HYG Options History — November 2015

In November 2015, HYG traded between $82.77 and $85.57. ATM implied volatility averaged 8.2%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.2% (HV 20d: 5.0%). Max pain ranged from $85.00 to $86.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2015-11-02: Highest Volume — 116,807 contracts
  • 2015-11-18: Largest IV drop — 12.0% change
  • 2015-11-23: Highest IV Rank — 36.7%
  • 2015-11-17: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.77$82.77$85.57$85.42$83.05
Max Pain$85.70$85.00$86.00$85.00$85.00
ATM IV8.2%7.2%9.2%7.4%9.1%
Expected Move2.3%1.8%2.5%1.9%2.3%
HV 20d5.0%4.1%5.8%5.3%5.4%
HV 60d7.3%7.0%7.6%7.3%7.0%
IV Rank25.8%13.9%36.7%16.5%35.8%
IV Percentile44.7%15.9%69.4%22.2%65.5%
Term Structure0.2%-1.0%1.5%-0.4%-0.3%
VWIV9.2%7.0%11.3%8.2%8.7%
Skew 25d2.6%1.7%3.7%2.0%2.8%
Skew 10d5.7%2.6%8.5%6.5%8.5%
Call IV 25d7.4%6.6%8.5%6.6%8.2%
Put IV 25d10.1%8.6%11.3%8.6%11.0%
Bid-Ask Spread %22.9611.6952.7111.6915.70
Gamma HHI0.160.110.270.120.19
Net GEX-372.1M-667.2M-77.6M-98.7M-355.4M
Net DEX1.78B639.4M2.74B665.3M1.90B
Net VEX-5.9M-6.9M-5.1M-6.9M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.657.443.057.44
Total Volume78,146.129,646116,807116,80749,238
Total OI1,114,478.951,024,8151,242,7061,077,7401,120,601

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$85.42$85.007.4%1.9%5.3%16.5%8.2%2.0%-0.4%-98.7M665.3M-6.9M3.0511.6928,85787,950295,769781,971
2015-11-03$85.57$85.007.4%1.8%5.1%16.2%7.0%1.7%0.2%-77.6M639.4M-6.8M1.9312.9528,95355,794298,486754,227
2015-11-04$85.30$85.007.2%1.9%4.2%13.9%7.9%2.7%0.7%-83.5M661.0M-6.7M1.7717.7238,28267,738299,107751,377
2015-11-05$84.95$86.007.4%2.3%4.1%16.2%11.3%2.0%-0.4%-157.6M835.1M-6.8M1.6226.9438,00461,564300,949764,743
2015-11-06$84.54$86.007.8%2.3%4.4%21.1%10.2%2.5%0.1%-272.3M1.30B-6.7M1.5152.7112,65319,107298,093787,352
2015-11-09$84.19$86.008.4%2.5%4.6%27.2%9.9%2.5%0.4%-323.9M1.48B-6.1M0.6517.9317,94611,700291,045794,287
2015-11-10$84.06$86.008.2%2.5%4.5%25.3%9.2%2.5%0.3%-398.5M1.76B-5.9M1.8520.6832,25059,609300,718794,810
2015-11-11$84.04$86.008.1%2.4%4.5%23.8%8.9%2.4%0.2%-394.3M1.78B-6.2M1.6435.1632,23552,844297,932813,908
2015-11-12$83.28$86.008.1%2.5%5.4%24.2%9.5%2.3%0.6%-460.0M2.18B-5.6M2.2623.3828,43664,254297,930815,488
2015-11-13$83.08$86.008.0%2.4%5.0%23.6%8.5%2.9%0.3%-562.2M2.51B-5.9M1.2324.3729,47836,241308,752848,168
2015-11-16$83.39$86.008.4%2.5%5.1%27.1%10.0%2.7%-1.0%-526.4M2.33B-5.5M1.5023.8228,48442,860316,428839,801
2015-11-17$83.45$86.008.7%2.5%5.1%30.8%10.7%3.0%0.0%-511.5M2.22B-5.9M1.0126.6438,04038,460337,879862,529
2015-11-18$83.64$86.007.6%2.2%5.2%19.3%10.5%2.5%1.5%-473.3M1.90B-5.6M0.7225.7536,50326,176339,254865,656
2015-11-19$82.92$86.008.5%2.4%5.8%28.2%9.3%3.3%0.4%-571.9M2.59B-5.5M1.5422.9240,57762,481346,675863,911
2015-11-20$82.87$86.008.7%2.5%5.4%30.9%9.5%3.6%0.4%-667.2M2.74B-5.5M1.8816.1230,20656,728355,766886,940
2015-11-23$82.77$86.009.2%2.4%5.4%36.7%10.3%3.7%0.2%-398.0M2.27B-5.4M1.2131.6413,82216,674287,674737,141
2015-11-24$82.88$86.009.2%2.3%5.5%36.6%7.3%3.3%-0.1%-398.4M2.13B-5.2M0.7116.6853,26037,934299,676736,729
2015-11-25$82.93$85.008.7%2.2%5.3%31.2%8.1%2.3%0.2%-352.6M1.96B-5.1M1.2517.2243,10454,019348,077730,397
2015-11-27$83.10$85.008.7%2.1%5.5%31.0%9.4%2.0%0.1%-359.6M1.79B-5.1M1.9719.2030,44460,017374,240745,093
2015-11-30$83.05$85.009.1%2.3%5.4%35.8%8.7%2.8%-0.3%-355.4M1.90B-5.2M7.4415.705,83343,405372,214748,387