HYG Options History — December 2015

In December 2015, HYG traded between $78.81 and $83.24. ATM implied volatility averaged 12.5%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.0% (HV 20d: 10.5%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2015-12-11: Highest Volume — 931,117 contracts
  • 2015-12-11: Largest IV spike — 61.7% change
  • 2015-12-11: Highest IV Rank — 100.0%
  • 2015-12-11: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.83$78.81$83.24$83.24$80.62
Max Pain$83.09$82.00$85.00$85.00$82.00
ATM IV12.5%8.7%20.1%8.7%12.4%
Expected Move3.6%2.3%5.8%2.3%3.5%
HV 20d10.5%5.4%14.3%5.6%14.3%
HV 60d8.7%7.0%9.9%7.1%9.3%
IV Rank52.9%31.2%100.0%31.2%45.8%
IV Percentile86.6%56.7%100.0%56.7%90.5%
Term Structure0.5%-0.4%2.4%0.6%0.2%
VWIV14.0%8.6%23.4%8.6%13.6%
Skew 25d4.1%2.3%6.4%3.8%4.0%
Skew 10d8.8%4.6%15.5%7.9%9.6%
Call IV 25d11.0%7.0%17.7%7.3%10.4%
Put IV 25d15.1%9.9%24.1%11.1%14.4%
Bid-Ask Spread %27.919.1248.3816.679.12
Gamma HHI0.130.090.190.180.10
Net GEX-226.9M-421.0M133.3M-299.0M133.3M
Net DEX2.32B785.8M4.59B1.56B785.8M
Net VEX-9.1M-12.8M-5.0M-5.8M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.343.671.330.63
Total Volume238,726.54545,184931,11745,184125,999
Total OI1,707,5481,157,2272,506,4381,157,2271,839,071

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$83.24$85.008.7%2.3%5.6%31.2%8.6%3.8%0.6%-299.0M1.56B-5.8M1.3316.6719,43125,753375,478781,749
2015-12-02$83.06$85.009.0%2.6%5.5%34.2%9.1%2.9%0.1%-294.5M1.58B-5.6M1.4013.7334,70148,684396,266786,832
2015-12-03$82.81$85.009.2%2.7%5.5%36.0%11.3%2.9%-0.0%-338.1M1.76B-5.6M1.2738.0934,77144,175400,298784,562
2015-12-04$82.66$85.009.3%2.7%5.4%38.2%10.7%2.3%-0.4%-371.1M2.00B-5.2M0.9727.0264,40562,215401,286796,036
2015-12-07$82.08$84.0010.2%3.1%5.6%47.0%11.6%2.6%0.6%-404.6M2.29B-5.4M1.5031.4348,37172,497434,644796,891
2015-12-08$81.03$84.0010.7%3.3%6.9%52.9%12.8%2.9%1.4%-421.0M2.97B-5.0M1.1732.2676,89290,177471,921785,052
2015-12-09$81.49$84.0011.1%3.5%7.4%57.3%12.2%3.8%1.2%-370.3M2.63B-5.8M0.3440.06163,32355,785507,777818,295
2015-12-10$81.04$84.0011.5%3.7%7.5%62.3%15.5%2.6%1.9%-355.2M2.84B-6.1M2.3535.77132,319310,835556,534823,317
2015-12-11$79.40$84.0018.6%5.8%9.7%100.0%21.0%5.7%2.4%-375.8M4.30B-8.7M1.5023.05372,570558,547565,6961,070,955
2015-12-14$78.81$83.0020.1%5.7%9.9%100.0%23.4%6.4%0.2%-377.7M4.59B-10.7M3.6719.36163,645601,041797,0831,203,654
2015-12-15$80.09$83.0017.6%5.0%11.7%82.2%18.7%6.1%-0.4%-354.8M3.68B-11.8M0.6219.07276,021170,821840,5161,359,778
2015-12-16$80.88$82.0012.7%3.6%12.5%47.7%13.0%4.3%0.2%-213.4M2.74B-12.7M0.5922.77202,852120,2401,001,2851,416,515
2015-12-17$79.87$82.0014.5%4.2%13.0%60.3%16.9%5.8%-0.4%-363.3M3.86B-12.8M1.0723.78113,826121,6391,049,9841,433,866
2015-12-18$79.54$82.0013.3%3.7%12.8%51.9%14.6%5.3%1.5%-417.0M4.43B-11.8M0.8328.73140,350117,0851,056,6181,449,820
2015-12-21$79.25$82.0013.4%3.8%12.8%52.7%15.1%4.2%0.3%-187.8M2.27B-11.1M0.5629.0882,11946,090781,352946,839
2015-12-22$80.19$82.0012.0%3.4%13.7%43.2%11.5%4.9%0.4%-69.9M1.54B-11.1M0.5241.49104,24754,520794,254952,269
2015-12-23$80.74$82.0012.0%3.4%14.0%42.8%11.2%3.6%0.0%-7.2M1.09B-11.3M0.7348.38103,19375,810818,715972,002
2015-12-24$80.49$82.0012.0%3.4%14.0%42.9%19.2%4.0%0.1%6.4M1.02B-11.4M0.6938.4876,90353,129829,666991,482
2015-12-28$80.01$82.0013.0%3.5%14.0%49.7%14.4%3.9%0.4%-37.5M1.33B-10.8M0.4136.3763,45625,839835,765983,563
2015-12-29$80.50$82.0011.9%3.3%14.3%42.2%11.0%4.0%0.5%42.4M914.9M-10.0M0.5224.4568,23135,655838,801987,541
2015-12-30$80.54$82.0012.1%3.2%14.2%43.9%12.3%4.2%0.2%85.5M889.8M-10.7M0.4114.8266,77327,049842,596989,432
2015-12-31$80.62$82.0012.4%3.5%14.3%45.8%13.6%4.0%0.2%133.3M785.8M-10.3M0.639.1277,44548,554847,374991,697