HYG Options History — April 2017

In April 2017, HYG traded between $87.20 and $88.18. ATM implied volatility averaged 6.7%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.6% (HV 20d: 5.1%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 3.39.

Notable Days

2017-04-27: Highest Volume — 159,025 contracts
2017-04-24: Largest IV drop — 16.9% change
2017-04-17: Highest IV Rank — 40.2%
2017-04-17: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.60	$87.20	$88.18	$87.42	$88.15
Max Pain	$88.53	$87.00	$95.00	$95.00	$88.00
ATM IV	6.7%	4.9%	8.2%	7.1%	4.9%
Expected Move	1.9%	1.3%	2.4%	1.8%	1.3%
HV 20d	5.1%	3.5%	7.4%	7.4%	3.5%
HV 60d	4.6%	4.6%	4.7%	4.6%	4.7%
IV Rank	20.3%	0.0%	40.2%	24.8%	0.0%
IV Percentile	25.0%	0.0%	54.0%	27.8%	0.0%
Term Structure	0.2%	-0.7%	1.4%	0.0%	0.8%
VWIV	7.4%	5.0%	10.6%	6.0%	5.0%
Skew 25d	2.4%	0.6%	3.5%	2.0%	0.6%
Skew 10d	5.2%	3.0%	9.7%	4.0%	9.7%
Call IV 25d	5.9%	4.4%	7.0%	6.7%	4.4%
Put IV 25d	8.3%	4.9%	9.8%	8.7%	4.9%
Bid-Ask Spread %	25.55	6.54	93.62	10.47	93.62
Gamma HHI	0.14	0.10	0.23	0.12	0.23
Net GEX	-288.6M	-531.9M	88.2M	-473.6M	88.2M
Net DEX	1.75B	318.4M	2.57B	1.85B	318.4M
Net VEX	-10.2M	-12.8M	-6.5M	-10.1M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.39	1.66	5.78	2.13	1.66
Total Volume	105,128.789	58,935	159,025	145,218	94,946
Total OI	1,750,230.053	1,489,322	1,942,665	1,615,284	1,684,324

Daily Data (19 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
2017-04-03	$87.42	$95.00	7.1%	1.8%	7.4%	24.8%	6.0%	2.0%	0.0%	-473.6M	1.85B	-10.1M	2.13	10.47	46,461	98,757	313,357	1,301,927
2017-04-04	$87.41	$95.00	7.1%	1.8%	7.0%	23.7%	6.8%	2.1%	-0.1%	-514.4M	2.19B	-12.8M	2.28	6.54	21,958	50,058	320,052	1,322,591
2017-04-05	$87.35	$95.00	7.2%	1.8%	6.6%	26.0%	6.2%	2.1%	0.0%	-450.5M	2.08B	-10.7M	4.63	14.76	18,925	87,631	331,482	1,336,489
2017-04-06	$87.41	$87.00	7.1%	2.1%	6.5%	23.8%	9.3%	2.1%	0.2%	-471.1M	1.91B	-9.9M	5.78	24.23	12,971	74,970	342,528	1,375,313
2017-04-07	$87.46	$87.00	7.1%	2.2%	6.5%	25.0%	7.8%	2.2%	0.0%	-455.4M	2.34B	-12.5M	3.27	18.78	24,837	81,153	350,549	1,393,123
2017-04-10	$87.50	$87.00	7.4%	2.2%	6.5%	29.1%	7.4%	3.0%	0.4%	-396.1M	1.91B	-9.8M	2.40	13.65	27,141	65,127	373,296	1,428,021
2017-04-11	$87.28	$87.00	7.5%	2.3%	6.4%	29.9%	8.1%	2.7%	0.2%	-419.6M	2.12B	-9.9M	3.92	14.36	12,468	48,854	390,658	1,445,281
2017-04-12	$87.34	$87.00	7.6%	2.3%	4.7%	31.7%	8.6%	3.1%	0.4%	-425.9M	2.16B	-10.4M	3.51	13.35	13,081	45,854	391,409	1,466,256
2017-04-13	$87.20	$87.00	8.0%	2.3%	4.7%	37.8%	8.3%	3.1%	-0.1%	-531.9M	2.57B	-12.2M	2.99	12.08	19,978	59,752	392,237	1,468,391
2017-04-17	$87.34	$87.00	8.2%	2.4%	4.7%	40.2%	8.6%	3.0%	-0.7%	-471.2M	2.51B	-12.5M	2.89	33.54	19,772	57,102	396,379	1,476,114
2017-04-18	$87.45	$87.00	7.8%	2.2%	4.7%	33.9%	10.6%	3.5%	-0.7%	-367.4M	2.13B	-11.0M	3.73	7.48	24,228	90,479	413,199	1,465,750
2017-04-19	$87.34	$87.00	7.6%	2.2%	3.7%	31.6%	9.0%	3.2%	-0.6%	-417.0M	2.55B	-10.4M	3.44	14.80	23,460	80,647	414,400	1,518,031
2017-04-20	$87.67	$87.00	6.4%	1.8%	3.9%	13.9%	7.5%	2.8%	0.8%	-128.5M	1.97B	-10.3M	3.67	12.69	19,749	72,507	414,737	1,511,993
2017-04-21	$87.56	$87.00	6.4%	1.7%	4.0%	13.5%	6.9%	3.3%	1.4%	-22.8M	1.99B	-9.6M	3.26	38.68	33,532	109,367	425,088	1,517,577
2017-04-24	$88.01	$88.00	5.3%	1.5%	4.2%	0.0%	5.3%	1.8%	0.9%	-12.2M	497.1M	-7.5M	1.99	23.08	50,839	101,271	294,888	1,194,434
2017-04-25	$88.18	$88.00	5.1%	1.5%	4.2%	0.0%	5.6%	1.7%	0.7%	26.4M	448.8M	-7.9M	3.66	44.88	29,826	109,090	310,293	1,225,993
2017-04-26	$88.16	$88.00	5.1%	1.6%	3.8%	0.0%	5.6%	1.6%	0.6%	-20.6M	802.8M	-10.1M	4.43	37.41	20,565	91,066	338,908	1,275,683
2017-04-27	$88.12	$88.00	5.1%	1.5%	3.7%	0.0%	7.5%	1.8%	0.5%	-19.4M	827.8M	-9.4M	4.77	51.10	27,552	131,473	350,124	1,283,496
2017-04-28	$88.15	$88.00	4.9%	1.3%	3.5%	0.0%	5.0%	0.6%	0.8%	88.2M	318.4M	-6.5M	1.66	93.62	35,658	59,288	361,213	1,323,111