HYG Options History — August 2016

In August 2016, HYG traded between $84.38 and $87.08. ATM implied volatility averaged 7.4%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.0% (HV 20d: 6.4%). Max pain ranged from $85.00 to $85.50. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.62.

Notable Days

2016-08-31: Highest Volume — 247,454 contracts
2016-08-17: Largest IV drop — 11.5% change
2016-08-02: Highest IV Rank — 22.4%
2016-08-02: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.19	$84.38	$87.08	$84.53	$86.72
Max Pain	$85.02	$85.00	$85.50	$85.50	$85.00
ATM IV	7.4%	6.4%	9.4%	9.4%	7.4%
Expected Move	2.1%	1.7%	2.6%	2.5%	1.9%
HV 20d	6.4%	4.5%	8.0%	7.7%	4.6%
HV 60d	8.3%	8.2%	8.5%	8.4%	8.3%
IV Rank	7.8%	0.2%	22.4%	22.2%	7.7%
IV Percentile	8.8%	0.4%	37.7%	36.5%	11.1%
Term Structure	0.1%	-0.7%	0.9%	-0.7%	0.3%
VWIV	8.8%	7.1%	14.2%	8.9%	14.2%
Skew 25d	2.2%	1.4%	3.1%	1.9%	1.9%
Skew 10d	4.8%	3.0%	7.2%	4.6%	5.0%
Call IV 25d	6.6%	5.4%	8.7%	8.3%	6.4%
Put IV 25d	8.8%	7.5%	11.3%	10.2%	8.3%
Bid-Ask Spread %	27.96	22.32	35.09	26.18	33.45
Gamma HHI	0.20	0.11	0.35	0.12	0.12
Net GEX	30.7M	-157.6M	187.1M	-110.3M	-100.5M
Net DEX	-242.3M	-1.05B	1.23B	1.04B	-93.1M
Net VEX	-7.4M	-10.5M	-4.9M	-9.5M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.62	0.52	11.01	1.80	0.52
Total Volume	117,252.043	10,098	247,454	127,768	247,454
Total OI	1,569,563.478	1,345,142	1,790,229	1,488,000	1,484,388

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$84.53	$85.50	9.4%	2.5%	7.7%	22.2%	8.9%	1.9%	-0.7%	-110.3M	1.04B	-9.5M	1.80	26.18	45,654	82,114	385,976	1,102,024
2016-08-02	$84.38	$85.00	9.4%	2.6%	7.6%	22.4%	9.3%	2.1%	-0.3%	-157.6M	1.23B	-10.4M	2.40	32.89	57,037	136,983	398,525	1,114,090
2016-08-03	$84.87	$85.00	8.9%	2.4%	7.8%	18.8%	9.0%	3.1%	-0.3%	-138.6M	916.8M	-10.5M	1.52	29.53	53,528	81,150	405,304	1,180,334
2016-08-04	$85.39	$85.00	8.4%	2.5%	8.0%	15.2%	9.8%	2.7%	-0.4%	18.9M	239.4M	-8.7M	1.49	30.11	53,277	79,257	403,326	1,178,829
2016-08-05	$85.59	$85.00	8.0%	2.3%	6.5%	12.2%	8.8%	2.0%	-0.0%	66.4M	32.5M	-8.6M	1.52	24.24	55,260	83,861	408,130	1,185,511
2016-08-08	$85.90	$85.00	7.7%	2.2%	6.6%	9.6%	9.9%	2.6%	0.3%	90.2M	-168.7M	-8.0M	1.50	24.13	49,843	74,537	404,912	1,210,303
2016-08-09	$86.16	$85.00	7.7%	2.2%	6.7%	10.1%	8.5%	2.3%	0.2%	113.0M	-484.5M	-7.7M	1.93	23.27	54,380	105,185	410,367	1,215,663
2016-08-10	$86.07	$85.00	7.6%	2.1%	6.6%	8.8%	8.4%	2.0%	-0.4%	70.0M	-206.7M	-8.3M	1.42	22.32	45,117	64,057	419,085	1,250,048
2016-08-11	$86.29	$85.00	7.0%	2.2%	6.6%	4.8%	8.0%	2.5%	0.8%	155.0M	-638.8M	-7.5M	2.41	25.18	48,054	115,869	418,225	1,254,122
2016-08-12	$86.28	$85.00	7.0%	2.1%	6.6%	4.7%	8.9%	1.9%	0.2%	149.6M	-559.7M	-7.0M	1.65	26.03	41,658	68,886	426,285	1,298,432
2016-08-15	$86.61	$85.00	6.9%	1.9%	6.7%	3.7%	8.1%	1.8%	0.4%	116.3M	-719.7M	-7.2M	1.69	24.03	37,583	63,400	422,945	1,298,846
2016-08-16	$86.40	$85.00	7.4%	2.1%	6.6%	7.7%	8.8%	1.7%	-0.0%	130.3M	-686.3M	-7.1M	1.66	24.25	62,622	103,855	423,358	1,302,355
2016-08-17	$86.51	$85.00	6.6%	1.9%	6.6%	1.5%	8.5%	2.2%	0.3%	187.1M	-716.1M	-7.1M	0.70	23.83	25,809	18,009	433,620	1,326,472
2016-08-18	$86.85	$85.00	6.4%	1.8%	6.7%	0.2%	8.1%	2.5%	0.4%	80.4M	-1.05B	-6.4M	3.49	29.05	2,251	7,847	446,398	1,343,831
2016-08-19	$86.59	$85.00	6.6%	1.8%	6.5%	1.7%	7.9%	1.4%	0.8%	22.5M	-848.3M	-6.4M	1.60	35.09	49,046	78,402	432,479	1,346,975
2016-08-22	$86.48	$85.00	7.1%	1.9%	6.1%	5.5%	9.2%	2.6%	-0.3%	12.2M	-253.3M	-6.9M	2.84	25.80	21,287	60,435	310,612	1,034,530
2016-08-23	$86.75	$85.00	7.0%	1.9%	6.1%	4.4%	7.7%	2.3%	0.0%	35.0M	-542.9M	-6.0M	3.55	30.48	18,812	66,818	313,554	1,040,425
2016-08-24	$86.50	$85.00	6.9%	1.9%	6.2%	4.2%	8.3%	2.1%	0.1%	29.8M	-397.3M	-6.1M	11.01	28.87	5,095	56,119	310,747	1,042,428
2016-08-25	$86.74	$85.00	7.0%	1.9%	5.9%	4.6%	8.7%	2.4%	0.2%	29.9M	-416.4M	-6.0M	5.06	29.73	18,758	95,003	316,311	1,075,460
2016-08-26	$86.62	$85.00	7.0%	1.9%	6.0%	4.9%	8.0%	2.2%	0.4%	-19.4M	-299.7M	-6.3M	4.09	32.09	18,127	74,134	318,167	1,093,701
2016-08-29	$86.97	$85.00	6.7%	1.7%	4.6%	2.2%	7.4%	2.9%	0.9%	-14.3M	-399.0M	-5.9M	3.67	29.19	24,057	88,370	305,802	1,120,091
2016-08-30	$87.08	$85.00	6.7%	1.7%	4.5%	2.4%	7.1%	2.4%	0.3%	-59.4M	-560.2M	-4.9M	2.72	33.25	15,551	42,246	318,557	1,168,417
2016-08-31	$86.72	$85.00	7.4%	1.9%	4.6%	7.7%	14.2%	1.9%	0.3%	-100.5M	-93.1M	-6.9M	0.52	33.45	162,782	84,672	318,093	1,166,295