HYG Options History — June 2016

In June 2016, HYG traded between $82.21 and $84.71. ATM implied volatility averaged 10.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 3.5% (HV 20d: 6.5%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.67.

Notable Days

  • 2016-06-27: Highest Volume — 249,310 contracts
  • 2016-06-13: Largest IV spike — 20.8% change
  • 2016-06-27: Highest IV Rank — 42.8%
  • 2016-06-27: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.64$82.21$84.71$83.32$84.71
Max Pain$83.41$83.00$84.00$83.00$84.00
ATM IV10.0%8.3%12.2%9.0%9.8%
Expected Move2.9%2.3%3.7%2.3%3.0%
HV 20d6.5%4.9%11.3%5.5%11.3%
HV 60d6.8%6.2%8.1%7.2%8.1%
IV Rank26.4%14.2%42.8%19.5%25.4%
IV Percentile46.6%16.3%77.8%31.3%45.2%
Term Structure0.0%-0.5%0.7%0.5%0.3%
VWIV10.9%8.6%13.7%8.8%11.4%
Skew 25d2.6%1.8%3.6%2.1%3.3%
Skew 10d5.5%3.1%9.3%3.3%8.2%
Call IV 25d9.0%7.0%11.5%8.1%8.9%
Put IV 25d11.6%9.5%13.9%10.3%12.2%
Bid-Ask Spread %29.4015.5837.9315.5833.93
Gamma HHI0.190.110.380.210.13
Net GEX-38.9M-269.4M363.7M-3.3M-101.4M
Net DEX470.6M-969.2M1.58B400.2M161.5M
Net VEX-9.3M-12.2M-7.0M-8.3M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.434.880.683.62
Total Volume162,620.09163,408249,310187,567201,916
Total OI1,424,722.409997,6371,787,9531,420,8361,367,791

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$83.32$83.009.0%2.3%5.5%19.5%8.8%2.1%0.5%-3.3M400.2M-8.3M0.6815.58111,54276,025381,9431,038,893
2016-06-02$83.33$83.008.8%2.7%5.3%17.9%9.7%2.2%0.3%110.0M317.1M-8.6M0.7836.66107,22983,913433,0611,068,425
2016-06-03$83.53$83.008.8%2.5%5.3%18.2%8.6%2.3%-0.5%251.0M-5.1M-7.7M0.7631.91116,06688,489448,2811,078,417
2016-06-06$83.87$83.008.5%2.5%5.4%15.9%11.0%2.3%0.3%363.7M-442.5M-7.1M0.8029.9084,54667,932453,7081,090,096
2016-06-07$84.23$83.008.6%2.4%5.5%16.3%9.7%2.4%-0.2%326.6M-630.5M-7.4M0.9628.27120,278116,022450,7161,109,088
2016-06-08$84.54$83.008.3%2.4%4.9%14.2%9.9%2.5%-0.1%277.0M-969.2M-7.0M0.6025.11132,76679,788451,7001,159,503
2016-06-09$84.28$83.008.4%2.4%5.0%15.1%9.5%1.8%0.2%259.4M-648.2M-8.0M0.4327.92111,75948,086472,4221,189,169
2016-06-10$83.81$83.008.8%2.5%5.5%18.2%10.3%1.9%0.1%30.7M192.1M-9.3M0.6935.8396,84367,119461,5251,197,774
2016-06-13$83.30$83.0010.7%3.1%5.7%31.6%11.2%2.5%-0.2%-113.2M857.2M-9.8M1.4137.9357,50480,941441,5631,208,360
2016-06-14$82.96$83.0011.8%3.4%5.5%39.3%12.0%3.0%-0.4%-193.9M1.19B-9.5M1.3719.3863,89187,518447,0251,252,134
2016-06-15$83.00$83.0011.3%3.2%5.5%35.9%11.6%2.8%0.0%-266.6M1.28B-10.2M1.1229.4462,03669,384445,3581,298,139
2016-06-16$83.07$83.0011.2%3.2%5.4%35.6%12.3%2.7%-0.1%-218.2M1.21B-10.2M1.4222.0460,72986,007450,3801,309,421
2016-06-17$83.11$83.0011.1%3.1%5.4%34.4%12.0%2.9%0.7%-269.4M1.20B-10.1M2.0027.0352,252104,735447,8281,340,125
2016-06-20$83.62$84.009.9%2.8%5.7%26.0%9.8%2.3%0.0%-176.5M697.4M-9.8M1.4630.3349,56472,581291,631706,006
2016-06-21$83.97$84.009.6%2.7%5.9%23.3%9.8%3.2%-0.2%-144.5M520.4M-9.8M1.9726.5544,62088,006306,965721,055
2016-06-22$84.01$84.009.8%3.1%5.5%25.2%10.4%2.9%0.2%-109.9M490.6M-9.8M1.3229.1740,92153,864332,948740,414
2016-06-23$84.62$84.009.8%2.8%6.0%25.2%10.5%3.6%-0.2%-42.0M60.2M-8.8M1.6531.7923,89239,516334,913742,788
2016-06-24$83.40$84.0011.2%3.4%8.0%35.1%12.5%2.1%0.0%-154.2M826.5M-9.5M2.1732.0638,54483,573336,505743,339
2016-06-27$82.21$84.0012.2%3.7%9.4%42.8%13.7%2.4%-0.2%-233.0M1.58B-9.2M4.8827.9842,415206,895334,905722,442
2016-06-28$83.10$84.0011.3%3.2%10.3%36.0%13.5%2.5%-0.3%-263.9M1.28B-11.0M4.0034.6739,640158,614350,560869,902
2016-06-29$84.05$84.0010.4%2.9%11.0%29.7%11.2%2.8%0.6%-185.3M771.8M-12.2M2.6133.4044,278115,403351,950964,725
2016-06-30$84.71$84.009.8%3.0%11.3%25.4%11.4%3.3%0.3%-101.4M161.5M-10.3M3.6233.9343,681158,235365,1921,002,599