HYG Options History — April 2015

In April 2015, HYG traded between $90.36 and $91.47. ATM implied volatility averaged 7.1%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 2.2% (HV 20d: 4.8%). Max pain ranged from $90.00 to $92.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.65.

Notable Days

  • 2015-04-16: Highest Volume — 141,802 contracts
  • 2015-04-21: Largest IV drop — 15.3% change
  • 2015-04-01: Highest IV Rank — 48.9%
  • 2015-04-02: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.10$90.36$91.47$90.36$90.97
Max Pain$90.86$90.00$92.00$92.00$91.00
ATM IV7.1%5.9%8.6%8.6%6.4%
Expected Move2.0%1.6%2.5%2.2%1.7%
HV 20d4.8%3.1%6.7%6.7%3.1%
HV 60d5.2%4.8%5.7%5.7%4.8%
IV Rank35.7%25.8%48.9%48.9%30.2%
IV Percentile41.4%25.4%70.2%70.2%31.0%
Term Structure0.1%-0.6%1.1%0.3%0.6%
VWIV8.2%6.4%13.1%8.5%6.9%
Skew 25d2.2%1.4%3.2%2.0%3.2%
Skew 10d5.4%3.3%8.6%8.6%7.2%
Call IV 25d6.4%5.2%8.2%8.2%5.9%
Put IV 25d8.6%7.2%10.2%10.1%9.2%
Bid-Ask Spread %38.2114.5384.2478.8917.60
Gamma HHI0.150.130.180.140.13
Net GEX-39.9M-174.2M95.8M-130.0M-174.2M
Net DEX286.4M1.2M582.0M582.0M439.0M
Net VEX-4.4M-5.3M-3.4M-5.0M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.575.020.573.43
Total Volume90,711.76221,738141,80254,577126,093
Total OI588,759.048514,373701,537568,433621,376

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$90.36$92.008.6%2.2%6.7%48.9%8.5%2.0%0.3%-130.0M582.0M-5.0M0.5778.8934,78019,797181,332387,101
2015-04-02$90.50$91.008.3%2.5%6.7%46.5%9.2%2.4%-0.1%-119.4M530.9M-5.0M0.9116.6535,03931,950182,244393,326
2015-04-06$90.79$91.008.1%2.4%6.4%45.0%13.1%2.5%0.1%-94.1M360.5M-4.2M1.7518.7241,04771,800180,791398,900
2015-04-07$91.11$90.007.9%2.3%6.5%43.1%12.7%2.4%-0.2%-29.8M122.9M-3.9M0.6718.7141,58427,939180,241416,053
2015-04-08$91.15$90.007.6%2.2%6.3%40.4%9.2%2.2%0.0%-19.2M194.0M-4.3M5.0215.253,61318,125179,714413,260
2015-04-09$91.07$90.007.6%2.2%6.2%40.2%7.7%2.5%-0.3%-23.9M189.3M-4.2M0.9814.5340,23539,601182,264422,268
2015-04-10$91.27$90.006.8%2.1%6.2%33.1%7.2%2.3%1.1%95.8M25.8M-3.5M1.3321.9442,56556,806184,211423,841
2015-04-13$91.10$91.007.3%2.1%6.1%37.8%7.3%2.0%-0.2%58.8M74.2M-3.7M0.9018.4240,87836,981183,359426,594
2015-04-14$91.16$91.007.3%2.1%6.1%38.1%7.4%1.9%0.1%76.4M80.4M-3.4M0.9819.7249,58048,511184,033432,309
2015-04-15$91.47$91.007.2%2.1%5.8%37.2%7.2%2.0%-0.5%83.9M1.2M-3.5M0.7183.9350,46635,847183,504440,605
2015-04-16$91.38$91.006.9%2.0%5.1%34.7%7.1%1.8%-0.6%52.8M98.2M-3.7M1.6484.2453,80687,996189,594450,239
2015-04-17$91.09$91.006.9%2.0%4.2%34.4%8.2%2.2%0.4%15.9M403.3M-5.0M0.9773.9954,91853,067189,939511,598
2015-04-20$91.24$91.007.0%1.9%3.3%35.6%8.1%1.9%-0.3%-60.8M297.6M-4.6M1.3368.7732,23942,828148,211366,162
2015-04-21$91.30$91.006.0%1.7%3.3%26.2%7.9%2.5%0.1%-62.1M293.3M-4.7M1.3051.0332,07441,854148,958365,979
2015-04-22$91.18$91.006.6%1.8%3.3%31.6%7.6%2.5%-0.4%-75.3M341.2M-4.6M1.5823.3746,03272,871149,156366,041
2015-04-23$91.09$91.006.2%1.8%3.2%28.4%7.6%2.3%-0.1%-105.6M460.6M-5.3M1.3871.4543,82560,614160,035399,166
2015-04-24$91.27$91.005.9%1.6%3.2%25.8%8.3%1.4%0.2%-79.2M366.7M-5.0M1.7431.7134,37759,975164,412400,395
2015-04-27$91.33$91.006.0%1.9%3.2%26.1%7.2%2.1%1.1%-30.7M224.0M-4.2M2.6714.5727,35973,064165,447400,665
2015-04-28$91.20$91.006.8%1.9%3.2%33.6%6.7%2.3%0.4%-93.5M396.2M-4.8M2.3632.7828,60167,474166,978426,865
2015-04-29$91.04$91.006.7%2.0%3.3%32.3%6.4%2.5%0.1%-123.7M532.8M-4.9M2.4326.0528,81169,925167,316429,458
2015-04-30$90.97$91.006.4%1.7%3.1%30.2%6.9%3.2%0.6%-174.2M439.0M-4.3M3.4317.6028,48997,604169,649451,727