HYG Options History — June 2015

In June 2015, HYG traded between $88.40 and $90.66. ATM implied volatility averaged 8.3%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 3.8% (HV 20d: 4.5%). Max pain ranged from $89.00 to $91.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2015-06-04: Highest Volume — 167,775 contracts
  • 2015-06-29: Largest IV spike — 19.9% change
  • 2015-06-08: Highest IV Rank — 52.7%
  • 2015-06-08: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.47$88.40$90.66$90.66$88.83
Max Pain$89.64$89.00$91.00$91.00$89.00
ATM IV8.3%6.8%9.4%8.5%7.8%
Expected Move2.4%1.9%2.9%2.2%2.3%
HV 20d4.5%3.5%5.4%4.7%5.4%
HV 60d4.5%4.1%5.0%5.0%4.5%
IV Rank41.9%27.7%52.7%48.0%34.7%
IV Percentile57.9%19.0%86.5%69.0%45.2%
Term Structure0.1%-1.2%0.9%-0.7%0.2%
VWIV8.8%6.8%11.2%8.0%7.6%
Skew 25d2.9%1.9%4.1%2.7%2.0%
Skew 10d5.9%3.5%9.1%8.6%3.9%
Call IV 25d7.2%6.0%8.3%7.5%7.5%
Put IV 25d10.1%8.8%12.1%10.2%9.5%
Bid-Ask Spread %18.9813.0923.1419.9418.41
Gamma HHI0.160.140.220.160.19
Net GEX-430.5M-699.1M-183.6M-194.0M-468.9M
Net DEX1.67B726.0M2.65B726.0M1.33B
Net VEX-7.4M-8.3M-6.1M-6.3M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.392.801.161.53
Total Volume104,962.13632,186167,77580,556116,962
Total OI1,134,456.227865,8161,425,195988,551984,440

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$90.66$91.008.5%2.2%4.7%48.0%8.0%2.7%-0.7%-194.0M726.0M-6.3M1.1619.9437,26543,291259,861728,690
2015-06-02$90.49$91.008.3%2.1%4.8%42.5%7.7%2.7%-0.1%-244.7M820.1M-6.1M1.7622.4311,64220,544261,908748,812
2015-06-03$89.95$91.008.6%2.2%5.2%44.7%8.4%1.9%-0.2%-323.3M1.29B-7.6M0.7918.7658,69346,658276,411766,904
2015-06-04$89.76$90.008.8%2.7%5.2%47.2%11.2%3.1%0.3%-372.1M1.52B-8.0M1.6715.0362,824104,951294,728782,457
2015-06-05$89.43$90.008.7%2.8%5.3%45.6%10.9%2.8%-0.8%-513.4M2.10B-8.3M2.8019.4737,646105,415301,687863,996
2015-06-08$89.46$90.009.4%2.9%4.3%52.7%9.7%4.1%0.9%-604.3M2.16B-8.1M2.6019.3934,85990,666301,728937,397
2015-06-09$89.26$90.009.2%2.8%3.8%50.3%9.7%3.8%0.6%-591.7M2.27B-8.2M0.7621.6042,52032,217302,777940,272
2015-06-10$89.36$90.008.9%2.6%3.9%48.0%9.9%3.3%0.1%-574.7M2.14B-7.8M2.0123.1441,73883,698311,295935,814
2015-06-11$89.56$90.008.7%2.3%4.0%45.8%9.9%2.7%-0.6%-595.3M1.80B-6.4M1.1420.3442,98648,982319,204955,371
2015-06-12$89.27$90.008.8%2.6%3.5%46.7%9.0%2.7%0.5%-607.3M2.21B-7.0M0.9922.3176,05775,618325,501960,312
2015-06-15$88.84$90.009.4%2.7%3.6%52.3%9.5%3.4%0.1%-699.1M2.65B-7.9M0.9114.0250,95146,402353,603989,427
2015-06-16$89.29$89.008.8%2.6%4.2%47.4%10.1%3.4%-1.2%-675.1M2.03B-6.3M1.4617.0958,02184,841366,8731,006,436
2015-06-17$89.25$89.008.3%2.4%4.2%42.1%8.3%2.9%0.2%-632.2M2.29B-8.0M0.7117.7057,20140,536371,2241,018,623
2015-06-18$89.57$89.007.3%2.0%4.5%32.7%6.8%3.1%0.8%-483.2M1.83B-7.6M0.7114.9869,04149,259377,3791,015,287
2015-06-19$89.61$89.007.5%2.1%4.5%34.9%7.3%2.8%0.9%-232.3M1.77B-7.7M1.1513.0952,51560,457397,1981,027,997
2015-06-22$89.78$89.007.2%2.0%4.6%32.1%7.4%2.8%0.2%-191.7M907.4M-7.4M0.7518.2735,24826,350220,407645,409
2015-06-23$89.77$89.006.8%1.9%4.6%27.7%6.9%2.6%0.6%-183.6M849.3M-7.0M0.3920.0568,73527,137224,961649,497
2015-06-24$89.53$89.007.2%2.0%4.5%31.6%7.6%3.0%0.6%-203.7M1.05B-7.4M1.3419.3438,48951,747245,385655,268
2015-06-25$89.32$89.007.1%2.1%4.5%31.3%8.9%3.0%0.2%-276.0M1.33B-7.9M1.2520.8832,60840,894255,095683,663
2015-06-26$88.98$89.007.5%2.4%4.6%34.4%8.8%2.9%0.1%-416.3M1.60B-7.6M2.0320.8130,27561,372256,002685,006
2015-06-29$88.40$89.009.0%2.7%4.9%48.4%10.6%2.9%0.3%-389.1M2.03B-7.9M1.5820.5843,37168,485250,681703,051
2015-06-30$88.83$89.007.8%2.3%5.4%34.7%7.6%2.0%0.2%-468.9M1.33B-6.2M1.5318.4146,20670,756264,826719,614