HYG Options History — September 2015

In September 2015, HYG traded between $82.80 and $86.49. ATM implied volatility averaged 11.0%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 4.4% (HV 20d: 6.6%). Max pain ranged from $86.00 to $87.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.52.

Notable Days

  • 2015-09-25: Highest Volume — 177,346 contracts
  • 2015-09-28: Largest IV spike — 42.0% change
  • 2015-09-29: Highest IV Rank — 95.4%
  • 2015-09-28: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.38$82.80$86.49$85.59$83.27
Max Pain$86.10$86.00$87.00$87.00$86.00
ATM IV11.0%8.4%14.5%13.6%13.6%
Expected Move3.1%2.3%4.4%4.2%3.8%
HV 20d6.6%5.3%7.2%6.5%7.2%
HV 60d6.1%5.9%6.6%6.0%6.6%
IV Rank56.6%27.3%95.4%85.7%85.3%
IV Percentile81.8%47.6%99.6%98.8%97.6%
Term Structure0.1%-0.8%1.9%-0.1%0.1%
VWIV13.1%8.3%16.8%16.8%14.5%
Skew 25d4.1%1.6%6.6%5.5%4.0%
Skew 10d8.1%3.7%15.1%15.1%7.2%
Call IV 25d9.6%7.3%12.7%11.2%12.3%
Put IV 25d13.7%10.3%17.3%16.6%16.3%
Bid-Ask Spread %39.6327.4455.2544.0033.28
Gamma HHI0.190.090.400.160.10
Net GEX-220.1M-375.6M-47.5M-256.0M-246.8M
Net DEX1.44B727.3M2.29B2.00B2.12B
Net VEX-7.2M-9.8M-5.5M-9.8M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.6610.830.980.87
Total Volume87,341.4767,263177,34689,98165,900
Total OI1,039,955.19633,3401,221,0481,177,228970,358

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$85.59$87.0013.6%4.2%6.5%85.7%16.8%5.5%-0.1%-256.0M2.00B-9.8M0.9844.0045,43244,549405,015772,213
2015-09-02$85.89$87.0013.3%3.5%6.7%82.6%15.2%4.9%-0.5%-264.2M1.72B-9.2M0.9942.2542,73942,333402,046776,413
2015-09-03$86.06$86.0012.6%3.4%6.7%74.3%13.3%4.6%-0.3%-268.1M1.53B-8.6M0.6646.0245,07229,520402,004778,094
2015-09-04$86.01$86.0012.5%3.4%6.6%73.4%13.6%4.2%-0.3%-270.2M1.57B-8.4M1.2955.2552,78967,915403,407777,166
2015-09-08$86.43$86.0012.2%3.5%6.8%69.9%13.5%6.6%-0.5%-266.3M1.21B-8.3M9.7053.546796,584405,208798,078
2015-09-09$86.27$86.0011.6%3.3%6.6%63.0%15.7%3.8%-0.4%-243.6M1.24B-8.1M1.3341.5338,00150,703405,632797,692
2015-09-10$86.49$86.0010.5%3.1%6.7%51.3%14.8%4.0%0.6%-247.4M1.21B-7.8M1.0446.6636,87038,217405,990797,705
2015-09-11$86.45$86.0010.5%3.2%6.7%51.1%12.9%4.3%1.4%-246.4M1.12B-7.2M0.9441.8039,88937,439411,655801,946
2015-09-14$86.27$86.0010.8%3.1%6.7%54.0%14.3%4.2%-0.6%-227.3M1.08B-5.7M0.8142.9959,74748,329403,428793,945
2015-09-15$86.33$86.0010.2%3.0%6.7%47.4%12.5%3.6%-0.0%-225.5M1.20B-6.3M10.8336.061,59617,277397,840793,970
2015-09-16$86.02$86.009.2%2.6%6.8%36.6%15.7%4.5%1.2%-304.7M1.39B-5.5M0.9739.9136,61935,641402,828802,537
2015-09-17$86.17$86.008.8%2.5%6.8%32.4%12.7%4.6%1.9%-196.4M1.13B-5.5M0.9646.0039,00837,538410,626802,947
2015-09-18$85.78$86.008.7%2.5%6.7%30.6%9.8%3.6%0.3%-375.6M1.80B-6.0M1.6333.3937,90661,966416,039805,009
2015-09-21$85.62$86.008.6%2.3%6.7%30.0%8.3%3.2%-0.5%-47.5M727.3M-5.9M1.0334.2527,51828,414213,488419,852
2015-09-22$85.07$86.009.3%2.4%6.3%38.2%9.4%3.6%-0.8%-72.5M897.9M-5.6M1.1130.0731,18434,465225,768423,715
2015-09-23$84.94$86.008.4%2.3%6.2%27.3%9.3%3.4%0.7%-99.9M1.09B-5.8M2.9527.4422,93267,727237,710470,418
2015-09-24$84.51$86.009.1%2.4%5.9%35.4%9.1%3.0%0.7%-133.4M1.32B-6.1M3.1535.6735,474111,725240,472485,106
2015-09-25$84.06$86.009.5%2.7%5.3%40.0%11.3%1.6%0.2%-205.4M1.47B-6.1M5.1028.8729,060148,286255,928525,918
2015-09-28$82.86$86.0013.5%4.4%7.0%84.5%16.0%4.4%0.1%-192.8M2.21B-8.0M3.7734.1228,712108,205255,816606,650
2015-09-29$82.80$86.0014.5%4.3%7.0%95.4%16.2%4.7%-0.4%-232.1M2.29B-8.7M2.7339.2426,85273,359268,417670,010
2015-09-30$83.27$86.0013.6%3.8%7.2%85.3%14.5%4.0%0.1%-246.8M2.12B-9.1M0.8733.2835,18130,719279,600690,758