HYG Options History — May 2016

In May 2016, HYG traded between $82.39 and $83.82. ATM implied volatility averaged 9.7%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.3% (HV 20d: 6.4%). Max pain ranged from $83.00 to $83.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-05-11: Highest Volume — 221,608 contracts
  • 2016-05-10: Largest IV drop — 13.8% change
  • 2016-05-09: Highest IV Rank — 33.2%
  • 2016-05-06: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.11$82.39$83.82$83.52$83.55
Max Pain$83.00$83.00$83.00$83.00$83.00
ATM IV9.7%8.6%10.9%10.4%9.3%
Expected Move2.7%2.2%3.2%2.8%2.2%
HV 20d6.4%5.9%7.3%6.9%5.9%
HV 60d8.0%7.2%8.9%8.9%7.2%
IV Rank24.5%16.6%33.2%29.6%21.2%
IV Percentile46.3%23.0%65.5%58.7%37.7%
Term Structure0.1%-0.4%0.9%-0.1%0.1%
VWIV10.6%8.1%12.7%10.1%12.3%
Skew 25d2.2%0.9%3.4%2.0%0.9%
Skew 10d4.6%2.4%7.5%3.2%4.7%
Call IV 25d8.8%7.7%10.1%10.0%8.7%
Put IV 25d11.0%9.7%12.4%12.0%9.7%
Bid-Ask Spread %26.398.3346.048.3342.44
Gamma HHI0.130.080.270.090.27
Net GEX-28.6M-225.2M176.7M-39.0M176.7M
Net DEX299.3M-271.5M982.2M26.1M-271.5M
Net VEX-8.6M-10.0M-6.3M-7.6M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.531.890.801.47
Total Volume119,555.42976,797221,608143,149163,700
Total OI1,395,208.2381,163,8221,586,3341,163,8221,400,650

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$83.52$83.0010.4%2.8%6.9%29.6%10.1%2.0%-0.1%-39.0M26.1M-7.6M0.808.3379,40263,747297,090866,732
2016-05-03$82.95$83.0010.8%3.0%7.3%32.5%11.3%1.8%-0.3%-98.4M409.8M-8.9M0.9611.1558,09955,536327,969896,778
2016-05-04$82.66$83.0010.8%3.1%7.0%32.5%11.7%2.3%-0.2%-137.2M644.1M-9.9M0.8924.2962,48055,744352,571927,522
2016-05-05$82.56$83.0010.5%3.2%6.5%30.5%12.5%2.1%0.0%-144.8M676.8M-9.5M1.2129.6261,04873,808356,722948,840
2016-05-06$82.45$83.0010.6%3.2%6.4%31.0%11.3%2.9%0.0%-176.5M811.9M-9.3M1.0522.2676,50680,418359,699977,791
2016-05-09$82.39$83.0010.9%3.1%6.3%33.2%11.3%2.6%-0.2%-225.2M982.2M-9.8M1.8922.8437,22070,210367,817991,832
2016-05-10$83.08$83.009.4%2.6%6.8%22.2%10.1%3.4%-0.0%-44.4M252.9M-7.9M1.5819.7953,43084,334371,593993,075
2016-05-11$83.01$83.009.4%2.7%6.3%22.2%9.1%1.8%-0.3%-83.6M444.4M-9.1M0.6919.31131,03990,569389,4971,012,150
2016-05-12$83.16$83.009.2%2.7%6.3%20.8%10.4%2.1%0.6%13.1M151.8M-8.8M0.7023.2966,73046,543454,6911,035,487
2016-05-13$82.75$83.009.8%2.9%6.6%25.4%11.7%1.7%-0.3%-103.1M656.1M-10.0M0.6724.2965,53043,588452,9121,041,040
2016-05-16$83.23$83.009.3%2.7%6.6%21.7%9.6%2.7%0.2%35.4M181.4M-9.0M0.5331.7587,30646,663452,1611,046,557
2016-05-17$83.19$83.009.4%2.7%6.3%21.9%12.7%2.9%-0.4%-11.2M281.2M-8.9M0.8142.1756,30845,793474,7931,042,322
2016-05-18$82.95$83.009.9%2.8%6.4%25.6%11.0%2.7%0.4%-31.4M366.4M-8.9M1.0419.1349,22751,358474,7301,047,306
2016-05-19$82.86$83.0010.0%2.8%6.3%26.2%10.8%2.2%-0.0%-77.7M479.3M-8.7M1.1125.3454,61660,604472,4251,058,789
2016-05-20$83.08$83.009.4%2.6%6.3%22.1%9.8%1.9%0.2%57.0M325.4M-8.7M1.0322.4748,47649,766477,9811,108,353
2016-05-23$83.13$83.009.7%2.6%6.1%24.4%11.0%1.9%0.9%-28.9M314.6M-8.4M1.1026.3336,52840,269402,180943,597
2016-05-24$83.65$83.008.9%2.6%6.4%18.6%10.0%2.5%0.5%48.6M-80.5M-7.7M1.3932.8239,79755,191403,712954,407
2016-05-25$83.82$83.008.6%2.2%6.1%16.6%9.2%2.0%0.9%107.3M-253.6M-7.6M0.9129.9645,10640,976407,281964,556
2016-05-26$83.58$83.008.8%2.5%6.1%17.5%8.8%1.7%0.5%69.6M-38.3M-8.0M0.8130.6545,84637,135408,815958,480
2016-05-27$83.65$83.008.8%2.2%6.1%18.2%8.1%1.9%0.5%93.8M-76.2M-7.4M1.5246.0439,68260,336413,488964,982
2016-05-31$83.55$83.009.3%2.2%5.9%21.2%12.3%0.9%0.1%176.7M-271.5M-6.3M1.4742.4466,21197,489417,663982,987