HYG Options History — January 2016

In January 2016, HYG traded between $76.95 and $80.29. ATM implied volatility averaged 13.3%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.4% (HV 20d: 11.9%). Max pain ranged from $79.00 to $82.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.96.

Notable Days

  • 2016-01-12: Highest Volume — 194,013 contracts
  • 2016-01-20: Largest IV spike — 16.1% change
  • 2016-01-20: Highest IV Rank — 67.5%
  • 2016-01-20: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.90$76.95$80.29$80.10$79.24
Max Pain$79.74$79.00$82.00$79.00$79.00
ATM IV13.3%11.7%15.5%13.7%13.0%
Expected Move3.8%3.4%4.4%3.7%3.9%
HV 20d11.9%9.8%14.4%14.4%11.3%
HV 60d9.8%9.1%10.8%9.2%10.8%
IV Rank51.9%41.1%67.5%55.1%49.7%
IV Percentile91.5%81.0%98.8%96.4%88.5%
Term Structure-0.1%-0.8%0.8%-0.3%0.1%
VWIV14.2%11.9%16.1%15.2%14.9%
Skew 25d4.2%2.5%6.0%5.6%3.6%
Skew 10d8.3%5.3%11.3%10.0%5.3%
Call IV 25d11.8%11.0%13.0%11.8%11.8%
Put IV 25d16.0%14.1%19.0%17.4%15.4%
Bid-Ask Spread %31.239.5360.8950.1611.33
Gamma HHI0.130.090.510.100.10
Net GEX-191.8M-753.7M18.4M-51.1M18.4M
Net DEX1.70B667.5M3.40B1.29B667.5M
Net VEX-9.4M-10.6M-8.7M-9.7M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.255.160.861.03
Total Volume114,923.31648,652194,01383,86451,025
Total OI1,533,262.5791,053,5251,991,3411,740,4351,369,848

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$80.10$79.0013.7%3.7%14.4%55.1%15.2%5.6%-0.3%-51.1M1.29B-9.7M0.8650.1644,97538,889757,812982,623
2016-01-05$80.25$79.0013.5%3.6%14.4%53.5%13.0%4.9%-0.2%-10.9M1.12B-9.7M1.8660.8929,08354,173763,007980,785
2016-01-06$80.29$79.0012.9%3.7%14.3%49.0%15.0%4.8%0.1%-11.5M1.09B-9.2M2.6054.9740,024104,234775,892993,412
2016-01-07$79.83$79.0014.0%3.8%13.7%57.2%15.8%4.7%-0.2%-96.2M1.49B-9.7M2.8747.9238,470110,255789,2841,017,079
2016-01-08$79.55$80.0014.0%3.8%13.5%57.0%16.1%3.4%-0.4%-179.3M1.76B-9.8M1.6246.9240,43065,509801,9231,032,628
2016-01-11$79.43$82.0014.0%4.0%13.4%56.7%15.0%4.0%0.1%-213.5M1.80B-9.2M2.3142.2927,83464,403802,9011,029,497
2016-01-12$79.49$82.0013.1%3.6%11.3%50.7%12.6%3.6%-0.3%-245.1M1.80B-8.9M1.3640.6282,283111,730813,7401,056,590
2016-01-13$78.53$81.0013.4%3.7%11.8%52.6%14.1%3.1%-0.8%-443.5M2.70B-9.0M5.1648.1421,729112,134837,9011,096,146
2016-01-14$78.95$81.0012.4%3.4%10.4%45.5%13.8%5.0%-0.3%-444.7M2.53B-9.0M2.6025.7123,79661,952840,4911,137,953
2016-01-15$77.94$81.0013.2%3.6%10.5%51.1%15.0%5.9%-0.6%-753.7M3.40B-8.7M4.0125.7737,709151,136843,6291,147,712
2016-01-19$77.55$80.0013.3%3.8%9.8%52.3%14.0%4.3%0.0%-205.8M1.93B-8.8M1.0025.1434,02434,092413,800639,725
2016-01-20$76.95$79.0015.5%4.4%10.0%67.5%15.9%6.0%-0.2%-190.5M2.12B-8.9M2.8620.7944,259126,482421,061643,050
2016-01-21$77.65$79.0013.8%4.0%10.6%55.5%13.8%4.2%-0.6%-207.8M1.98B-9.4M2.6722.7626,19970,069435,692693,652
2016-01-22$78.74$79.0012.3%3.6%11.0%44.9%12.5%3.6%-0.6%-190.2M1.47B-9.1M1.8623.0737,16969,029441,754699,716
2016-01-25$78.08$79.0012.9%3.7%10.9%49.0%14.3%3.5%0.5%-167.8M1.61B-9.3M1.2810.9621,35127,301450,869692,033
2016-01-26$78.77$79.0011.7%3.6%11.5%41.1%11.9%4.2%0.8%-128.3M1.30B-9.0M0.2512.9599,99825,085466,494702,139
2016-01-27$78.67$79.0012.4%3.8%11.4%45.8%13.5%2.5%0.7%-96.4M1.30B-9.7M0.6013.4197,82259,142538,644703,193
2016-01-28$79.08$79.0013.1%4.0%11.3%51.0%13.4%3.3%-0.3%-27.0M972.7M-10.2M0.419.5370,71129,037582,230737,084
2016-01-29$79.24$79.0013.0%3.9%11.3%49.7%14.9%3.6%0.1%18.4M667.5M-10.6M1.0311.3325,18625,839629,207740,641