HYG Options History — September 2016

In September 2016, HYG traded between $85.42 and $87.25. ATM implied volatility averaged 8.5%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.9% (HV 20d: 6.7%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.66.

Notable Days

  • 2016-09-13: Highest Volume — 355,308 contracts
  • 2016-09-22: Largest IV drop — 15.7% change
  • 2016-09-13: Highest IV Rank — 30.3%
  • 2016-09-13: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.40$85.42$87.25$86.39$87.25
Max Pain$90.62$87.00$95.00$87.00$88.00
ATM IV8.5%6.8%10.5%7.5%7.9%
Expected Move2.4%1.6%3.2%2.0%2.1%
HV 20d6.7%4.5%8.0%4.5%8.0%
HV 60d7.9%6.8%8.7%8.3%6.9%
IV Rank16.0%3.4%30.3%8.3%11.5%
IV Percentile29.1%3.6%60.3%12.7%19.0%
Term Structure0.3%-0.3%1.1%0.6%0.5%
VWIV9.5%7.6%12.0%8.5%8.5%
Skew 25d2.7%1.8%3.6%2.5%2.7%
Skew 10d5.7%3.3%8.5%5.9%5.9%
Call IV 25d7.7%5.7%9.7%6.4%7.0%
Put IV 25d10.4%7.9%13.1%9.0%9.7%
Bid-Ask Spread %33.4518.4041.8718.5133.47
Gamma HHI0.170.110.230.190.11
Net GEX-309.1M-480.3M-190.9M-257.1M-286.9M
Net DEX1.46B510.6M2.72B757.5M1.24B
Net VEX-8.5M-11.9M-5.2M-5.6M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.614.150.803.59
Total Volume182,168.71485,460355,308145,504172,356
Total OI1,460,159.4291,134,1731,776,1531,388,7441,504,359

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$86.39$87.007.5%2.0%4.5%8.3%8.5%2.5%0.6%-257.1M757.5M-5.6M0.8018.5180,97164,533187,5501,201,194
2016-09-02$86.95$87.006.8%1.6%4.9%3.4%7.6%2.2%0.8%-190.9M510.6M-5.3M0.7018.4092,24664,153190,6821,220,810
2016-09-06$86.99$87.007.3%2.3%4.8%7.0%9.3%2.2%0.0%-207.7M527.1M-5.2M0.6232.3083,53351,666191,0351,205,644
2016-09-07$86.79$87.007.3%2.1%4.9%7.0%7.6%1.8%0.0%-231.6M653.0M-5.3M0.6128.60100,82361,533197,4631,221,402
2016-09-08$86.65$87.007.5%2.2%4.9%8.1%7.9%2.1%0.0%-226.6M825.8M-5.7M0.7429.53101,68074,896222,2751,246,614
2016-09-09$85.76$87.008.4%2.6%6.1%14.8%9.8%2.0%-0.0%-349.3M1.67B-8.0M1.2128.25134,595163,108232,5171,282,144
2016-09-12$86.19$95.009.3%2.5%6.4%21.8%10.2%3.3%-0.3%-334.3M1.60B-7.2M0.8531.58134,881114,356249,8421,355,639
2016-09-13$85.42$95.0010.5%3.2%6.9%30.3%11.4%2.9%0.2%-442.9M2.38B-8.9M2.0837.52115,254240,054256,4151,372,748
2016-09-14$85.42$95.0010.5%3.1%6.9%30.0%10.7%2.2%0.3%-480.3M2.72B-10.3M0.6930.65114,26779,360282,5161,469,784
2016-09-15$85.90$95.0010.1%2.9%7.2%27.2%11.5%3.6%-0.0%-379.1M2.23B-9.2M1.7435.3997,660169,819291,1191,484,996
2016-09-16$85.89$95.0010.2%2.9%7.1%27.8%12.0%3.5%0.4%-360.9M2.40B-10.0M1.7630.4188,927156,865298,7411,477,412
2016-09-19$85.95$95.009.8%2.8%7.0%25.0%10.7%3.5%0.7%-372.5M1.94B-10.1M1.9436.8740,75979,270173,878960,295
2016-09-20$85.86$95.009.7%2.8%7.0%24.6%10.4%2.5%0.4%-401.3M2.08B-10.4M2.3737.0449,899118,418188,6391,009,216
2016-09-21$86.45$95.009.2%2.6%7.4%20.5%10.2%2.9%0.0%-313.0M1.33B-8.1M1.3940.2035,76749,693199,9251,067,856
2016-09-22$86.87$95.007.7%2.2%7.5%10.0%9.3%2.6%1.1%-283.7M1.24B-9.0M1.0137.68119,720121,383204,9521,045,619
2016-09-23$86.78$88.007.4%2.1%7.4%7.8%8.4%2.8%0.3%-206.2M1.18B-9.8M1.0940.98116,593127,213290,3891,076,563
2016-09-26$86.33$87.508.5%2.4%7.7%15.5%8.6%2.3%0.1%-306.3M1.61B-10.0M1.5240.8836,67355,811296,4131,105,570
2016-09-27$86.61$87.507.8%2.2%7.6%10.9%9.4%3.5%0.4%-279.2M1.39B-9.3M3.0735.7223,11170,938302,8671,129,690
2016-09-28$87.20$87.507.6%2.2%8.0%9.1%9.4%3.1%0.6%-227.4M854.7M-8.4M4.1541.8723,05195,715303,7061,163,388
2016-09-29$86.84$87.508.3%2.3%8.0%14.6%8.7%2.6%0.2%-354.1M1.59B-11.9M3.0136.6725,93478,059303,2581,198,223
2016-09-30$87.25$88.007.9%2.1%8.0%11.5%8.5%2.7%0.5%-286.9M1.24B-10.7M3.5933.4737,566134,790309,8481,194,511