11$91.008.9%2.5%4.5%51.8%9.3%2.8%-0.1%-105.3M610.2M-4.1M1.1014.9012,07913,316181,413380,531
2015-03-17$89.66$91.008.9%2.5%4.8%51.3%10.8%3.3%0.7%-177.2M828.6M-4.1M0.7521.8441,56731,051193,061391,648
2015-03-18$90.46$91.009.2%2.6%5.8%54.1%8.9%3.2%-1.5%-45.5M537.1M-4.2M0.3927.0556,60922,296218,142419,216
2015-03-19$89.74$91.008.0%2.3%6.3%44.1%7.8%3.2%0.8%-222.3M883.0M-4.4M2.0018.759,67319,330233,604435,847
2015-03-20$90.44$91.007.7%2.3%6.9%41.6%9.8%2.8%-0.3%-95.1M641.1M-4.4M8.4945.941,24010,524236,565448,974
2015-03-23$90.51$91.007.1%2.1%6.9%36.4%7.6%3.2%0.7%-103.5M505.8M-4.2M1.3322.541,7822,373175,264309,585
2015-03-24$90.65$91.007.6%2.1%6.9%40.1%7.8%2.8%0.6%-78.3M494.0M-4.5M1.7122.2710,33817,697175,816309,358
2015-03-25$90.41$91.007.8%2.3%6.8%42.0%8.6%2.7%0.9%-92.8M468.3M-4.2M31.1622.8277924,270165,990306,737
2015-03-26$90.42$91.007.7%2.2%6.8%41.4%9.0%2.7%1.0%-129.8M540.8M-4.4M1.0123.8135,04435,470179,431333,396
2015-03-27$90.47$91.007.8%2.3%6.8%41.8%10.1%2.5%0.8%-150.1M575.6M-4.6M4.8621.252,90714,119176,774342,414
2015-03-30$90.69$91.008.1%2.2%6.7%44.7%8.3%1.6%0.3%-105.2M464.7M-4.4M1.6317.1934,96756,920180,354342,767
2015-03-31$90.64$91.008.0%2.1%6.7%43.9%6.8%1.9%0.3%-143.7M419.3M-4.2M0.9422.5037,77535,334183,254385,743