HYG Options History — December 2017

In December 2017, HYG traded between $86.93 and $87.38. ATM implied volatility averaged 5.0%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.2% (HV 20d: 3.8%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.89.

Notable Days

2017-12-11: Highest Volume — 289,853 contracts
2017-12-08: Largest IV drop — 14.4% change
2017-12-07: Highest IV Rank — 43.7%
2017-12-07: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.23	$86.93	$87.38	$87.38	$87.24
Max Pain	$88.55	$88.00	$90.00	$90.00	$89.00
ATM IV	5.0%	4.2%	5.9%	5.9%	5.3%
Expected Move	1.5%	1.2%	1.8%	1.7%	1.5%
HV 20d	3.8%	2.6%	5.3%	5.3%	2.7%
HV 60d	3.6%	3.5%	3.7%	3.7%	3.5%
IV Rank	26.5%	10.8%	43.7%	41.6%	34.2%
IV Percentile	26.8%	4.0%	54.4%	54.4%	42.5%
Term Structure	0.2%	-0.6%	0.7%	0.1%	0.2%
VWIV	6.1%	4.6%	8.2%	7.0%	5.7%
Skew 25d	2.5%	1.9%	3.1%	2.4%	2.6%
Skew 10d	5.2%	4.0%	6.7%	5.6%	5.4%
Call IV 25d	4.2%	3.4%	5.1%	5.0%	3.8%
Put IV 25d	6.7%	5.9%	7.6%	7.4%	6.4%
Bid-Ask Spread %	21.48	5.91	32.87	24.88	5.91
Gamma HHI	0.23	0.18	0.34	0.20	0.18
Net GEX	-1.04B	-1.54B	-722.8M	-1.01B	-722.8M
Net DEX	4.37B	3.10B	5.41B	4.83B	3.10B
Net VEX	-14.4M	-18.6M	-12.0M	-18.6M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.89	1.10	6.23	2.52	2.28
Total Volume	170,935.1	91,119	289,853	183,539	128,822
Total OI	2,630,027.6	2,096,227	3,020,231	2,786,653	2,366,315

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
2017-12-01	$87.38	$90.00	5.9%	1.7%	5.3%	41.6%	7.0%	2.4%	0.1%	-1.01B	4.83B	-18.6M	2.52	24.88	52,209	131,330	642,935	2,143,718
2017-12-04	$87.35	$88.00	5.3%	1.7%	5.3%	32.0%	6.4%	2.1%	0.0%	-1.14B	5.03B	-17.0M	2.37	32.87	50,265	119,225	649,616	2,170,946
2017-12-05	$87.32	$88.00	5.4%	1.7%	5.3%	34.3%	6.3%	2.5%	-0.0%	-1.10B	4.73B	-16.9M	2.41	24.77	62,977	151,779	660,038	2,176,519
2017-12-06	$87.21	$88.00	5.7%	1.7%	5.2%	43.2%	5.8%	2.4%	-0.0%	-1.22B	5.14B	-17.4M	3.01	18.94	46,415	139,818	675,388	2,229,463
2017-12-07	$87.22	$88.00	5.8%	1.8%	5.0%	43.7%	7.2%	2.3%	0.2%	-1.31B	5.41B	-17.0M	4.02	27.01	43,088	173,110	674,688	2,239,310
2017-12-08	$87.34	$88.00	4.9%	1.7%	4.7%	25.8%	6.6%	1.9%	-0.2%	-1.16B	4.84B	-15.2M	2.51	25.41	59,788	149,942	676,451	2,234,053
2017-12-11	$87.38	$88.00	4.9%	1.6%	4.6%	25.5%	5.9%	2.5%	0.7%	-1.12B	4.70B	-14.3M	2.01	27.45	96,173	193,680	695,923	2,232,634
2017-12-12	$87.33	$88.00	4.8%	1.5%	4.6%	22.3%	4.6%	2.7%	0.6%	-1.22B	5.15B	-14.9M	3.32	29.82	39,515	131,232	737,804	2,266,650
2017-12-13	$87.38	$88.00	4.8%	1.5%	4.2%	23.1%	8.2%	2.2%	0.5%	-1.17B	4.87B	-13.5M	6.23	28.53	18,762	116,964	723,307	2,246,906
2017-12-14	$87.22	$88.00	5.0%	1.4%	4.3%	28.3%	5.5%	2.5%	-0.0%	-1.54B	5.23B	-14.0M	1.10	29.03	100,059	110,224	713,459	2,266,854
2017-12-15	$87.23	$88.00	4.8%	1.3%	2.8%	22.7%	5.4%	2.5%	-0.6%	-1.33B	5.02B	-12.4M	1.26	30.32	87,325	110,052	750,934	2,269,297
2017-12-18	$87.31	$89.00	4.2%	1.2%	2.8%	10.8%	5.5%	2.6%	0.6%	-792.6M	3.47B	-13.3M	1.52	29.82	77,178	117,015	534,373	1,561,854
2017-12-19	$87.10	$89.00	4.7%	1.4%	2.9%	21.0%	6.2%	3.1%	0.4%	-919.7M	4.00B	-13.2M	3.30	20.11	36,621	120,710	570,913	1,596,212
2017-12-20	$87.22	$89.00	4.5%	1.3%	2.9%	16.2%	6.1%	2.6%	0.3%	-835.3M	3.84B	-12.8M	5.48	29.86	22,833	125,210	590,417	1,629,713
2017-12-21	$86.93	$89.00	4.5%	1.3%	2.9%	15.5%	6.1%	2.7%	0.3%	-956.2M	3.79B	-13.5M	2.39	6.94	54,021	129,159	591,403	1,662,084
2017-12-22	$87.06	$89.00	4.7%	1.3%	3.0%	19.8%	5.8%	2.5%	0.2%	-892.7M	3.63B	-13.3M	2.79	13.40	25,814	72,045	632,049	1,708,041
2017-12-26	$87.11	$89.00	4.8%	1.4%	2.9%	24.0%	6.8%	2.5%	0.4%	-802.1M	3.54B	-13.3M	3.02	11.28	22,647	68,472	647,189	1,707,190
2017-12-27	$87.18	$89.00	4.9%	1.3%	2.6%	25.3%	5.4%	2.7%	0.4%	-785.1M	3.46B	-12.4M	3.12	7.18	28,922	90,144	647,324	1,708,864
2017-12-28	$87.13	$89.00	4.7%	1.2%	2.6%	21.5%	5.6%	2.6%	0.4%	-848.3M	3.62B	-12.5M	3.13	6.15	27,880	87,277	652,832	1,716,886
2017-12-29	$87.24	$89.00	5.3%	1.5%	2.7%	34.2%	5.7%	2.6%	0.2%	-722.8M	3.10B	-12.0M	2.28	5.91	39,333	89,489	654,703	1,711,612