HYG Options History — May 2017 In May 2017, HYG traded between $87.46 and $88.67. ATM implied volatility averaged 5.5%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.8% (HV 20d: 3.7%). Max pain ranged from $88.00 to $88.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.14.
Notable Days 2017-05-25 : Highest Volume — 262,182 contracts2017-05-17 : Largest IV spike — 21.9% change2017-05-17 : Highest IV Rank — 24.5%2017-05-31 : Largest Expected Move — 2.3%Monthly Statistics Metric Avg Min Max Open Close Price $88.10 $87.46 $88.67 $87.80 $88.66 Max Pain $88.02 $88.00 $88.50 $88.00 $88.50 ATM IV 5.5% 4.2% 6.7% 5.4% 4.2% Expected Move 1.6% 1.2% 2.3% 1.4% 2.3% HV 20d 3.7% 3.2% 4.2% 3.8% 3.4% HV 60d 4.9% 4.8% 5.1% 4.8% 5.0% IV Rank 9.8% 0.0% 24.5% 6.8% 0.0% IV Percentile 7.0% 0.0% 28.6% 2.0% 0.0% Term Structure 0.0% -0.4% 0.4% -0.1% 0.4% VWIV 7.5% 4.9% 9.5% 6.8% 4.9% Skew 25d 2.1% 1.5% 3.1% 1.6% 1.6% Skew 10d 5.0% 3.2% 7.2% 4.4% 3.7% Call IV 25d 5.0% 4.0% 6.0% 5.3% 4.0% Put IV 25d 7.2% 5.7% 9.1% 7.0% 5.7% Bid-Ask Spread % 31.98 7.55 93.31 17.56 27.11 Gamma HHI 0.23 0.14 0.40 0.17 0.15 Net GEX 97.2M -318.4M 605.3M -146.3M 163.8M Net DEX 923.7M -97.4M 1.73B 1.05B -97.4M Net VEX -9.3M -11.5M -6.7M -9.1M -6.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.14 1.69 8.72 1.86 2.40 Total Volume 163,400.455 81,593 262,182 119,234 253,974 Total OI 1,906,788.455 1,599,494 2,261,760 1,599,494 1,881,801
Daily Data (22 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 2017-05-01 $87.80 $88.00 5.4% 1.4% 3.8% 6.8% 6.8% 1.6% -0.1% -146.3M 1.05B -9.1M 1.86 17.56 41,673 77,561 332,498 1,266,996 2017-05-02 $87.79 $88.00 5.4% 1.5% 3.2% 7.4% 5.7% 1.5% -0.0% -76.0M 839.4M -7.7M 1.69 7.55 57,878 97,877 360,808 1,285,328 2017-05-03 $87.89 $88.00 5.9% 1.5% 3.2% 13.2% 7.0% 1.6% -0.2% -16.5M 613.1M -7.5M 2.26 34.26 38,944 87,840 387,826 1,301,992 2017-05-04 $87.46 $88.00 6.3% 2.0% 3.7% 18.9% 8.1% 1.7% -0.1% -318.4M 1.73B -9.9M 4.15 25.02 34,461 142,876 400,550 1,340,768 2017-05-05 $87.53 $88.00 6.4% 1.8% 3.7% 20.3% 8.6% 1.8% -0.3% -302.2M 1.71B -9.6M 3.04 18.59 45,314 137,938 426,115 1,413,095 2017-05-08 $87.69 $88.00 6.0% 1.7% 3.8% 14.9% 7.5% 1.5% -0.1% -165.2M 1.63B -9.9M 1.86 20.03 78,485 146,249 450,291 1,449,681 2017-05-09 $87.64 $88.00 6.0% 1.6% 3.8% 14.6% 7.5% 1.9% -0.1% -141.1M 1.51B -10.2M 1.88 19.26 59,341 111,666 477,870 1,452,797 2017-05-10 $88.02 $88.00 5.6% 1.7% 3.9% 9.7% 8.1% 1.8% 0.4% 226.1M 760.6M -9.9M 2.10 26.27 51,645 108,400 510,280 1,502,824 2017-05-11 $87.97 $88.00 5.8% 1.7% 3.9% 12.5% 7.8% 2.2% 0.3% 257.0M 1.03B -10.5M 3.01 24.83 50,022 150,771 521,773 1,510,421 2017-05-12 $88.01 $88.00 5.7% 1.7% 3.9% 10.9% 8.9% 2.0% 0.1% 240.8M 964.5M -10.0M 2.21 22.11 42,280 93,560 527,879 1,549,068 2017-05-15 $88.19 $88.00 5.6% 1.6% 3.9% 9.6% 6.6% 2.1% 0.3% 476.7M 381.4M -8.0M 3.83 23.54 27,083 103,665 536,421 1,581,863 2017-05-16 $88.32 $88.00 5.5% 1.6% 3.9% 8.2% 8.1% 2.3% -0.4% 378.7M 424.1M -7.9M 4.98 24.74 26,047 129,703 539,059 1,605,679 2017-05-17 $87.97 $88.00 6.7% 1.9% 4.2% 24.5% 8.9% 3.1% 0.0% 95.9M 1.59B -11.3M 1.96 35.43 35,116 68,957 541,220 1,662,908 2017-05-18 $87.97 $88.00 6.5% 1.9% 4.0% 21.5% 9.4% 3.1% -0.4% 527.8M 1.44B -11.0M 2.41 31.58 35,394 85,415 549,042 1,679,260 2017-05-19 $88.18 $88.00 6.2% 1.8% 4.0% 18.0% 8.1% 3.1% 0.3% 605.3M 938.2M -10.1M 1.88 37.53 45,438 85,355 556,562 1,705,198 2017-05-22 $88.40 $88.00 5.0% 1.4% 3.7% 1.7% 9.5% 2.7% 0.1% 46.3M 420.2M -7.2M 4.15 15.91 15,831 65,762 395,033 1,258,081 2017-05-23 $88.37 $88.00 5.0% 1.5% 3.6% 1.7% 7.5% 2.5% 0.2% -30.1M 1.07B -10.2M 3.40 15.80 19,015 64,716 403,731 1,277,727 2017-05-24 $88.57 $88.00 4.8% 1.2% 3.7% 0.0% 5.9% 2.3% 0.2% 39.8M 646.6M -8.6M 4.69 85.27 45,956 215,307 404,282 1,293,953 2017-05-25 $88.57 $88.00 4.8% 1.4% 3.7% 0.0% 6.6% 2.2% -0.1% -10.7M 973.1M -11.5M 2.84 93.31 68,211 193,971 438,080 1,409,004 2017-05-26 $88.55 $88.00 4.6% 1.3% 3.7% 0.0% 7.4% 2.4% 0.2% 29.6M 615.3M -9.7M 8.72 84.84 17,705 154,344 465,580 1,416,995 2017-05-30 $88.67 $88.00 4.7% 1.4% 3.4% 1.6% 7.0% 2.0% 0.3% 257.9M 63.5M -7.2M 3.77 12.96 38,383 144,681 465,708 1,413,299 2017-05-31 $88.66 $88.50 4.2% 2.3% 3.4% 0.0% 4.9% 1.6% 0.4% 163.8M -97.4M -6.7M 2.40 27.11 74,792 179,182 455,990 1,425,811
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