HYG Options History — May 2015

In May 2015, HYG traded between $90.37 and $91.08. ATM implied volatility averaged 7.8%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.6% (HV 20d: 4.2%). Max pain ranged from $91.00 to $91.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 5.85.

Notable Days

  • 2015-05-07: Highest Volume — 195,065 contracts
  • 2015-05-04: Largest IV drop — 11.4% change
  • 2015-05-26: Highest IV Rank — 47.7%
  • 2015-05-13: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.72$90.37$91.08$90.72$90.94
Max Pain$91.03$91.00$91.50$91.50$91.00
ATM IV7.8%6.9%8.4%7.8%7.4%
Expected Move2.3%1.8%2.6%1.9%1.8%
HV 20d4.2%2.8%4.7%3.2%4.7%
HV 60d5.0%4.6%5.2%4.8%5.0%
IV Rank42.4%34.2%47.7%42.0%38.3%
IV Percentile53.8%34.1%68.7%55.2%36.5%
Term Structure0.2%-0.6%0.9%0.5%0.8%
VWIV8.9%5.0%11.1%5.0%6.5%
Skew 25d2.9%1.7%3.8%2.1%1.7%
Skew 10d6.2%2.6%7.6%6.1%4.9%
Call IV 25d6.8%6.0%7.7%6.2%6.8%
Put IV 25d9.7%8.3%10.5%8.3%8.5%
Bid-Ask Spread %30.2918.9166.6320.1525.01
Gamma HHI0.130.120.170.120.17
Net GEX-254.1M-360.7M-166.5M-185.4M-213.6M
Net DEX932.1M273.5M1.39B627.0M273.5M
Net VEX-6.6M-8.0M-4.1M-5.4M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.850.7537.662.800.94
Total Volume94,345.156,834195,065108,51290,523
Total OI873,962.1646,286981,292646,286981,292

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$90.72$91.507.8%1.9%3.2%42.0%5.0%2.1%0.5%-185.4M627.0M-5.4M2.8020.1528,59279,920169,126477,160
2015-05-04$90.77$91.006.9%2.1%3.0%34.2%7.9%2.6%-0.1%-166.5M660.7M-5.5M19.2646.931,34625,921167,774485,493
2015-05-05$90.58$91.007.6%2.1%2.8%40.8%8.0%3.0%-0.6%-194.9M759.0M-5.7M2.7066.4628,71877,565171,730510,377
2015-05-06$90.38$91.008.0%2.4%2.9%43.7%9.1%3.0%-0.1%-220.1M983.4M-6.3M3.0929.9532,764101,315173,047515,466
2015-05-07$90.37$91.008.2%2.6%2.9%45.8%11.1%3.0%-0.1%-263.8M1.07B-6.7M5.0434.7232,274162,791177,685575,726
2015-05-08$91.08$91.007.3%2.2%4.0%37.7%8.9%3.3%-0.5%-230.0M658.8M-6.1M4.3966.631,2675,567177,407692,596
2015-05-11$90.51$91.007.8%2.3%4.5%42.6%11.1%2.0%0.1%-297.8M1.07B-7.1M20.5020.2881716,745176,409686,613
2015-05-12$90.57$91.008.2%2.3%4.5%45.6%9.1%3.5%0.4%-313.8M1.12B-7.1M1.8724.8253,22799,340179,352697,342
2015-05-13$90.39$91.008.1%2.6%4.3%44.8%10.5%3.1%0.9%-360.7M1.39B-8.0M2.6522.9330,14679,738199,291725,223
2015-05-14$90.83$91.007.6%2.4%4.7%40.7%8.8%2.9%0.8%-316.4M983.7M-7.2M1.0920.0564,38970,440204,640752,796
2015-05-15$91.03$91.008.0%2.3%4.7%43.8%8.7%3.1%0.9%-295.0M906.7M-7.2M1.4618.9154,00278,877217,592760,426
2015-05-18$90.86$91.008.0%2.3%4.7%43.5%8.7%3.0%0.0%-228.6M1.02B-7.8M37.6628.4255821,013219,383717,766
2015-05-19$90.72$91.008.1%2.3%4.7%44.5%10.2%3.3%-0.1%-266.5M989.1M-6.6M6.8632.9711,68680,153215,723722,574
2015-05-20$90.71$91.008.3%2.4%4.7%46.2%10.6%3.5%0.3%-290.7M1.13B-7.2M1.2827.2559,82076,587226,184754,479
2015-05-21$90.76$91.007.9%2.3%4.7%43.2%10.4%3.5%0.2%-274.6M983.6M-6.8M1.1322.6230,69434,546228,937736,608
2015-05-22$90.81$91.007.6%2.2%4.6%40.2%9.0%3.8%-0.3%-282.5M1.03B-7.2M1.7227.8334,67359,752229,006734,505
2015-05-26$90.66$91.008.4%2.3%4.6%47.7%8.5%2.8%0.6%-243.6M1.11B-7.2M0.9920.9335,44235,101226,465689,129
2015-05-27$90.85$91.007.7%2.1%4.7%41.3%7.2%3.2%0.0%-216.1M942.5M-6.5M0.7525.3066,09749,893232,616707,900
2015-05-28$90.80$91.007.8%2.1%4.7%41.9%8.3%2.8%0.3%-221.7M948.4M-6.8M0.7923.7041,62332,981241,602721,802
2015-05-29$90.94$91.007.4%1.8%4.7%38.3%6.5%1.7%0.8%-213.6M273.5M-4.1M0.9425.0146,74543,778251,793729,499