HYG Options History — December 2016

In December 2016, HYG traded between $84.91 and $86.70. ATM implied volatility averaged 7.3%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.8% (HV 20d: 8.1%). Max pain ranged from $86.00 to $87.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.28.

Notable Days

  • 2016-12-14: Highest Volume — 184,564 contracts
  • 2016-12-22: Largest IV spike — 15.4% change
  • 2016-12-01: Highest IV Rank — 19.0%
  • 2016-12-01: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.24$84.91$86.70$84.91$86.46
Max Pain$86.29$86.00$87.00$87.00$86.00
ATM IV7.3%5.5%9.0%9.0%7.3%
Expected Move2.1%1.6%2.8%2.8%1.9%
HV 20d8.1%4.7%11.6%11.4%4.7%
HV 60d8.1%7.8%8.5%8.5%7.8%
IV Rank9.7%0.0%19.0%19.0%16.0%
IV Percentile11.3%0.0%34.9%34.9%13.5%
Term Structure0.4%-0.3%1.2%-0.0%0.9%
VWIV8.8%5.7%11.8%11.6%7.5%
Skew 25d2.2%0.9%3.4%2.6%1.9%
Skew 10d4.6%2.2%7.9%4.8%5.5%
Call IV 25d6.5%5.7%7.8%7.8%6.5%
Put IV 25d8.7%6.7%10.7%10.4%8.4%
Bid-Ask Spread %20.6814.0133.9415.2623.33
Gamma HHI0.160.110.250.150.16
Net GEX-375.4M-714.5M-213.7M-710.5M-307.1M
Net DEX1.36B398.4M3.20B3.20B1.01B
Net VEX-7.5M-12.1M-3.9M-12.1M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.281.075.031.921.62
Total Volume133,331.76280,491184,564161,145124,687
Total OI1,789,695.1431,291,3722,215,5122,037,8571,360,757

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$84.91$87.009.0%2.8%11.4%19.0%11.6%2.6%-0.0%-710.5M3.20B-12.1M1.9215.2655,173105,972392,1511,645,706
2016-12-02$85.34$87.008.6%2.5%11.5%16.6%11.8%3.2%-0.2%-714.5M2.84B-11.9M2.3614.6449,376116,673395,1611,657,621
2016-12-05$85.64$86.008.6%2.4%11.6%16.0%8.6%3.1%-0.2%-585.3M2.22B-10.0M1.6914.9249,24483,072393,2021,664,790
2016-12-06$86.04$86.007.9%2.3%10.8%11.1%11.5%3.4%0.0%-491.8M1.78B-9.2M2.0114.0952,375105,476392,8011,671,176
2016-12-07$86.56$86.007.6%2.0%11.0%8.6%9.0%2.7%-0.1%-249.8M1.07B-7.6M1.6817.2262,811105,687393,4401,697,965
2016-12-08$86.42$86.007.5%2.3%10.6%8.1%9.5%2.1%-0.3%-375.9M1.34B-8.0M2.2717.2255,093125,149408,0881,714,579
2016-12-09$86.51$86.007.3%2.1%9.7%7.0%9.4%2.5%0.2%-294.7M1.29B-8.6M1.5515.2852,86782,081418,6001,759,389
2016-12-12$86.35$86.007.3%2.2%8.3%6.4%8.2%1.8%0.7%-315.8M1.34B-7.8M5.0314.8522,089111,217418,9811,766,683
2016-12-13$86.70$86.007.4%2.1%8.2%7.1%8.5%2.5%0.1%-213.7M946.7M-7.3M3.3416.0828,39794,763423,1191,765,189
2016-12-14$86.22$86.007.7%2.3%7.1%11.9%10.1%2.1%0.1%-388.2M1.47B-7.9M2.8414.3048,104136,460429,7071,756,888
2016-12-15$85.99$86.007.7%2.2%7.1%12.2%9.4%2.4%0.2%-497.4M1.75B-8.9M2.1914.8449,064107,367445,0451,770,467
2016-12-16$86.11$86.007.2%2.1%7.0%7.8%10.0%2.2%-0.1%-662.0M1.65B-8.5M2.2614.0146,645105,337449,7191,762,878
2016-12-19$86.33$86.006.5%1.9%7.0%0.8%8.3%1.7%1.2%-285.0M898.7M-6.3M1.5226.1240,85462,058236,9831,103,801
2016-12-20$86.36$86.006.4%1.8%6.8%0.2%7.3%1.6%0.6%-262.0M932.9M-6.6M1.4133.9451,59772,928237,6651,109,360
2016-12-21$86.61$86.005.5%1.6%6.3%0.0%5.7%1.0%1.0%-244.1M398.4M-3.9M1.0729.8557,96361,905246,8481,131,097
2016-12-22$86.40$87.006.4%1.8%6.1%7.4%7.2%0.9%0.6%-266.6M928.7M-5.4M3.0229.8721,28264,235191,7801,121,232
2016-12-23$86.57$87.006.6%1.8%6.2%9.6%8.0%1.6%0.8%-245.7M860.4M-5.0M2.8332.3421,02359,468187,1271,115,281
2016-12-27$86.51$87.006.7%1.8%6.2%10.5%7.5%2.1%0.8%-220.3M785.3M-5.7M3.4227.9722,04675,334186,9081,104,464
2016-12-28$86.45$87.006.8%2.0%6.2%11.2%7.2%2.3%0.9%-258.2M914.3M-5.9M2.2627.1435,84380,900187,3641,112,995
2016-12-29$86.49$86.007.3%2.0%6.1%15.8%7.5%2.1%0.7%-295.4M841.5M-5.6M1.6221.0037,17460,178201,1601,155,431
2016-12-30$86.46$86.007.3%1.9%4.7%16.0%7.5%1.9%0.9%-307.1M1.01B-6.4M1.6223.3347,59677,091203,6631,157,094