HYG Options History — March 2017

In March 2017, HYG traded between $86.12 and $88.25. ATM implied volatility averaged 6.9%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.8% (HV 20d: 5.1%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.89.

Notable Days

2017-03-10: Highest Volume — 287,200 contracts
2017-03-21: Largest IV spike — 18.5% change
2017-03-14: Highest IV Rank — 43.1%
2017-03-14: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.07	$86.12	$88.25	$88.25	$87.88
Max Pain	$89.04	$88.00	$95.00	$89.00	$95.00
ATM IV	6.9%	5.7%	8.4%	6.0%	6.2%
Expected Move	1.9%	1.4%	2.3%	1.8%	1.4%
HV 20d	5.1%	1.6%	7.3%	1.6%	7.3%
HV 60d	4.0%	3.3%	4.6%	3.4%	4.5%
IV Rank	21.1%	4.2%	43.1%	8.3%	11.1%
IV Percentile	21.5%	3.6%	49.2%	4.8%	7.9%
Term Structure	0.1%	-0.6%	0.7%	0.7%	0.3%
VWIV	7.1%	4.9%	8.6%	5.9%	5.3%
Skew 25d	1.9%	0.9%	2.7%	0.9%	1.1%
Skew 10d	3.8%	1.9%	6.8%	3.3%	2.7%
Call IV 25d	6.2%	5.0%	7.5%	5.6%	5.9%
Put IV 25d	8.1%	6.0%	10.0%	6.6%	7.0%
Bid-Ask Spread %	16.16	10.56	22.92	15.11	14.56
Gamma HHI	0.19	0.15	0.35	0.19	0.16
Net GEX	-467.4M	-946.6M	-18.3M	-96.1M	-18.3M
Net DEX	2.43B	548.9M	4.37B	978.4M	548.9M
Net VEX	-9.6M	-12.8M	-5.9M	-6.6M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.89	0.69	4.05	1.83	3.07
Total Volume	184,396.478	76,689	287,200	146,424	198,503
Total OI	1,709,225.739	1,218,482	2,216,721	1,607,021	1,583,440

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$88.25	$89.00	6.0%	1.8%	1.6%	8.3%	5.9%	0.9%	0.7%	-96.1M	978.4M	-6.6M	1.83	15.11	51,663	94,761	255,935	1,351,086
2017-03-02	$88.00	$89.00	5.9%	1.6%	1.9%	5.7%	6.0%	1.3%	0.6%	-159.3M	1.29B	-7.5M	2.73	10.56	50,274	137,143	284,707	1,353,045
2017-03-03	$88.00	$89.00	5.7%	1.4%	1.9%	4.2%	4.9%	1.0%	0.7%	-83.8M	1.05B	-6.2M	1.51	14.33	59,659	90,359	299,792	1,385,140
2017-03-06	$87.77	$88.00	6.3%	1.8%	2.1%	11.6%	6.8%	1.2%	-0.3%	-219.8M	1.52B	-7.4M	2.36	22.11	79,611	188,120	323,101	1,433,367
2017-03-07	$87.15	$88.00	6.6%	1.8%	3.4%	17.3%	6.6%	1.5%	-0.3%	-561.7M	2.53B	-9.3M	3.62	21.29	48,542	175,501	355,500	1,534,489
2017-03-08	$86.66	$88.00	7.6%	2.0%	3.9%	31.5%	8.2%	1.7%	-0.1%	-794.2M	3.47B	-10.2M	1.94	20.56	90,559	175,645	381,816	1,581,719
2017-03-09	$86.35	$88.00	8.0%	2.3%	4.0%	38.0%	8.0%	2.3%	-0.6%	-865.8M	3.97B	-11.0M	1.38	22.92	118,868	163,626	432,516	1,606,628
2017-03-10	$86.31	$88.00	7.6%	2.3%	3.9%	31.9%	8.4%	2.7%	-0.1%	-946.6M	4.30B	-11.7M	1.72	16.97	105,620	181,580	445,258	1,638,828
2017-03-13	$86.37	$88.00	7.5%	2.2%	3.9%	30.8%	7.4%	2.5%	0.1%	-809.6M	4.13B	-11.6M	0.97	16.45	104,888	102,219	469,166	1,583,224
2017-03-14	$86.12	$88.00	8.4%	2.3%	4.0%	43.1%	8.4%	2.4%	-0.4%	-799.0M	4.37B	-11.2M	1.33	19.48	95,465	126,534	471,641	1,609,953
2017-03-15	$87.21	$88.00	7.8%	2.1%	6.2%	34.1%	7.5%	2.3%	-0.4%	-451.7M	2.57B	-9.0M	0.69	19.71	110,892	76,498	486,255	1,637,160
2017-03-16	$87.12	$88.00	6.9%	2.0%	6.2%	21.3%	7.1%	2.2%	-0.1%	-518.0M	2.58B	-9.0M	1.01	14.53	102,231	103,609	506,314	1,653,493
2017-03-17	$87.08	$88.00	6.6%	1.9%	6.2%	16.4%	8.0%	2.1%	-0.1%	-894.1M	2.86B	-11.0M	1.13	16.05	86,019	96,809	520,002	1,696,719
2017-03-20	$87.04	$88.00	6.2%	1.8%	6.1%	11.2%	6.9%	2.1%	0.1%	-424.1M	1.84B	-9.0M	1.91	16.84	27,620	52,689	224,261	994,221
2017-03-21	$86.37	$88.00	7.4%	2.1%	6.6%	28.2%	7.9%	2.5%	0.3%	-503.6M	2.69B	-11.5M	4.05	14.72	25,909	104,988	235,529	1,012,979
2017-03-22	$86.48	$88.00	7.4%	2.1%	6.6%	28.2%	8.6%	2.5%	0.3%	-481.9M	2.64B	-11.0M	2.53	13.69	39,437	99,723	259,600	1,032,285
2017-03-23	$86.49	$88.00	7.5%	2.1%	6.6%	29.5%	6.9%	2.5%	0.1%	-468.9M	2.58B	-11.2M	1.31	14.34	47,923	62,763	271,546	1,059,944
2017-03-24	$86.75	$88.00	7.4%	2.1%	6.7%	28.2%	7.4%	2.4%	0.3%	-448.8M	2.56B	-12.8M	1.25	15.05	34,134	42,555	292,527	1,096,728
2017-03-27	$86.75	$88.00	7.2%	2.0%	6.6%	25.8%	7.1%	2.2%	0.4%	-454.9M	2.41B	-11.1M	1.57	12.36	32,236	50,608	299,558	1,105,771
2017-03-28	$87.25	$88.00	6.5%	1.8%	7.1%	14.9%	7.6%	1.7%	0.5%	-332.7M	1.60B	-8.9M	2.27	15.78	69,705	158,326	301,252	1,111,332
2017-03-29	$87.45	$95.00	6.0%	1.6%	7.1%	8.0%	6.0%	1.6%	0.6%	-300.5M	1.95B	-10.3M	1.88	11.74	66,434	124,839	351,357	1,212,952
2017-03-30	$87.82	$95.00	6.0%	1.5%	7.3%	7.3%	6.7%	1.7%	0.3%	-116.7M	1.42B	-8.6M	1.31	12.53	80,598	105,434	355,634	1,214,422
2017-03-31	$87.88	$95.00	6.2%	1.4%	7.3%	11.1%	5.3%	1.1%	0.3%	-18.3M	548.9M	-5.9M	3.07	14.56	48,736	149,767	357,730	1,225,710