HYG Options History — October 2015

In October 2015, HYG traded between $82.40 and $85.86. ATM implied volatility averaged 9.3%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.2% (HV 20d: 9.1%). Max pain ranged from $82.00 to $86.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-10-07: Highest Volume — 147,985 contracts
  • 2015-10-19: Largest IV drop — 19.4% change
  • 2015-10-02: Highest IV Rank — 97.7%
  • 2015-10-01: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.87$82.40$85.86$82.42$85.56
Max Pain$83.95$82.00$86.00$86.00$85.00
ATM IV9.3%6.3%14.7%14.5%7.1%
Expected Move2.6%1.8%4.3%4.3%1.9%
HV 20d9.1%6.5%10.2%7.6%6.5%
HV 60d7.4%6.8%7.7%6.8%7.3%
IV Rank37.2%4.7%97.7%95.8%13.6%
IV Percentile48.9%1.6%99.6%99.6%14.3%
Term Structure0.4%-0.9%1.4%0.1%0.9%
VWIV11.2%6.4%17.1%17.1%9.4%
Skew 25d2.9%1.7%5.0%4.0%2.6%
Skew 10d6.5%2.6%12.4%4.6%6.3%
Call IV 25d8.2%5.8%13.1%13.1%5.8%
Put IV 25d11.1%7.8%17.2%17.1%8.4%
Bid-Ask Spread %28.1313.3149.0823.4018.50
Gamma HHI0.110.080.150.110.11
Net GEX-119.4M-252.8M-19.4M-244.1M-111.1M
Net DEX849.2M288.0M2.48B2.33B478.7M
Net VEX-7.7M-9.5M-6.6M-9.3M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.602.261.760.88
Total Volume86,809.59143,114147,98566,15390,140
Total OI1,084,528.136967,3761,224,9711,003,0251,080,228

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$82.42$86.0014.5%4.3%7.6%95.8%17.1%4.0%0.1%-244.1M2.33B-9.3M1.7623.4024,00242,151298,377704,648
2015-10-02$82.40$85.0014.7%4.1%7.5%97.7%13.7%4.5%-0.1%-252.8M2.48B-9.5M0.7413.3173,61954,267312,557748,882
2015-10-05$83.43$83.0013.6%3.9%9.1%85.4%12.9%5.0%-0.5%-226.9M1.82B-9.0M1.5039.3628,77143,256299,448727,027
2015-10-06$83.89$82.0012.6%3.4%9.2%74.8%15.7%4.0%0.7%-183.8M1.49B-8.7M0.7428.6954,73840,623324,443733,428
2015-10-07$84.68$83.0012.1%3.3%10.0%68.7%12.5%3.3%0.7%-154.8M1.00B-8.8M0.6549.0889,84058,145328,999742,809
2015-10-08$85.12$83.0010.4%2.9%10.1%50.1%11.3%2.5%-0.9%-67.7M525.7M-7.5M0.7441.4370,36551,820356,912764,679
2015-10-09$85.03$83.009.6%2.9%10.1%40.4%12.0%2.1%0.5%-76.7M536.9M-7.4M1.0134.8364,73965,572358,685773,413
2015-10-12$84.94$83.0010.1%2.9%10.1%46.8%12.6%2.5%0.2%-136.4M763.6M-8.2M0.8637.2462,47453,515362,374790,029
2015-10-13$84.71$83.009.8%2.8%10.1%43.5%12.6%3.5%-0.3%-177.7M965.5M-8.4M1.4037.1740,27656,478362,898795,358
2015-10-14$84.71$83.009.4%2.7%10.1%39.1%12.8%3.5%-0.3%-212.0M1.04B-8.5M0.6336.5440,09925,272362,603826,297
2015-10-15$84.82$83.009.0%2.6%10.1%33.8%14.9%3.3%0.5%-192.0M829.3M-7.5M1.1023.7346,05750,506368,972825,117
2015-10-16$85.25$83.009.2%2.6%10.2%36.1%11.1%2.7%-0.1%-129.9M539.9M-8.1M0.8431.4449,93641,804381,302843,669
2015-10-19$85.50$83.007.4%2.1%10.2%16.3%8.5%2.6%-0.2%-22.9M338.7M-6.7M0.8028.1327,16821,664285,591681,785
2015-10-20$85.55$84.007.1%2.0%9.9%12.7%8.2%2.4%0.3%-36.9M403.1M-7.0M0.6015.8930,99818,469287,461691,930
2015-10-21$85.50$85.006.5%1.9%9.9%6.7%8.7%2.3%0.9%-55.6M420.4M-7.0M2.2618.6929,57566,964292,203730,876
2015-10-22$85.50$85.007.1%2.0%9.7%13.7%8.7%2.5%1.3%-61.4M455.9M-7.2M2.0328.3129,36859,670294,563760,122
2015-10-23$85.86$85.006.6%1.9%9.5%7.5%7.4%2.5%0.4%-28.4M288.0M-6.6M1.4026.0536,81651,638297,165761,079
2015-10-26$85.78$85.006.3%1.9%7.7%4.7%6.4%1.7%1.3%-19.4M374.5M-6.6M1.7617.5522,11739,025301,834769,650
2015-10-27$85.44$85.006.6%1.9%7.9%7.4%7.9%2.2%0.4%-60.9M595.4M-7.1M1.9217.7617,85734,276306,413764,403
2015-10-28$85.66$85.007.1%1.8%7.7%13.0%11.1%2.6%1.4%-39.7M500.7M-6.9M1.2729.5219,01624,098307,434773,499
2015-10-29$85.49$85.006.8%2.0%6.5%10.1%11.4%2.1%0.7%-136.7M492.5M-6.9M1.3922.1926,17236,455306,325774,132
2015-10-30$85.56$85.007.1%1.9%6.5%13.6%9.4%2.6%0.9%-111.1M478.7M-6.7M0.8818.5048,07342,067306,567773,661