HYG Options History — June 2017

In June 2017, HYG traded between $87.55 and $88.62. ATM implied volatility averaged 5.3%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.0% (HV 20d: 3.3%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.62.

Notable Days

2017-06-30: Highest Volume — 425,598 contracts
2017-06-20: Largest IV spike — 23.8% change
2017-06-21: Highest IV Rank — 30.0%
2017-06-21: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.29	$87.55	$88.62	$88.48	$88.46
Max Pain	$88.41	$88.00	$90.00	$90.00	$89.00
ATM IV	5.3%	4.5%	6.6%	4.7%	5.0%
Expected Move	1.5%	1.2%	1.9%	1.3%	1.3%
HV 20d	3.3%	2.6%	4.3%	3.5%	4.3%
HV 60d	3.9%	3.5%	4.8%	4.8%	3.7%
IV Rank	13.8%	3.5%	30.0%	6.0%	11.3%
IV Percentile	9.3%	0.4%	35.7%	1.2%	4.4%
Term Structure	0.2%	-1.1%	0.9%	0.5%	0.4%
VWIV	6.4%	4.0%	7.9%	4.8%	4.0%
Skew 25d	2.4%	1.5%	3.4%	1.7%	1.6%
Skew 10d	5.3%	3.5%	7.5%	4.9%	3.8%
Call IV 25d	4.7%	3.5%	5.7%	4.3%	4.6%
Put IV 25d	7.0%	5.4%	8.7%	5.9%	6.2%
Bid-Ask Spread %	26.68	5.56	65.27	22.27	20.82
Gamma HHI	0.19	0.13	0.24	0.15	0.13
Net GEX	-331.3M	-747.9M	88.8M	-167.3M	-405.8M
Net DEX	2.01B	944.4M	4.00B	944.4M	2.57B
Net VEX	-11.4M	-18.0M	-6.8M	-7.6M	-16.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.62	1.64	7.56	2.89	1.64
Total Volume	223,779.455	101,357	425,598	167,981	425,598
Total OI	2,077,600.955	1,640,643	2,568,261	1,806,662	2,230,110

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
2017-06-01	$88.48	$90.00	4.7%	1.3%	3.5%	6.0%	4.8%	1.7%	0.5%	-167.3M	944.4M	-7.6M	2.89	22.27	43,217	124,764	355,232	1,451,430
2017-06-02	$88.62	$90.00	4.6%	1.2%	2.9%	5.1%	4.2%	1.5%	0.3%	-25.9M	1.09B	-10.2M	3.04	11.24	34,863	106,115	376,001	1,473,188
2017-06-05	$88.52	$88.00	4.8%	1.3%	3.0%	6.7%	6.3%	1.6%	-0.0%	-56.9M	1.06B	-8.4M	3.69	19.82	33,688	124,151	383,190	1,461,725
2017-06-06	$88.40	$88.00	5.0%	1.6%	3.0%	10.3%	6.1%	1.5%	0.0%	-108.2M	1.06B	-6.8M	2.14	32.94	85,516	183,008	392,839	1,469,077
2017-06-07	$88.18	$88.00	6.1%	1.8%	3.1%	23.7%	7.8%	2.4%	-0.1%	-358.1M	1.88B	-10.2M	3.66	27.85	52,689	193,079	493,806	1,591,154
2017-06-08	$88.28	$88.00	5.5%	1.7%	2.8%	15.7%	7.3%	2.5%	0.1%	-298.7M	1.70B	-9.6M	2.60	18.67	61,844	160,870	490,118	1,632,488
2017-06-09	$88.28	$88.00	5.1%	1.6%	2.8%	11.2%	5.6%	2.6%	-0.1%	-309.3M	1.85B	-8.8M	1.99	28.57	96,370	191,434	519,824	1,706,378
2017-06-12	$88.48	$88.00	5.3%	1.7%	2.9%	13.3%	6.4%	2.7%	0.5%	-38.3M	1.66B	-11.3M	3.00	31.77	47,724	143,013	553,095	1,750,230
2017-06-13	$88.60	$88.00	4.9%	1.3%	2.8%	8.3%	5.9%	2.3%	-0.9%	74.5M	1.30B	-10.1M	3.61	27.79	46,020	165,953	561,204	1,786,949
2017-06-14	$88.60	$88.00	5.3%	1.5%	2.8%	14.0%	7.3%	2.1%	-1.1%	88.8M	1.24B	-9.1M	4.43	32.55	38,058	168,612	585,592	1,855,443
2017-06-15	$88.32	$88.00	5.2%	1.6%	2.6%	12.6%	7.5%	2.8%	0.7%	-316.9M	2.03B	-10.1M	4.78	28.46	35,854	171,224	595,015	1,927,543
2017-06-16	$88.19	$88.00	5.2%	1.5%	2.7%	11.9%	5.8%	2.1%	-0.2%	-602.0M	2.24B	-9.9M	2.77	23.24	41,085	113,608	592,065	1,976,196
2017-06-19	$88.37	$88.00	4.5%	1.3%	2.7%	3.5%	6.3%	2.4%	0.3%	-262.8M	1.09B	-10.6M	4.44	28.75	18,639	82,718	410,706	1,229,937
2017-06-20	$88.12	$88.00	5.6%	1.6%	2.7%	16.8%	7.2%	3.3%	0.4%	-348.0M	1.50B	-9.5M	4.50	18.02	58,904	264,835	414,988	1,247,037
2017-06-21	$87.55	$88.00	6.6%	1.9%	3.5%	30.0%	7.9%	3.4%	0.3%	-736.9M	4.00B	-16.9M	7.56	65.27	28,715	217,200	442,505	1,441,831
2017-06-22	$87.84	$89.00	5.9%	1.7%	3.6%	21.5%	7.5%	3.0%	0.5%	-747.9M	3.57B	-16.6M	3.05	49.67	78,807	240,176	458,608	1,520,042
2017-06-23	$88.11	$88.00	5.3%	1.5%	3.8%	13.6%	5.1%	3.0%	0.9%	-677.4M	3.31B	-18.0M	2.19	22.55	67,578	147,798	475,230	1,571,246
2017-06-26	$88.33	$88.00	5.0%	1.4%	4.0%	10.0%	5.9%	2.5%	-0.0%	-397.5M	1.98B	-11.0M	4.07	45.40	23,191	94,469	450,674	1,565,194
2017-06-27	$88.10	$89.00	5.8%	1.6%	4.0%	20.2%	6.5%	2.5%	0.3%	-611.5M	2.85B	-13.7M	3.15	6.14	54,563	171,893	440,059	1,535,116
2017-06-28	$88.40	$89.00	5.0%	1.4%	4.2%	11.7%	7.8%	2.6%	0.5%	-496.6M	2.60B	-13.7M	7.33	5.56	32,027	234,613	461,549	1,659,329
2017-06-29	$88.21	$89.00	6.1%	1.7%	4.2%	27.3%	6.9%	2.5%	0.5%	-485.5M	2.72B	-12.7M	3.18	19.51	52,370	166,295	461,798	1,711,480
2017-06-30	$88.46	$89.00	5.0%	1.3%	4.3%	11.3%	4.0%	1.6%	0.4%	-405.8M	2.57B	-16.7M	1.64	20.82	161,256	264,342	480,213	1,749,897