HYG Options History — July 2015

In July 2015, HYG traded between $86.82 and $88.93. ATM implied volatility averaged 8.2%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.6% (HV 20d: 5.6%). Max pain ranged from $88.00 to $89.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.71.

Notable Days

  • 2015-07-01: Highest Volume — 135,956 contracts
  • 2015-07-15: Largest IV drop — 18.1% change
  • 2015-07-08: Highest IV Rank — 54.5%
  • 2015-07-08: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.22$86.82$88.93$88.49$88.02
Max Pain$88.09$88.00$89.00$89.00$88.00
ATM IV8.2%6.5%10.2%8.6%8.0%
Expected Move2.3%1.9%3.0%2.7%1.9%
HV 20d5.6%5.2%6.1%5.2%6.0%
HV 60d4.8%4.4%5.4%4.4%5.4%
IV Rank33.2%14.9%54.5%40.8%31.3%
IV Percentile52.2%10.7%89.3%65.1%47.2%
Term Structure0.2%-1.0%0.9%0.7%0.7%
VWIV8.9%7.0%10.8%8.9%7.0%
Skew 25d2.9%1.9%4.0%3.0%2.5%
Skew 10d5.6%3.6%8.0%4.5%7.6%
Call IV 25d7.3%5.8%9.2%7.6%6.8%
Put IV 25d10.2%8.0%12.4%10.7%9.4%
Bid-Ask Spread %15.867.7426.8317.7110.27
Gamma HHI0.160.130.210.140.21
Net GEX-365.5M-515.1M-249.1M-395.5M-515.1M
Net DEX1.60B999.7M2.36B1.66B999.7M
Net VEX-7.0M-8.2M-5.2M-7.5M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.710.927.902.981.67
Total Volume89,604.45546,745135,956135,95659,334
Total OI992,026.227766,9981,189,9851,009,670976,135

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$88.49$89.008.6%2.7%5.2%40.8%8.9%3.0%0.7%-395.5M1.66B-7.5M2.9817.7134,141101,815268,644741,026
2015-07-02$88.81$89.008.0%2.4%5.4%33.2%9.9%2.8%0.2%-394.8M1.53B-8.2M1.5417.6651,98680,009271,111762,899
2015-07-06$88.53$88.009.2%2.5%5.3%43.9%9.8%3.1%-0.1%-433.0M1.68B-7.5M1.339.1537,07749,417290,265781,379
2015-07-07$88.61$88.008.8%2.5%5.3%39.7%8.5%3.6%0.2%-420.1M1.73B-7.6M2.8310.4833,99096,262291,177780,894
2015-07-08$88.15$88.0010.2%3.0%5.6%54.5%9.6%3.4%0.3%-447.7M2.03B-8.1M2.2812.0930,78170,172303,086797,146
2015-07-09$88.39$88.009.0%2.9%5.7%41.7%9.7%3.3%0.4%-463.9M1.87B-8.2M4.217.7418,39177,416318,339796,964
2015-07-10$88.80$88.008.5%2.5%5.9%36.4%10.8%3.4%-0.2%-380.6M1.36B-6.7M7.9011.617,80961,700324,971816,994
2015-07-13$88.89$88.007.9%2.3%5.8%30.0%8.9%2.8%0.1%-347.0M1.30B-6.8M5.5313.189,72553,788314,988788,385
2015-07-14$88.68$88.007.9%2.2%5.6%30.2%8.7%2.9%-0.6%-433.1M1.54B-6.5M3.5211.8910,33136,414315,691792,124
2015-07-15$88.84$88.006.5%2.1%5.3%14.9%7.8%3.0%0.9%-288.1M1.26B-5.7M1.789.5739,39870,271317,509794,005
2015-07-16$88.93$88.006.7%1.9%5.3%17.3%7.4%2.0%-0.5%-317.1M1.08B-6.2M2.6117.9723,98162,519345,983824,060
2015-07-17$88.68$88.007.1%1.9%5.2%21.2%7.6%2.2%-1.0%-249.1M1.47B-5.2M3.4013.6421,37572,756345,582844,403
2015-07-20$88.29$88.006.6%1.9%5.4%16.3%7.6%2.5%0.4%-259.0M1.29B-6.2M2.6922.0913,62236,670217,416549,582
2015-07-21$88.13$88.007.1%2.0%5.3%21.5%8.4%2.4%0.7%-259.0M1.36B-6.5M3.6114.4514,19251,227222,124554,176
2015-07-22$87.56$88.008.3%2.4%5.6%34.2%9.0%2.6%0.2%-313.8M1.87B-7.3M2.6626.8332,13985,622224,775573,634
2015-07-23$87.53$88.008.6%2.5%5.6%37.5%9.9%3.5%-0.1%-348.6M1.96B-7.4M3.6025.8717,22862,057224,191605,814
2015-07-24$87.29$88.009.2%2.7%5.6%44.2%9.2%3.3%-0.2%-359.5M2.08B-7.5M1.0920.6227,11729,686222,608606,648
2015-07-27$86.82$88.009.5%2.8%5.8%46.6%10.1%2.9%-0.2%-374.6M2.36B-7.7M1.1818.4961,80972,791232,093618,529
2015-07-28$87.33$88.008.4%2.6%5.9%35.5%9.6%4.0%0.8%-352.8M2.06B-8.1M1.2321.9836,56845,111266,313634,847
2015-07-29$87.89$88.008.0%2.2%6.1%31.5%8.7%2.7%0.3%-329.9M1.71B-7.7M0.9222.9552,52348,462273,190644,329
2015-07-30$88.16$88.007.7%2.0%6.1%27.8%8.4%1.9%0.7%-359.2M1.03B-6.1M0.9912.7836,96636,650289,465661,083
2015-07-31$88.02$88.008.0%1.9%6.0%31.3%7.0%2.5%0.7%-515.1M999.7M-6.0M1.6710.2722,23137,103301,329674,806