HYG Options History — August 2017

In August 2017, HYG traded between $87.22 and $88.65. ATM implied volatility averaged 5.9%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 2.0% (HV 20d: 3.9%). Max pain ranged from $89.00 to $95.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.08.

Notable Days

2017-08-18: Highest Volume — 363,611 contracts
2017-08-17: Largest IV spike — 37.2% change
2017-08-17: Highest IV Rank — 53.6%
2017-08-17: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.02	$87.22	$88.65	$88.64	$88.59
Max Pain	$89.52	$89.00	$95.00	$95.00	$89.00
ATM IV	5.9%	4.9%	7.7%	5.1%	5.0%
Expected Move	1.7%	1.3%	2.3%	1.3%	1.3%
HV 20d	3.9%	2.9%	4.8%	3.3%	4.8%
HV 60d	4.0%	3.6%	4.3%	3.7%	4.3%
IV Rank	29.6%	15.4%	53.6%	18.5%	17.2%
IV Percentile	31.2%	7.9%	73.8%	12.7%	10.7%
Term Structure	0.1%	-0.9%	0.9%	0.1%	0.5%
VWIV	7.4%	4.8%	10.9%	6.8%	6.0%
Skew 25d	2.8%	1.7%	4.3%	1.7%	2.3%
Skew 10d	5.7%	3.5%	7.8%	3.5%	6.0%
Call IV 25d	4.9%	3.7%	6.4%	4.1%	4.3%
Put IV 25d	7.7%	5.8%	9.9%	5.8%	6.6%
Bid-Ask Spread %	31.47	11.23	85.95	19.00	26.67
Gamma HHI	0.19	0.14	0.26	0.20	0.26
Net GEX	-549.1M	-1.13B	-58.3M	-270.5M	-58.3M
Net DEX	2.69B	1.18B	4.83B	1.79B	1.18B
Net VEX	-15.4M	-18.6M	-13.2M	-13.2M	-14.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.65	1.80	1.27	0.83
Total Volume	233,149.043	148,144	363,611	260,009	256,440
Total OI	2,505,105.478	2,212,050	2,773,687	2,212,050	2,566,665

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
2017-08-01	$88.64	$95.00	5.1%	1.3%	3.3%	18.5%	6.8%	1.7%	0.1%	-270.5M	1.79B	-13.2M	1.27	19.00	114,468	145,541	492,303	1,719,747
2017-08-02	$88.65	$95.00	5.3%	1.3%	3.3%	21.5%	4.8%	2.5%	0.0%	-259.4M	2.08B	-14.8M	0.96	11.51	114,118	109,855	552,210	1,814,012
2017-08-03	$88.50	$89.00	5.2%	1.7%	2.9%	20.1%	8.0%	2.2%	0.1%	-322.1M	2.04B	-14.7M	0.86	36.33	90,057	77,670	586,506	1,857,656
2017-08-04	$88.42	$89.00	5.0%	1.6%	2.9%	17.2%	7.6%	1.8%	0.1%	-434.6M	2.14B	-14.8M	0.65	26.08	89,909	58,235	587,086	1,887,179
2017-08-07	$88.43	$89.00	4.9%	1.6%	2.9%	15.4%	9.3%	2.1%	0.6%	-378.9M	2.03B	-14.3M	0.68	32.07	92,424	63,062	587,560	1,872,565
2017-08-08	$88.16	$89.00	5.7%	1.7%	3.1%	26.1%	5.9%	2.5%	0.0%	-671.4M	2.82B	-15.1M	0.77	49.99	114,133	87,647	592,466	1,875,183
2017-08-09	$87.71	$89.00	6.2%	1.5%	3.1%	33.3%	7.2%	3.2%	-0.9%	-973.3M	3.91B	-16.3M	0.82	32.96	120,364	98,227	620,457	1,910,780
2017-08-10	$87.22	$89.00	7.7%	2.2%	3.5%	53.1%	8.7%	4.3%	0.3%	-1.01B	4.77B	-18.6M	1.05	57.62	108,967	114,328	620,784	1,907,590
2017-08-11	$87.35	$89.00	7.2%	2.2%	3.4%	46.9%	8.9%	3.5%	0.9%	-964.3M	4.50B	-18.2M	1.08	85.95	101,918	110,485	619,123	1,895,302
2017-08-14	$87.74	$89.00	6.5%	1.8%	3.8%	36.9%	7.2%	3.6%	0.6%	-862.8M	3.38B	-15.8M	0.87	50.08	156,281	135,266	632,864	1,912,488
2017-08-15	$87.86	$89.00	6.0%	1.7%	3.9%	30.3%	6.3%	2.9%	-0.2%	-838.5M	3.24B	-14.3M	1.06	19.15	163,770	173,644	655,836	1,964,884
2017-08-16	$87.87	$89.00	5.6%	1.6%	3.8%	25.4%	7.0%	3.0%	0.4%	-800.0M	3.02B	-14.7M	1.37	19.32	109,820	150,240	667,943	2,003,343
2017-08-17	$87.35	$89.00	7.7%	2.3%	4.2%	53.6%	10.3%	3.7%	-0.7%	-1.13B	4.83B	-18.1M	0.75	14.68	158,269	118,764	674,714	2,048,354
2017-08-18	$87.50	$89.00	7.3%	2.2%	4.3%	48.7%	8.3%	3.6%	-0.7%	-727.3M	4.10B	-17.3M	1.40	11.23	151,405	212,206	701,759	2,071,928
2017-08-21	$87.51	$89.00	6.8%	1.9%	4.3%	41.8%	10.9%	3.2%	-0.0%	-693.4M	3.20B	-17.9M	1.00	21.01	115,740	115,254	526,665	1,825,085
2017-08-22	$87.95	$89.00	5.7%	1.6%	4.7%	26.7%	9.0%	2.7%	0.1%	-412.1M	2.02B	-14.5M	1.00	20.17	122,465	121,940	533,391	1,832,446
2017-08-23	$87.95	$89.00	5.8%	1.5%	4.7%	27.7%	8.2%	2.7%	0.3%	-440.1M	2.18B	-16.4M	0.95	14.29	102,633	97,464	549,230	1,865,493
2017-08-24	$88.05	$89.00	5.8%	1.5%	4.7%	27.7%	6.8%	2.9%	0.2%	-357.6M	2.01B	-15.4M	1.78	62.59	94,997	169,440	544,326	1,901,119
2017-08-25	$88.23	$89.00	5.6%	1.5%	4.8%	25.6%	5.1%	2.5%	0.2%	-280.2M	1.63B	-14.1M	1.38	26.19	89,439	123,559	560,295	2,002,849
2017-08-28	$88.25	$89.00	5.7%	1.5%	4.8%	26.0%	6.5%	2.7%	0.2%	-256.2M	1.86B	-15.5M	1.24	25.23	88,082	109,427	559,991	1,952,042
2017-08-29	$88.13	$89.00	5.5%	1.5%	4.7%	23.9%	5.5%	2.6%	0.6%	-282.2M	1.75B	-13.4M	1.26	29.70	86,564	108,779	567,204	1,948,705
2017-08-30	$88.33	$89.00	5.1%	1.3%	4.7%	17.9%	6.7%	2.5%	0.4%	-198.0M	1.42B	-13.2M	1.80	32.02	78,288	140,844	573,342	1,975,956
2017-08-31	$88.59	$89.00	5.0%	1.3%	4.8%	17.2%	6.0%	2.3%	0.5%	-58.3M	1.18B	-14.5M	0.83	26.67	140,313	116,127	572,766	1,993,899