HYG Options History — September 2017

In September 2017, HYG traded between $87.81 and $88.74. ATM implied volatility averaged 5.0%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.4% (HV 20d: 3.6%). Max pain ranged from $88.00 to $89.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.04.

Notable Days

  • 2017-09-13: Highest Volume — 298,573 contracts
  • 2017-09-05: Largest IV spike — 23.3% change
  • 2017-09-05: Highest IV Rank — 31.7%
  • 2017-09-05: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.34$87.81$88.74$88.30$88.74
Max Pain$88.50$88.00$89.00$89.00$89.00
ATM IV5.0%4.4%6.1%4.9%4.4%
Expected Move1.4%1.2%1.7%1.2%1.2%
HV 20d3.6%2.5%5.0%5.0%2.5%
HV 60d4.1%3.5%4.3%4.3%3.5%
IV Rank16.5%8.7%31.7%16.3%8.7%
IV Percentile12.2%1.6%36.1%9.5%1.6%
Term Structure0.2%-0.4%0.7%0.5%0.5%
VWIV7.3%5.0%9.6%5.0%8.0%
Skew 25d2.5%2.1%3.0%2.1%2.4%
Skew 10d5.7%4.4%6.5%4.9%5.1%
Call IV 25d4.3%3.4%5.3%4.2%3.4%
Put IV 25d6.7%5.8%8.1%6.3%5.8%
Bid-Ask Spread %34.749.2450.469.2436.83
Gamma HHI0.200.150.310.190.31
Net GEX-344.7M-840.2M139.2M-283.3M139.2M
Net DEX1.46B378.3M2.71B1.40B378.3M
Net VEX-14.4M-16.6M-11.7M-13.5M-11.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.933.281.833.11
Total Volume226,848.9164,260298,573270,287256,530
Total OI2,478,745.72,020,9682,943,4532,542,8362,382,362

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$88.30$89.004.9%1.2%5.0%16.3%5.0%2.1%0.5%-283.3M1.40B-13.5M1.839.2495,464174,823529,5112,013,325
2017-09-05$88.16$88.006.1%1.7%5.0%31.7%8.8%2.5%-0.1%-498.1M1.94B-15.5M0.9928.2389,59388,475567,2112,053,512
2017-09-06$88.07$88.005.7%1.6%4.9%26.9%8.4%3.0%0.2%-631.2M2.26B-15.7M1.0629.9179,64484,616574,1902,074,549
2017-09-07$88.08$88.005.7%1.6%4.5%26.8%7.7%2.5%-0.1%-620.6M2.16B-15.8M1.4231.0880,449114,133575,4572,081,196
2017-09-08$87.81$88.005.6%1.6%4.2%25.7%9.2%2.9%-0.4%-813.1M2.71B-16.6M1.9040.2677,836147,777581,8572,099,024
2017-09-11$88.09$88.005.5%1.6%4.3%24.0%8.6%2.5%-0.2%-840.2M2.10B-15.3M1.6132.3797,046156,479584,3382,156,653
2017-09-12$88.17$88.005.3%1.5%4.0%21.7%9.6%2.1%-0.0%-684.1M1.70B-14.5M1.7832.3888,743157,744621,5132,170,665
2017-09-13$88.20$88.005.4%1.6%4.0%22.8%7.2%2.3%-0.2%-668.5M1.71B-14.7M1.4725.56120,851177,722627,2272,188,939
2017-09-14$88.35$88.004.8%1.5%4.0%14.5%7.5%2.2%0.4%-449.8M1.81B-15.8M0.9327.08105,09697,980653,7072,280,276
2017-09-15$88.41$88.004.7%1.5%3.3%13.2%7.1%2.1%0.6%-271.4M1.49B-14.0M1.1932.47101,694120,763660,0302,283,423
2017-09-18$88.36$88.004.6%1.3%3.3%11.5%6.9%2.4%0.3%-155.0M930.8M-14.1M2.2037.3160,880134,117510,9751,509,993
2017-09-19$88.47$89.004.7%1.3%3.3%12.9%5.8%2.5%0.1%-174.5M986.6M-13.7M1.7935.2063,942114,502531,9301,559,281
2017-09-20$88.48$89.004.6%1.3%2.8%12.2%6.0%2.6%0.3%-101.0M840.4M-13.2M2.7140.5451,552139,931542,2861,581,633
2017-09-21$88.35$89.004.4%1.3%2.9%9.1%7.1%2.4%0.1%-167.8M1.14B-13.1M2.9242.4450,371147,295544,5781,623,462
2017-09-22$88.40$89.004.4%1.3%2.9%9.2%6.1%2.8%0.5%-193.2M1.17B-13.9M2.9541.7566,009194,853545,1471,641,933
2017-09-25$88.44$89.004.6%1.3%2.8%11.8%6.0%2.7%0.1%-209.7M1.22B-14.1M2.5029.7566,718166,875554,8391,702,094
2017-09-26$88.59$89.004.5%1.3%2.8%11.1%6.3%2.5%0.7%-135.4M851.2M-13.4M2.3145.3074,281171,418566,1181,722,859
2017-09-27$88.63$89.004.5%1.3%2.8%10.3%7.0%2.5%0.5%-81.5M1.12B-14.9M2.8546.5875,543214,930574,8481,743,265
2017-09-28$88.63$89.004.5%1.3%2.7%10.3%8.3%2.2%0.7%-54.5M1.31B-15.3M3.2850.4653,861176,442575,2231,785,485
2017-09-29$88.74$89.004.4%1.2%2.5%8.7%8.0%2.4%0.5%139.2M378.3M-11.7M3.1136.8362,354194,176567,7241,814,638