HYG Options History — July 2017

In July 2017, HYG traded between $87.58 and $88.99. ATM implied volatility averaged 5.1%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.5% (HV 20d: 4.6%). Max pain ranged from $89.00 to $95.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.41.

Notable Days

2017-07-31: Highest Volume — 264,152 contracts
2017-07-31: Largest IV drop — 18.4% change
2017-07-06: Highest IV Rank — 39.2%
2017-07-06: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.41	$87.58	$88.99	$87.97	$88.94
Max Pain	$90.60	$89.00	$95.00	$89.00	$89.00
ATM IV	5.1%	3.7%	6.9%	5.9%	3.7%
Expected Move	1.4%	1.0%	1.8%	1.5%	1.0%
HV 20d	4.6%	3.7%	5.2%	4.7%	3.7%
HV 60d	3.9%	3.6%	4.1%	3.8%	3.6%
IV Rank	13.7%	0.0%	39.2%	24.1%	0.0%
IV Percentile	11.2%	0.0%	44.8%	20.2%	0.0%
Term Structure	0.1%	-1.1%	1.1%	-0.3%	0.3%
VWIV	6.1%	3.6%	9.0%	6.1%	3.6%
Skew 25d	2.3%	-0.0%	2.9%	1.9%	-0.0%
Skew 10d	4.8%	1.5%	6.4%	4.7%	1.5%
Call IV 25d	4.4%	3.3%	6.3%	5.8%	4.1%
Put IV 25d	6.7%	4.1%	8.8%	7.7%	4.1%
Bid-Ask Spread %	44.72	14.58	86.34	29.86	48.94
Gamma HHI	0.22	0.14	0.39	0.17	0.31
Net GEX	-225.8M	-962.3M	470.6M	-742.4M	165.8M
Net DEX	1.63B	121.1M	3.49B	3.00B	121.1M
Net VEX	-12.8M	-16.2M	-9.8M	-16.2M	-12.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.50	2.84	2.84	0.50
Total Volume	167,050.65	103,502	264,152	175,186	264,152
Total OI	2,427,700.9	2,161,521	2,734,702	2,356,374	2,321,891

Daily Data (20 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
2017-07-03	$87.97	$89.00	5.9%	1.5%	4.7%	24.1%	6.1%	1.9%	-0.3%	-742.4M	3.00B	-16.2M	2.84	29.86	45,658	129,528	495,407	1,860,967
2017-07-05	$87.96	$89.00	6.1%	1.5%	4.7%	27.6%	5.7%	2.3%	-0.2%	-718.1M	2.58B	-14.1M	2.41	78.55	36,243	87,425	516,435	1,871,433
2017-07-06	$87.58	$95.00	6.9%	1.8%	4.9%	39.2%	9.0%	2.6%	-0.0%	-890.8M	3.49B	-15.1M	2.32	35.96	35,250	81,619	518,105	1,872,679
2017-07-07	$87.71	$95.00	6.6%	1.7%	4.9%	34.1%	7.9%	2.8%	-0.1%	-879.4M	3.15B	-14.8M	1.82	14.58	38,617	70,246	519,318	1,909,855
2017-07-10	$87.65	$95.00	6.2%	1.6%	4.9%	28.3%	6.6%	2.8%	-1.1%	-962.3M	3.23B	-14.2M	2.10	18.19	34,048	71,644	519,407	1,879,024
2017-07-11	$87.69	$95.00	6.2%	1.7%	4.8%	28.9%	7.4%	2.8%	-0.9%	-900.6M	3.16B	-14.6M	1.43	82.85	45,923	65,494	523,112	1,879,227
2017-07-12	$88.16	$95.00	5.5%	1.5%	5.2%	19.0%	5.6%	2.9%	-0.5%	-511.6M	1.77B	-10.5M	1.94	23.79	67,988	132,049	542,213	1,894,213
2017-07-13	$88.30	$90.00	4.8%	1.5%	5.2%	8.5%	6.4%	2.5%	0.1%	-246.4M	1.77B	-13.2M	1.03	33.42	92,136	95,063	572,647	1,933,183
2017-07-14	$88.55	$90.00	4.8%	1.3%	5.2%	8.6%	5.3%	1.7%	-0.7%	-62.1M	1.67B	-14.2M	0.81	27.21	105,646	85,978	603,518	1,948,021
2017-07-17	$88.57	$89.00	5.0%	1.4%	5.2%	10.6%	6.4%	1.9%	0.8%	47.6M	1.24B	-12.5M	0.94	21.07	106,128	100,031	633,837	1,960,617
2017-07-18	$88.58	$89.00	4.9%	1.4%	5.1%	9.7%	5.8%	2.2%	1.0%	145.9M	965.0M	-10.6M	0.70	30.91	103,164	72,018	644,177	1,986,181
2017-07-19	$88.74	$89.00	4.5%	1.3%	5.0%	3.5%	4.6%	2.0%	0.7%	268.9M	942.0M	-11.3M	0.88	44.36	107,342	94,069	652,562	1,992,391
2017-07-20	$88.82	$89.00	4.4%	1.3%	4.4%	2.7%	5.2%	2.7%	0.5%	470.6M	484.3M	-9.8M	0.92	52.90	82,797	76,425	682,316	2,026,211
2017-07-21	$88.72	$89.00	4.0%	1.1%	4.3%	0.0%	5.1%	2.3%	1.1%	49.2M	1.34B	-13.7M	1.10	40.56	90,816	100,293	692,996	2,041,706
2017-07-24	$88.78	$89.00	4.1%	1.2%	4.2%	0.7%	5.3%	2.6%	-0.1%	33.2M	841.4M	-12.2M	0.91	61.89	54,151	49,351	570,428	1,591,093
2017-07-25	$88.82	$89.00	4.4%	1.3%	4.1%	5.9%	5.4%	2.5%	0.8%	69.7M	565.7M	-10.3M	1.75	62.06	51,862	90,675	578,253	1,601,757
2017-07-26	$88.99	$89.00	4.5%	1.3%	4.0%	6.8%	6.5%	1.7%	0.2%	87.1M	468.4M	-11.4M	1.67	86.34	53,120	88,582	579,000	1,632,947
2017-07-27	$88.88	$89.00	4.5%	1.3%	3.9%	7.4%	7.4%	2.9%	0.6%	-49.4M	1.10B	-13.5M	1.03	55.98	114,409	118,317	580,276	1,634,486
2017-07-28	$88.89	$89.00	4.6%	1.3%	3.8%	7.8%	6.3%	2.4%	0.4%	109.7M	773.1M	-12.1M	1.05	44.90	98,802	103,954	614,881	1,677,248
2017-07-31	$88.94	$89.00	3.7%	1.0%	3.7%	0.0%	3.6%	-0.0%	0.3%	165.8M	121.1M	-12.1M	0.50	48.94	176,061	88,091	628,585	1,693,306