HYG Options History — October 2016

In October 2016, HYG traded between $86.03 and $87.43. ATM implied volatility averaged 8.0%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.9% (HV 20d: 6.2%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.51.

Notable Days

  • 2016-10-06: Highest Volume — 224,012 contracts
  • 2016-10-31: Largest IV spike — 30.4% change
  • 2016-10-13: Highest IV Rank — 21.1%
  • 2016-10-17: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.94$86.03$87.43$86.86$86.03
Max Pain$94.62$87.00$95.00$95.00$95.00
ATM IV8.0%6.5%9.2%8.6%8.7%
Expected Move2.2%1.8%2.5%2.1%2.5%
HV 20d6.2%4.7%7.9%7.9%4.7%
HV 60d6.3%5.9%6.6%6.5%6.0%
IV Rank12.2%0.7%21.1%16.7%16.7%
IV Percentile22.6%0.8%44.4%31.0%33.3%
Term Structure-0.0%-1.1%1.0%0.1%-0.1%
VWIV9.3%6.2%12.1%8.4%9.1%
Skew 25d2.3%0.8%3.2%3.0%1.8%
Skew 10d5.4%2.2%7.3%5.6%6.4%
Call IV 25d7.2%5.7%8.7%7.6%8.3%
Put IV 25d9.6%7.6%11.2%10.6%10.1%
Bid-Ask Spread %42.3429.10110.1931.91110.19
Gamma HHI0.130.110.150.130.13
Net GEX-249.0M-630.7M145.0M-308.2M-630.7M
Net DEX1.39B821.4M2.33B1.34B2.33B
Net VEX-9.6M-11.7M-7.7M-9.9M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.966.002.823.61
Total Volume151,295105,627224,012153,245175,905
Total OI1,676,489.6671,399,5971,896,0501,493,1741,670,690

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$86.86$95.008.6%2.1%7.9%16.7%8.4%3.0%0.1%-308.2M1.34B-9.9M2.8231.9140,065113,180294,6591,198,515
2016-10-04$86.74$95.009.0%2.3%7.9%19.1%8.4%2.4%-0.1%-332.3M1.40B-10.2M2.0229.1045,14991,208308,4391,225,638
2016-10-05$86.91$95.008.3%2.1%7.9%14.2%8.7%2.4%-0.6%-327.2M1.30B-10.0M3.7933.0633,662127,417315,7161,240,935
2016-10-06$86.95$87.008.2%2.3%7.9%13.2%9.2%2.7%0.2%-313.5M1.19B-9.2M2.2035.7969,915154,097318,0591,276,757
2016-10-07$87.10$95.008.2%2.3%6.8%13.2%9.5%3.1%0.1%-273.8M959.6M-8.4M1.6031.7071,573114,384357,5891,343,176
2016-10-10$87.37$95.008.9%2.4%6.7%18.4%8.8%2.0%0.0%-166.2M821.4M-8.1M1.1533.7562,05771,196357,1681,355,687
2016-10-11$86.81$95.008.3%2.4%6.2%14.6%9.9%1.6%0.5%-323.6M1.60B-11.3M1.4431.4569,926100,568357,2541,383,334
2016-10-12$86.86$95.008.7%2.4%6.2%17.3%11.4%2.1%-0.5%-333.6M1.68B-11.2M1.5736.0273,051114,798373,9131,385,240
2016-10-13$86.64$95.009.2%2.5%6.1%21.1%11.1%2.6%-1.1%-390.4M1.93B-11.7M1.7835.3565,900117,321379,0021,434,410
2016-10-14$86.90$95.008.3%2.3%6.1%14.3%9.2%3.1%0.2%-294.9M1.73B-11.3M0.9636.1468,55365,697382,1731,418,278
2016-10-17$86.74$95.009.0%2.5%6.2%19.4%10.0%2.6%-0.3%-286.4M1.65B-9.9M1.1835.7858,01968,471383,1111,440,020
2016-10-18$87.08$95.008.6%2.4%6.3%16.3%12.1%3.0%-0.3%-216.9M1.37B-9.5M1.8837.9036,73968,888383,4561,442,560
2016-10-19$87.36$95.008.3%2.4%5.9%14.2%10.3%2.3%-0.8%-50.5M1.08B-9.0M3.3135.2932,342106,986395,1641,463,122
2016-10-20$87.32$95.007.9%2.3%5.7%11.4%10.8%2.5%-0.5%30.8M987.9M-8.5M2.6839.9739,807106,877388,2931,473,077
2016-10-21$87.43$95.007.1%2.1%5.7%5.3%9.0%3.2%-1.0%145.0M1.00B-9.5M6.0040.7725,193151,065408,7631,487,287
2016-10-24$87.38$95.006.6%1.8%5.3%1.6%7.4%1.8%1.0%-114.8M852.9M-7.9M2.2132.5638,19484,402294,0141,105,583
2016-10-25$87.36$95.006.5%1.9%5.3%0.7%6.2%2.4%0.3%-108.6M868.6M-7.7M3.9241.7622,62788,790310,5641,153,827
2016-10-26$87.05$95.006.6%2.1%4.9%1.6%7.5%1.8%0.4%-181.5M1.17B-8.9M2.6237.7040,680106,621313,9721,194,862
2016-10-27$86.60$95.007.1%2.0%5.0%5.5%8.4%2.1%0.7%-327.6M1.78B-9.9M2.4348.4636,59689,093324,4731,248,236
2016-10-28$86.28$95.006.6%2.1%4.8%1.9%8.8%0.8%0.8%-423.6M2.17B-10.2M3.4894.5229,052101,131334,0191,285,248
2016-10-31$86.03$95.008.7%2.5%4.7%16.7%9.1%1.8%-0.1%-630.7M2.33B-9.9M3.61110.1938,146137,759339,0551,331,635