HYG Options History — October 2017

In October 2017, HYG traded between $88.25 and $88.68. ATM implied volatility averaged 4.5%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 2.2% (HV 20d: 2.2%). Max pain ranged from $88.00 to $92.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.62.

Notable Days

  • 2017-10-12: Highest Volume — 320,548 contracts
  • 2017-10-17: Largest IV drop — 17.2% change
  • 2017-10-26: Highest IV Rank — 19.1%
  • 2017-10-26: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.47$88.25$88.68$88.38$88.47
Max Pain$89.05$88.00$92.00$92.00$90.00
ATM IV4.5%3.8%5.1%4.6%4.8%
Expected Move1.3%1.0%1.6%1.2%1.2%
HV 20d2.2%1.9%2.7%2.7%1.9%
HV 60d3.4%3.4%3.6%3.6%3.4%
IV Rank10.3%0.4%19.1%11.9%14.8%
IV Percentile9.3%0.4%27.8%7.9%19.0%
Term Structure0.3%-0.4%1.1%-0.1%-0.1%
VWIV6.5%4.6%9.7%5.1%5.9%
Skew 25d2.2%1.8%3.1%1.8%2.3%
Skew 10d4.9%2.9%6.6%5.3%6.4%
Call IV 25d3.9%3.0%4.7%4.5%4.7%
Put IV 25d6.2%5.6%7.1%6.3%7.0%
Bid-Ask Spread %24.866.2337.406.2337.40
Gamma HHI0.220.150.280.200.19
Net GEX-101.4M-621.7M340.8M-162.0M-360.3M
Net DEX1.64B929.4M2.81B1.30B2.42B
Net VEX-13.6M-16.8M-11.3M-12.8M-13.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.621.345.142.681.67
Total Volume256,006.318184,156320,548247,102252,784
Total OI2,503,816.1821,970,0452,926,6412,324,6632,417,383

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$88.38$92.004.6%1.2%2.7%11.9%5.1%1.8%-0.1%-162.0M1.30B-12.8M2.686.2367,093180,009509,8161,814,847
2017-10-03$88.52$89.004.9%1.2%2.6%15.1%5.1%2.1%-0.2%24.4M929.4M-12.4M3.786.4750,701191,765532,5371,839,306
2017-10-04$88.41$89.004.6%1.2%2.6%11.7%4.6%2.3%0.2%-50.8M1.19B-13.2M2.087.2060,714126,083540,5541,886,608
2017-10-05$88.50$88.004.7%1.5%2.7%13.2%7.4%2.0%0.1%43.3M961.3M-12.7M1.9018.8273,149139,188556,2051,907,430
2017-10-06$88.44$88.004.6%1.5%2.4%11.7%8.1%1.9%-0.0%26.6M1.16B-13.0M3.2125.2943,728140,428555,0301,939,671
2017-10-09$88.43$88.004.7%1.5%2.1%13.0%9.0%2.0%0.7%-54.3M1.19B-12.9M5.1424.7439,267201,853553,2241,962,199
2017-10-10$88.49$88.004.8%1.5%2.1%14.2%6.6%2.0%0.5%14.5M1.32B-13.6M4.2328.1659,291251,070553,2732,030,345
2017-10-11$88.40$88.004.5%1.4%2.2%9.7%4.6%1.9%0.5%-67.9M1.41B-13.5M2.7725.3580,231222,245553,4892,105,382
2017-10-12$88.32$89.004.4%1.4%2.1%9.5%6.1%2.0%0.3%-68.2M2.00B-15.1M2.7824.1884,761235,787581,2532,143,697
2017-10-13$88.34$89.004.3%1.3%2.1%7.6%5.9%2.0%0.3%-202.6M2.02B-14.2M2.3828.3477,192184,075588,1232,177,611
2017-10-16$88.38$89.004.5%1.3%2.1%10.8%5.4%3.0%-0.4%-123.5M1.95B-14.0M1.8127.2184,624153,133590,6492,184,669
2017-10-17$88.53$89.003.8%1.0%2.1%0.4%6.3%2.4%1.0%261.5M1.25B-11.3M2.6731.7977,311206,764597,7662,188,843
2017-10-18$88.61$89.003.8%1.1%2.2%1.1%4.8%2.2%0.6%295.7M1.33B-13.0M1.7328.4074,989129,628602,7412,230,569
2017-10-19$88.65$89.003.8%1.1%2.1%0.6%6.6%2.9%1.1%340.8M1.44B-13.0M2.7631.5655,794153,728616,6632,240,390
2017-10-20$88.68$89.003.8%1.0%2.1%0.6%5.1%2.2%0.6%88.6M1.43B-13.1M3.9528.5649,232194,593617,5642,309,077
2017-10-23$88.61$89.004.2%1.3%2.1%6.7%6.4%2.1%0.4%-117.0M1.29B-12.9M4.2726.7447,194201,445438,9041,531,141
2017-10-24$88.60$89.004.3%1.3%2.0%8.4%9.7%2.2%0.5%-228.1M1.66B-14.8M1.7923.0287,240156,459471,9481,588,116
2017-10-25$88.35$89.004.7%1.4%2.3%12.7%5.8%3.1%0.4%-358.4M2.16B-14.7M1.5229.62125,203190,139545,1191,633,803
2017-10-26$88.25$89.005.1%1.6%2.3%19.1%8.5%2.5%0.4%-604.0M2.81B-16.8M1.3433.02134,033179,650531,0481,706,730
2017-10-27$88.48$90.004.9%1.4%2.4%15.4%8.6%2.4%0.4%-621.7M2.65B-16.6M1.5126.41116,370175,648552,5451,771,326
2017-10-30$88.44$90.005.1%1.4%2.0%17.9%7.1%2.0%0.0%-307.8M2.23B-12.6M1.6228.33105,750171,798589,5611,796,801
2017-10-31$88.47$90.004.8%1.2%1.9%14.8%5.9%2.3%-0.1%-360.3M2.42B-13.2M1.6737.4094,617158,167602,8561,814,527