HYG Options History — November 2017

In November 2017, HYG traded between $86.70 and $88.03. ATM implied volatility averaged 5.4%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.3% (HV 20d: 4.0%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.65.

Notable Days

  • 2017-11-15: Highest Volume — 353,436 contracts
  • 2017-11-24: Largest IV spike — 26.1% change
  • 2017-11-14: Highest IV Rank — 42.1%
  • 2017-11-14: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.54$86.70$88.03$88.03$87.80
Max Pain$89.76$88.00$95.00$90.00$89.00
ATM IV5.4%3.7%6.8%5.4%5.0%
Expected Move1.5%1.1%1.9%1.4%1.4%
HV 20d4.0%2.5%5.3%2.5%5.0%
HV 60d3.4%3.0%3.6%3.5%3.5%
IV Rank25.3%0.0%42.1%22.4%23.3%
IV Percentile36.4%0.0%73.4%33.3%25.0%
Term Structure-0.0%-0.7%1.2%-0.1%-0.2%
VWIV6.4%4.3%10.2%5.3%7.6%
Skew 25d2.5%1.6%3.9%2.2%2.3%
Skew 10d4.9%2.6%8.1%7.0%4.6%
Call IV 25d4.8%3.9%6.1%4.9%4.8%
Put IV 25d7.3%6.0%10.0%7.1%7.1%
Bid-Ask Spread %37.4919.8655.4930.9355.49
Gamma HHI0.190.140.290.160.23
Net GEX-897.4M-1.33B-521.3M-682.1M-817.8M
Net DEX4.58B2.86B7.50B3.14B4.12B
Net VEX-17.0M-19.3M-13.6M-15.6M-16.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.651.185.061.631.18
Total Volume213,010.524117,378353,436203,710220,676
Total OI2,741,146.7142,418,8963,199,9402,430,5342,807,203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$88.03$90.005.4%1.4%2.5%22.4%5.3%2.2%-0.1%-682.1M3.14B-15.6M1.6330.9377,360126,350613,7961,816,738
2017-11-02$87.98$88.005.2%1.5%2.5%20.3%10.2%2.5%-0.1%-713.1M3.24B-16.0M2.3719.8656,840134,547613,1811,815,075
2017-11-03$87.95$89.004.7%1.4%2.5%13.4%4.9%1.6%-0.1%-816.2M3.21B-14.6M2.3126.2554,956126,911619,3351,831,551
2017-11-06$87.96$88.004.6%1.3%2.5%11.7%5.8%1.7%-0.5%-845.3M3.32B-16.0M1.8234.0084,103153,227611,5011,807,395
2017-11-07$87.74$89.005.1%1.3%2.6%17.8%5.5%1.8%-0.7%-873.5M3.49B-13.6M1.7632.3165,024114,636633,5611,860,254
2017-11-08$87.33$89.005.3%1.8%3.0%20.8%6.8%2.3%1.2%-1.04B4.81B-17.0M3.1327.0878,853246,688653,2551,878,877
2017-11-09$86.92$89.006.5%1.9%3.3%37.8%8.3%3.6%0.0%-1.12B6.27B-19.1M3.7431.7172,252270,266664,1482,021,090
2017-11-10$87.12$90.006.2%1.7%3.5%33.0%7.1%2.6%-0.2%-1.17B6.15B-18.9M2.9230.4062,681182,788713,9112,110,359
2017-11-13$87.12$95.006.2%1.8%3.5%33.5%7.3%3.2%0.6%-1.20B6.39B-18.4M3.5333.9544,769157,936728,9162,151,465
2017-11-14$86.71$95.006.8%1.9%3.6%42.1%7.6%3.9%1.0%-1.33B7.50B-19.1M2.3626.4659,379140,219751,4182,206,549
2017-11-15$86.70$90.006.1%1.7%3.6%34.7%8.0%3.0%1.0%-1.23B7.09B-18.3M3.2144.1983,956269,480770,4762,247,537
2017-11-16$87.50$90.006.3%1.8%5.1%40.8%7.9%3.2%-0.5%-965.9M5.61B-19.3M2.7639.3675,052207,443807,3202,336,901
2017-11-17$87.49$90.005.5%1.6%5.1%31.1%5.7%2.5%-0.3%-833.8M5.05B-17.9M2.6542.6069,910185,446837,4452,362,495
2017-11-20$87.49$90.004.8%1.2%5.1%19.3%5.0%2.0%-0.2%-839.6M4.33B-18.1M3.2838.3736,277118,890651,8382,068,768
2017-11-21$87.66$89.005.0%1.3%5.2%21.7%4.6%2.1%0.1%-786.4M3.73B-16.8M1.3232.5675,51199,395655,1412,083,719
2017-11-22$87.83$89.003.7%1.2%5.2%0.0%5.8%2.3%0.1%-611.4M3.32B-16.5M2.5747.3039,536101,760674,4222,093,757
2017-11-24$87.87$89.004.7%1.1%5.2%17.1%4.3%1.9%-0.7%-521.3M2.86B-13.7M1.6736.8744,21073,903664,8022,090,295
2017-11-27$87.60$89.005.1%1.4%5.2%23.7%5.4%2.1%-0.3%-841.5M4.40B-16.1M5.0652.9734,348173,654661,7022,076,509
2017-11-28$87.85$89.005.3%1.4%5.3%29.3%5.9%2.4%0.1%-736.4M3.76B-16.6M3.6853.5329,221107,390675,5682,102,266
2017-11-29$87.75$89.005.7%1.6%5.3%37.5%5.9%2.6%-0.2%-872.3M4.32B-17.5M2.7551.0831,34086,038672,5702,120,972
2017-11-30$87.80$89.005.0%1.4%5.0%23.3%7.6%2.3%-0.2%-817.8M4.12B-16.8M1.1855.49101,214119,462674,8112,132,392