HYG Options History — November 2016

In November 2016, HYG traded between $83.43 and $86.10. ATM implied volatility averaged 9.8%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 0.7% (HV 20d: 9.1%). Max pain ranged from $86.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.67.

Notable Days

  • 2016-11-23: Highest Volume — 343,653 contracts
  • 2016-11-10: Largest IV spike — 11.6% change
  • 2016-11-11: Highest IV Rank — 34.9%
  • 2016-11-01: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.19$83.43$86.10$85.34$85.77
Max Pain$87.38$86.00$95.00$95.00$87.00
ATM IV9.8%8.2%11.2%10.6%8.2%
Expected Move2.8%2.1%3.4%3.4%2.1%
HV 20d9.1%5.4%11.4%5.4%10.9%
HV 60d7.5%6.1%8.4%6.1%8.2%
IV Rank24.7%13.1%34.9%31.0%13.1%
IV Percentile49.6%18.7%75.0%65.9%18.7%
Term Structure0.2%-0.7%1.2%-0.2%-0.1%
VWIV11.4%8.8%13.1%11.8%8.8%
Skew 25d2.9%2.4%4.0%2.4%2.6%
Skew 10d5.4%3.9%7.4%4.5%5.7%
Call IV 25d8.5%7.1%10.2%10.2%7.4%
Put IV 25d11.5%10.0%13.4%12.6%10.0%
Bid-Ask Spread %27.1116.7691.8687.7617.45
Gamma HHI0.140.120.180.130.18
Net GEX-720.2M-969.8M-551.2M-602.5M-768.4M
Net DEX3.77B1.72B6.40B3.64B1.72B
Net VEX-13.5M-15.5M-7.9M-14.3M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.671.444.972.581.94
Total Volume199,441.524123,914343,653157,466198,309
Total OI2,026,610.0481,776,7622,235,2721,776,7622,055,386

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$85.34$95.0010.6%3.4%5.4%31.0%11.8%2.4%-0.2%-602.5M3.64B-14.3M2.5887.7643,970113,496356,4691,420,293
2016-11-02$85.00$95.0011.1%3.3%5.4%34.6%11.9%2.5%-0.7%-636.6M4.12B-14.9M3.0091.8661,173183,321374,9101,459,153
2016-11-03$84.88$86.0010.9%3.1%5.4%33.0%12.7%2.4%-0.3%-671.5M4.21B-15.5M2.0920.9466,764139,751399,0691,525,479
2016-11-04$85.04$86.0011.1%3.1%5.4%34.2%12.2%3.0%-0.5%-645.0M4.01B-15.4M3.2524.0149,133159,877406,9941,555,771
2016-11-07$86.10$86.009.9%2.9%7.1%25.4%12.4%3.3%0.4%-551.2M2.76B-11.9M2.8422.4942,904121,963410,6391,601,942
2016-11-08$86.10$86.009.5%2.8%6.8%22.6%12.8%3.5%0.3%-573.8M2.97B-13.0M1.4422.3355,59580,140413,2851,601,985
2016-11-09$85.41$86.009.0%2.8%7.3%19.4%11.0%2.6%0.8%-724.6M3.68B-14.2M2.9721.0561,827183,742417,9151,618,908
2016-11-10$84.48$87.0010.1%3.1%8.1%27.1%11.4%2.6%1.2%-862.2M4.99B-15.1M2.9020.9064,398186,618419,2811,638,092
2016-11-11$83.43$87.0011.2%3.4%8.9%34.9%12.4%3.4%0.9%-841.3M6.40B-14.9M2.9824.3154,873163,526443,6461,679,837
2016-11-14$84.00$87.0011.1%3.2%9.4%34.1%11.8%4.0%-0.1%-911.9M5.71B-15.1M1.9320.2262,244120,288436,9751,687,878
2016-11-15$85.17$87.0010.5%3.0%10.7%30.5%12.3%3.6%0.7%-792.9M4.31B-14.6M2.4823.0645,939113,796453,0211,720,221
2016-11-16$84.89$87.0010.0%2.9%10.6%26.6%12.8%3.2%0.5%-889.7M4.66B-14.5M2.1720.0844,80997,381467,0561,724,495
2016-11-17$84.69$86.009.4%2.6%10.6%21.7%13.1%3.0%1.1%-927.3M4.84B-14.2M2.4219.5243,191104,451473,9151,732,134
2016-11-18$84.75$86.009.2%2.5%10.6%20.4%11.2%3.1%0.4%-969.8M4.92B-14.6M3.7916.7642,056159,322474,5281,760,744
2016-11-21$85.28$86.008.2%2.1%11.0%13.5%9.5%2.9%0.2%-721.5M3.01B-12.5M4.0619.0724,50999,405352,9591,538,152
2016-11-22$85.95$87.008.6%2.3%11.4%16.5%8.9%2.9%-0.1%-579.9M2.35B-12.0M1.6318.6458,44195,237358,9091,550,653
2016-11-23$85.60$87.009.1%2.4%11.4%19.8%9.8%2.5%-0.3%-636.2M2.86B-12.5M4.9719.4457,583286,070385,7811,588,151
2016-11-25$85.73$87.009.4%2.5%11.4%21.9%10.2%2.7%-0.2%-612.1M2.69B-11.8M2.6721.8173,784196,742392,1891,623,856
2016-11-28$85.72$87.008.9%2.4%11.3%18.3%11.0%3.0%0.7%-585.9M2.62B-11.9M1.9918.9572,894144,822390,5761,603,665
2016-11-29$85.61$87.009.1%2.6%11.3%19.6%10.3%2.6%0.3%-619.1M2.78B-11.9M2.0618.7370,004143,924408,9161,634,983
2016-11-30$85.77$87.008.2%2.1%10.9%13.1%8.8%2.6%-0.1%-768.4M1.72B-7.9M1.9417.4567,562130,747409,0941,646,292