HYG Options History — April 2016

In April 2016, HYG traded between $80.90 and $83.87. ATM implied volatility averaged 9.7%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.1% (HV 20d: 7.6%). Max pain ranged from $81.00 to $83.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2016-04-19: Highest Volume — 177,102 contracts
  • 2016-04-21: Largest IV spike — 15.5% change
  • 2016-04-04: Highest IV Rank — 32.8%
  • 2016-04-07: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.55$80.90$83.87$81.43$83.87
Max Pain$82.05$81.00$83.00$81.00$83.00
ATM IV9.7%8.6%10.6%9.9%9.4%
Expected Move2.8%2.5%3.1%2.5%2.8%
HV 20d7.6%6.8%9.1%8.6%6.8%
HV 60d10.0%8.9%10.9%10.7%8.9%
IV Rank26.4%18.9%32.8%27.9%22.0%
IV Percentile50.9%31.3%61.1%56.7%46.8%
Term Structure0.1%-0.8%0.8%0.8%0.3%
VWIV11.1%9.2%14.4%9.6%10.5%
Skew 25d2.4%1.7%3.2%2.8%2.1%
Skew 10d4.4%2.8%5.5%4.7%4.4%
Call IV 25d8.8%7.7%10.2%8.6%8.8%
Put IV 25d11.2%9.5%12.6%11.3%10.9%
Bid-Ask Spread %39.0013.2570.6313.2528.25
Gamma HHI0.130.090.310.110.12
Net GEX21.8M-75.5M244.4M-3.4M-4.9M
Net DEX-201.1M-747.1M311.1M64.1M-489.0M
Net VEX-6.9M-8.1M-5.5M-6.5M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.422.150.661.08
Total Volume104,995.04850,684177,102112,107157,252
Total OI1,097,434.857907,0571,242,5451,044,0571,163,779

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$81.43$81.009.9%2.5%8.6%27.9%9.6%2.8%0.8%-3.4M64.1M-6.5M0.6613.2567,60744,500323,144720,913
2016-04-04$81.17$82.0010.6%2.9%8.6%32.8%12.2%2.0%-0.8%-49.6M190.4M-6.8M0.7231.7241,43629,901318,815729,929
2016-04-05$80.90$82.0010.5%2.9%8.7%32.7%13.2%2.9%-0.1%-75.5M311.1M-6.7M1.0239.2848,63749,388320,674731,904
2016-04-06$81.58$82.0010.2%2.8%8.8%30.0%14.4%3.2%0.1%2.7M28.4M-6.6M0.6261.6353,17432,741323,695761,568
2016-04-07$81.08$82.0010.3%3.1%9.1%30.9%12.8%2.5%0.3%-38.3M236.2M-7.3M0.7149.4230,48221,768342,834768,994
2016-04-08$81.52$82.0010.4%3.0%9.0%31.5%13.0%2.5%-0.1%42.0M16.9M-7.0M0.9147.8541,70638,067343,264774,898
2016-04-11$81.71$82.0010.4%2.9%7.8%31.6%12.0%3.0%-0.2%57.8M-156.0M-6.0M0.7954.6434,04427,053351,597778,136
2016-04-12$82.12$82.009.8%2.9%7.9%27.7%12.1%2.9%0.6%124.3M-308.1M-6.3M0.6850.6530,23320,451356,597783,402
2016-04-13$82.69$82.009.3%2.8%7.5%24.0%11.9%2.9%0.6%244.4M-747.1M-5.8M1.1241.5357,27964,253356,342783,531
2016-04-14$82.53$82.008.6%2.5%7.2%19.0%10.1%2.2%0.0%167.1M-620.2M-5.5M2.0570.6355,239113,250346,087819,784
2016-04-15$82.48$82.008.9%2.7%6.9%21.3%11.1%2.1%0.8%12.1M-335.0M-6.9M2.1544.4335,45276,228357,469885,076
2016-04-18$82.97$82.009.0%2.6%7.2%21.5%9.2%1.7%0.4%32.7M-364.5M-6.0M0.4225.1157,33824,290278,022629,035
2016-04-19$83.37$82.009.2%2.6%7.4%22.9%9.7%2.0%0.6%38.5M-460.2M-6.4M1.8427.9062,319114,783283,546630,079
2016-04-20$83.51$82.008.6%2.5%7.2%18.9%10.3%2.1%0.4%25.6M-459.2M-7.5M0.8435.6963,80353,836317,756732,008
2016-04-21$83.21$82.009.9%2.9%7.2%28.3%10.3%2.3%-0.4%-22.2M-194.7M-7.8M1.5330.9456,39586,521305,688745,493
2016-04-22$83.43$82.009.6%2.8%6.9%25.7%10.3%2.1%-0.4%-13.9M-250.3M-8.0M1.0928.9455,15760,031317,913800,938
2016-04-25$83.10$82.0010.0%2.8%6.8%28.5%10.1%2.3%0.2%-25.2M-48.7M-7.7M0.9331.4561,17256,612316,729811,297
2016-04-26$83.35$82.009.3%2.7%6.8%24.1%9.6%1.7%0.4%-28.2M-6.1M-8.1M1.0735.2238,23940,905315,462814,247
2016-04-27$83.86$82.509.9%2.8%6.9%25.8%10.5%2.3%-0.7%20.8M-354.8M-7.2M2.1535.3137,21980,082316,637818,592
2016-04-28$83.71$82.5010.2%2.9%7.0%28.0%10.7%2.3%-0.2%-48.2M-275.6M-8.0M0.8835.1845,86540,188318,327851,931
2016-04-29$83.87$83.009.4%2.8%6.8%22.0%10.5%2.1%0.3%-4.9M-489.0M-6.8M1.0828.2575,45781,795321,010842,769