HYG Options History — July 2016

In July 2016, HYG traded between $84.04 and $86.24. ATM implied volatility averaged 8.5%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 2.3% (HV 20d: 10.8%). Max pain ranged from $84.00 to $85.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.19.

Notable Days

  • 2016-07-12: Highest Volume — 179,533 contracts
  • 2016-07-08: Largest IV drop — 14.7% change
  • 2016-07-05: Highest IV Rank — 30.8%
  • 2016-07-06: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.44$84.04$86.24$84.43$85.35
Max Pain$84.65$84.00$85.00$85.00$85.00
ATM IV8.5%7.3%10.6%10.0%7.6%
Expected Move2.4%2.0%3.1%2.7%2.2%
HV 20d10.8%7.0%12.2%11.4%7.0%
HV 60d8.2%8.0%8.3%8.0%8.1%
IV Rank15.5%7.0%30.8%26.2%9.5%
IV Percentile18.2%4.0%56.3%47.6%6.7%
Term Structure0.2%-0.6%1.1%0.1%0.6%
VWIV9.7%8.2%13.7%9.8%9.4%
Skew 25d2.5%1.7%4.0%2.1%2.7%
Skew 10d5.6%2.6%8.7%5.6%5.2%
Call IV 25d7.6%6.2%9.6%9.0%6.9%
Put IV 25d10.0%8.5%12.0%11.1%9.6%
Bid-Ask Spread %40.4622.7156.3222.7139.79
Gamma HHI0.170.120.250.120.15
Net GEX91.7M-171.8M326.9M-148.5M-5.7M
Net DEX-291.2M-1.03B697.5M455.7M266.5M
Net VEX-8.5M-10.6M-6.4M-9.9M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.774.041.721.38
Total Volume128,360.1573,869179,533154,053113,946
Total OI1,446,826.751,278,9801,548,5491,396,4931,519,640

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$84.43$85.0010.0%2.7%11.4%26.2%9.8%2.1%0.1%-148.5M455.7M-9.9M1.7222.7156,57397,480321,8801,074,613
2016-07-05$84.04$84.0010.6%3.0%11.5%30.8%13.7%2.6%-0.1%-171.8M697.5M-10.6M3.0725.1631,32496,286351,5951,063,890
2016-07-06$84.33$84.0010.1%3.1%11.4%27.5%12.3%2.4%-0.1%-101.8M473.6M-10.3M2.9129.8929,67386,211355,1481,073,388
2016-07-07$84.50$84.0010.2%2.9%11.4%27.8%10.4%2.9%0.0%-59.7M346.4M-10.6M1.5940.9141,06065,447357,5511,075,232
2016-07-08$85.62$84.008.7%2.6%12.2%16.9%8.8%4.0%0.1%137.1M-819.3M-6.5M1.1326.9671,57980,889363,2591,080,967
2016-07-11$85.77$84.008.4%2.3%12.0%15.1%9.8%2.8%-0.0%155.3M-933.0M-7.0M3.1233.5628,69489,610396,2001,094,952
2016-07-12$85.91$84.008.3%2.3%11.7%14.5%8.8%2.5%-0.6%136.1M-1.03B-7.1M2.1436.9957,168122,365395,4381,117,269
2016-07-13$85.67$84.008.5%2.4%11.6%15.6%10.6%1.8%-0.6%127.5M-753.2M-8.1M2.4738.6739,85098,257392,6801,123,674
2016-07-14$85.80$85.008.4%2.3%11.6%14.8%11.0%2.2%0.3%86.2M-587.7M-8.8M2.6632.8338,401102,292406,4481,129,242
2016-07-15$85.64$85.008.2%2.3%11.7%13.5%9.1%2.8%-0.5%97.9M-675.1M-7.9M1.8538.5950,40393,491406,5361,142,013
2016-07-18$85.90$85.008.0%2.3%11.7%12.3%8.4%2.4%1.1%75.8M-324.0M-8.5M0.7750.4981,18962,917353,078925,902
2016-07-19$85.69$85.007.9%2.2%11.6%11.0%9.5%2.4%0.1%157.0M-325.4M-8.8M1.4845.3466,90298,832403,454936,682
2016-07-20$85.95$85.007.5%2.1%11.6%8.1%8.8%1.7%1.0%214.0M-651.7M-7.6M1.1054.4061,74167,624413,850974,031
2016-07-21$85.79$85.007.5%2.1%11.6%8.3%8.6%2.0%1.0%221.1M-607.4M-7.8M1.7148.2644,82076,567419,003980,339
2016-07-22$86.24$85.007.3%2.0%11.5%7.0%8.3%2.6%0.5%326.9M-960.9M-6.4M2.6346.4934,82791,473419,185978,321
2016-07-25$85.71$85.008.0%2.1%10.4%12.2%8.2%1.7%0.1%218.5M-421.1M-8.7M3.4147.3525,02685,414427,4241,010,628
2016-07-26$85.47$85.008.3%2.3%8.7%14.0%9.3%2.3%0.2%134.6M17.2M-9.0M4.0446.2823,34094,264427,3181,040,233
2016-07-27$85.66$85.008.0%2.2%8.1%12.1%11.0%2.7%0.3%182.8M-175.8M-7.8M2.4656.3221,36152,508428,0021,060,451
2016-07-28$85.26$85.008.0%2.2%7.5%11.9%8.8%2.4%0.6%50.1M179.4M-9.0M2.1048.1328,17959,220428,3081,068,711
2016-07-29$85.35$85.007.6%2.2%7.0%9.5%9.4%2.7%0.6%-5.7M266.5M-9.2M1.3839.7947,79966,147436,4991,083,141