HYG Options History — August 2015

In August 2015, HYG traded between $84.79 and $87.49. ATM implied volatility averaged 10.6%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 4.6% (HV 20d: 6.0%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.03.

Notable Days

  • 2015-08-12: Highest Volume — 209,892 contracts
  • 2015-08-24: Largest IV spike — 32.3% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.35$84.79$87.49$87.41$86.20
Max Pain$87.86$87.00$88.00$88.00$87.00
ATM IV10.6%8.9%14.9%9.2%12.6%
Expected Move3.1%2.3%4.7%2.3%3.8%
HV 20d6.0%5.4%6.5%6.4%6.1%
HV 60d5.4%5.2%5.9%5.6%5.8%
IV Rank57.3%40.5%100.0%43.5%75.6%
IV Percentile88.0%71.4%100.0%80.6%97.2%
Term Structure0.2%-0.5%1.5%-0.0%0.2%
VWIV11.9%8.2%16.5%8.9%15.7%
Skew 25d4.2%2.9%6.4%3.5%5.1%
Skew 10d7.8%5.0%13.5%7.3%8.2%
Call IV 25d9.3%7.5%13.5%8.6%11.3%
Put IV 25d13.5%10.7%19.9%12.1%16.4%
Bid-Ask Spread %23.398.9341.1611.0236.79
Gamma HHI0.180.160.240.170.18
Net GEX-451.1M-621.1M-228.8M-379.6M-257.8M
Net DEX2.35B1.62B3.42B1.72B1.85B
Net VEX-8.0M-9.6M-6.4M-7.7M-9.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.030.8322.532.730.83
Total Volume131,434.2383,832209,8923,832117,823
Total OI1,117,415960,7311,308,161960,7311,184,602

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$87.41$88.009.2%2.3%6.4%43.5%8.9%3.5%-0.0%-379.6M1.72B-7.7M2.7311.021,0272,805287,404673,327
2015-08-04$87.49$88.009.3%2.4%6.4%44.7%8.2%3.3%-0.2%-367.8M1.62B-7.7M1.5812.6221,49633,896289,961672,509
2015-08-05$87.36$88.009.2%2.3%6.1%43.8%8.3%2.9%0.0%-392.6M1.69B-7.5M2.038.9319,65739,875291,073673,529
2015-08-06$87.04$88.009.6%2.8%6.1%47.8%11.5%2.9%-0.3%-435.6M1.99B-7.7M2.4817.0021,11652,336291,287677,161
2015-08-07$86.72$88.009.9%2.8%5.8%51.8%11.2%3.7%-0.2%-459.7M2.29B-7.9M3.6119.1931,355113,186297,437692,307
2015-08-10$86.94$88.008.9%2.6%5.9%40.5%10.9%3.2%0.5%-557.5M2.11B-6.8M1.2818.1645,26057,842294,650707,309
2015-08-11$86.56$88.009.4%2.7%6.0%46.4%11.9%3.5%-0.5%-581.1M2.42B-7.0M22.5316.074,27796,365312,782717,190
2015-08-12$86.43$88.009.3%3.0%5.9%45.2%11.1%3.7%1.5%-592.8M2.62B-7.9M2.3213.2463,156146,736316,292807,711
2015-08-13$86.37$88.009.3%2.9%5.9%45.1%9.1%3.6%1.2%-617.9M2.61B-7.9M1.6412.7076,048124,763334,228831,770
2015-08-14$86.44$88.009.2%2.8%5.9%43.9%11.6%3.5%1.3%-601.8M2.48B-7.8M3.8224.5432,318123,484361,240836,284
2015-08-17$86.38$88.009.5%2.8%5.8%47.4%11.4%3.9%-0.5%-614.1M2.49B-6.7M3.0015.6631,97195,949359,857844,676
2015-08-18$86.28$88.009.4%2.7%5.8%46.0%11.4%4.1%-0.4%-567.1M2.59B-6.4M2.1117.7857,392121,236360,156842,024
2015-08-19$86.19$88.009.7%2.8%5.4%48.0%10.2%3.9%-0.2%-621.1M2.83B-8.5M1.3022.2825,35033,036384,896877,833
2015-08-20$85.69$88.0010.7%3.1%5.7%59.3%11.8%4.2%0.5%-535.4M3.10B-7.8M2.2633.1261,164138,293400,592886,963
2015-08-21$85.55$88.0011.3%3.2%5.7%65.0%12.3%4.9%0.2%-411.2M3.42B-8.3M1.4225.3670,03199,294407,419900,742
2015-08-24$84.79$88.0014.9%4.7%6.2%100.0%16.0%6.4%-0.0%-322.6M3.14B-9.6M1.6939.5549,88684,463336,874787,666
2015-08-25$85.14$88.0013.8%4.2%5.9%88.7%15.4%5.7%0.1%-321.5M2.61B-9.4M3.6936.5942,791157,994339,647763,045
2015-08-26$85.67$88.0013.0%3.8%5.9%79.7%12.5%5.8%0.1%-354.4M2.47B-9.4M1.2041.1672,80687,202347,721780,642
2015-08-27$86.30$87.0011.9%3.6%6.5%68.8%16.5%4.6%0.4%-253.5M1.73B-7.9M1.0431.0371,10673,977367,564761,766
2015-08-28$86.36$87.0012.3%3.4%6.5%72.5%14.0%5.3%0.2%-228.8M1.64B-9.4M0.9938.4280,90480,453390,412775,167
2015-08-31$86.20$87.0012.6%3.8%6.1%75.6%15.7%5.1%0.2%-257.8M1.85B-9.5M0.8336.7964,49453,329399,491785,111