HYG Options History — January 2017

In January 2017, HYG traded between $86.90 and $87.66. ATM implied volatility averaged 6.8%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 3.1% (HV 20d: 3.7%). Max pain ranged from $86.00 to $95.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.29.

Notable Days

  • 2017-01-12: Highest Volume — 214,363 contracts
  • 2017-01-25: Largest IV spike — 18.5% change
  • 2017-01-06: Highest IV Rank — 22.1%
  • 2017-01-09: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.28$86.90$87.66$86.90$87.33
Max Pain$89.65$86.00$95.00$86.00$95.00
ATM IV6.8%5.5%8.0%8.0%6.9%
Expected Move1.9%1.5%2.3%1.9%1.6%
HV 20d3.7%3.1%4.9%4.7%3.4%
HV 60d7.7%7.3%7.9%7.8%7.3%
IV Rank11.8%0.0%22.1%21.5%12.9%
IV Percentile9.8%0.0%25.8%23.0%11.9%
Term Structure0.2%-0.4%1.4%-0.2%0.2%
VWIV7.4%5.8%9.2%6.6%5.8%
Skew 25d1.9%1.4%2.5%1.9%2.5%
Skew 10d4.7%2.0%7.9%7.9%5.9%
Call IV 25d6.3%5.0%7.7%7.7%5.9%
Put IV 25d8.2%7.1%9.6%9.6%8.4%
Bid-Ask Spread %37.6216.9452.1526.6516.94
Gamma HHI0.160.110.200.140.13
Net GEX-126.9M-245.9M-10.0M-210.9M-245.9M
Net DEX543.9M135.6M1.00B558.9M635.5M
Net VEX-5.2M-7.3M-3.5M-4.5M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.844.990.844.99
Total Volume129,721.1584,005214,36384,005193,896
Total OI1,406,420.75935,3281,855,7931,367,4881,152,975

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$86.90$86.008.0%1.9%4.7%21.5%6.6%1.9%-0.2%-210.9M558.9M-4.5M0.8426.6545,54038,465210,5481,156,940
2017-01-04$87.36$87.007.8%2.0%4.9%20.1%7.6%1.7%0.2%-96.4M244.8M-4.0M2.0023.5530,81661,552223,6921,167,770
2017-01-05$87.22$87.008.0%2.2%4.8%21.8%8.6%1.7%0.2%-110.5M315.1M-4.3M2.2243.5534,21375,809223,9671,168,470
2017-01-06$87.25$87.008.0%2.2%4.3%22.1%8.9%2.2%-0.3%-115.2M254.7M-4.0M2.6046.8834,12788,636233,9381,209,178
2017-01-09$87.20$87.007.8%2.3%4.3%20.2%9.2%1.7%-0.0%-119.8M288.2M-3.7M2.7627.5339,255108,500236,0611,230,246
2017-01-10$87.25$87.007.5%2.1%4.3%17.7%7.9%2.3%-0.1%-65.6M204.9M-4.5M2.6325.7947,778125,738243,6931,276,440
2017-01-11$87.25$87.007.3%2.0%4.2%15.3%6.8%1.7%-0.2%-136.6M511.5M-5.5M2.0332.6147,87397,190271,4761,328,320
2017-01-12$87.23$87.007.0%1.9%4.0%13.1%8.5%2.4%-0.4%-10.0M300.7M-4.6M2.9735.7153,956160,407276,6871,325,696
2017-01-13$87.32$88.006.4%1.8%3.4%8.0%6.6%1.4%-0.1%-16.3M135.6M-3.5M2.3929.1437,19488,762297,7241,403,396
2017-01-17$87.25$88.006.0%1.7%3.2%4.5%6.4%1.8%0.3%-33.2M338.1M-4.6M1.3836.8536,98251,050304,1491,427,177
2017-01-18$87.25$88.006.6%1.9%3.2%9.6%7.7%1.6%-0.4%-78.7M424.6M-5.0M2.3132.1546,351107,291296,7941,438,513
2017-01-19$86.97$88.006.5%1.9%3.4%8.1%6.7%1.8%0.2%-159.5M739.2M-6.2M3.0348.1636,624111,079310,0231,500,606
2017-01-20$87.13$88.006.0%1.7%3.4%4.0%7.4%1.8%0.3%-191.6M638.3M-5.9M2.7651.2331,96488,163318,5851,537,208
2017-01-23$87.18$88.006.1%1.8%3.3%5.0%8.2%2.3%0.8%-205.8M888.8M-6.7M2.1526.8536,59578,818140,752794,576
2017-01-24$87.28$95.005.5%1.6%3.1%0.0%7.1%1.6%1.2%-169.0M910.6M-6.3M2.6950.7635,28994,999170,567836,519
2017-01-25$87.54$95.006.5%1.6%3.2%8.9%7.0%2.4%0.6%-181.7M974.1M-7.3M1.4349.4541,46059,316183,381883,812
2017-01-26$87.55$95.005.8%1.6%3.2%3.1%7.2%1.5%1.4%-111.7M729.8M-6.3M1.1252.1546,16351,700198,456892,086
2017-01-27$87.66$95.006.3%1.5%3.2%7.4%6.5%2.0%0.5%-85.7M783.4M-6.1M1.5850.3342,67967,552210,983905,406
2017-01-30$87.43$95.006.8%1.7%3.4%12.0%7.2%2.2%0.5%-193.0M1.00B-6.7M1.9846.2040,43280,209212,959928,646
2017-01-31$87.33$95.006.9%1.6%3.4%12.9%5.8%2.5%0.2%-245.9M635.5M-4.2M4.9916.9432,384161,512214,968938,007