HYG Options History — January 2018

In January 2018, HYG traded between $87.15 and $87.99. ATM implied volatility averaged 4.7%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.4% (HV 20d: 3.3%). 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 12 of 21 days. Put/call ratio averaged 1.46.

Notable Days

2018-01-05: Highest Volume — 402,558 contracts
2018-01-19: Largest IV drop — 30.8% change
2018-01-30: Highest IV Rank — 59.5%
2018-01-30: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.63	$87.15	$87.99	$87.32	$87.38
Max Pain	$90.95	$88.00	$95.00	$88.00	$95.00
ATM IV	4.7%	3.7%	6.5%	4.4%	5.5%
Expected Move	1.3%	0.8%	1.8%	1.1%	1.5%
HV 20d	3.3%	2.1%	3.8%	2.1%	3.8%
HV 60d	3.8%	3.5%	3.9%	3.5%	3.9%
IV Rank	21.1%	0.0%	59.5%	14.9%	39.4%
IV Percentile	23.1%	0.0%	84.1%	6.7%	56.7%
Term Structure	0.2%	-0.8%	1.4%	0.1%	-0.4%
VWIV	6.0%	3.2%	8.9%	7.3%	8.9%
Skew 25d	2.4%	1.5%	3.3%	3.0%	3.1%
Skew 10d	4.6%	3.3%	6.4%	5.7%	6.4%
Call IV 25d	4.0%	2.5%	5.9%	3.6%	5.6%
Put IV 25d	6.4%	4.8%	9.2%	6.6%	8.6%
Bid-Ask Spread %	43.38	6.27	62.77	6.27	62.77
Gamma HHI	0.17	0.15	0.19	0.18	0.16
Net GEX	-558.1M	-911.2M	-199.0M	-579.8M	-822.6M
Net DEX	2.99B	1.69B	4.73B	2.71B	4.53B
Net VEX	-11.6M	-14.3M	-9.6M	-11.2M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.55	3.99	1.97	1.87
Total Volume	269,480.524	108,351	402,558	108,351	151,074
Total OI	2,492,568	1,853,781	3,027,789	2,361,955	2,381,135

Daily Data (21 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
2018-01-02	$87.32	$88.00	4.4%	1.1%	2.1%	14.9%	7.3%	3.0%	0.1%	-579.8M	2.71B	-11.2M	1.97	6.27	36,431	71,920	659,756	1,702,199
2018-01-03	$87.78	$88.00	4.0%	0.8%	2.8%	5.3%	3.2%	3.0%	-0.0%	-303.9M	1.90B	-10.1M	2.18	14.83	85,169	185,594	666,368	1,715,861
2018-01-04	$87.92	$88.00	3.7%	1.1%	2.8%	0.0%	5.0%	1.5%	-0.1%	-199.0M	1.71B	-9.6M	0.56	53.89	234,244	132,195	701,572	1,820,099
2018-01-05	$87.97	$88.00	4.1%	1.2%	2.8%	9.0%	6.2%	1.7%	-0.1%	-269.4M	1.89B	-11.8M	0.78	51.27	225,837	176,721	751,765	1,860,356
2018-01-08	$87.99	$88.00	4.3%	1.2%	2.8%	12.8%	7.0%	1.8%	0.0%	-292.7M	1.69B	-11.1M	0.62	42.03	187,098	115,925	748,637	1,856,615
2018-01-09	$87.64	$88.00	4.7%	1.2%	3.2%	21.7%	4.3%	1.6%	-0.8%	-477.0M	2.39B	-10.8M	0.61	44.83	192,335	116,454	748,587	1,857,649
2018-01-10	$87.42	$88.00	4.6%	1.6%	3.3%	19.2%	5.7%	2.1%	0.8%	-805.6M	3.19B	-11.8M	0.69	36.21	236,547	163,051	766,011	1,912,459
2018-01-11	$87.72	$88.00	4.8%	1.2%	3.5%	23.0%	6.3%	2.0%	-0.7%	-487.6M	2.71B	-10.9M	0.55	36.72	186,953	103,095	815,191	1,982,690
2018-01-12	$87.57	$88.00	4.4%	1.1%	3.6%	13.8%	5.2%	2.2%	-0.8%	-627.9M	3.05B	-11.0M	0.69	32.75	189,127	130,414	830,277	2,032,370
2018-01-16	$87.53	$88.00	4.6%	1.3%	3.5%	18.3%	5.7%	2.7%	0.9%	-741.4M	3.36B	-11.4M	0.68	39.96	193,605	131,946	831,283	2,005,683
2018-01-17	$87.53	$88.00	4.3%	1.2%	3.5%	13.4%	6.4%	2.4%	1.0%	-838.4M	3.49B	-11.7M	0.55	37.81	190,621	104,158	849,318	2,049,024
2018-01-18	$87.46	$89.00	5.7%	1.6%	3.5%	41.4%	5.7%	2.2%	-0.6%	-911.2M	3.72B	-10.9M	0.67	37.85	194,338	131,003	879,992	2,077,135
2018-01-19	$87.55	$95.00	3.9%	1.0%	3.4%	4.2%	5.2%	2.4%	1.4%	-736.2M	3.99B	-10.9M	0.64	48.96	207,002	133,331	905,282	2,122,507
2018-01-22	$87.62	$93.00	4.7%	1.3%	3.4%	21.4%	4.6%	2.2%	0.6%	-511.4M	2.58B	-10.8M	0.87	43.25	204,205	176,956	527,080	1,326,701
2018-01-23	$87.88	$95.00	4.5%	1.3%	3.2%	16.1%	5.3%	1.9%	0.5%	-348.8M	2.46B	-11.5M	1.57	50.62	77,615	122,086	582,578	1,396,848
2018-01-24	$87.77	$95.00	4.7%	1.3%	3.3%	20.5%	6.4%	2.8%	0.8%	-378.1M	2.66B	-11.8M	2.79	56.18	57,414	160,104	622,130	1,439,181
2018-01-25	$87.74	$95.00	5.3%	1.6%	3.3%	33.2%	7.3%	2.6%	0.4%	-485.4M	3.21B	-13.2M	2.71	52.57	40,141	108,685	645,752	1,515,848
2018-01-26	$87.76	$95.00	4.4%	1.2%	3.3%	15.1%	5.6%	2.5%	0.9%	-425.0M	2.98B	-12.4M	3.99	62.13	42,349	169,137	650,410	1,529,486
2018-01-29	$87.46	$95.00	5.7%	1.6%	3.5%	41.6%	6.7%	2.7%	0.2%	-644.0M	3.80B	-12.6M	2.55	58.53	39,030	99,552	657,668	1,616,101
2018-01-30	$87.15	$95.00	6.5%	1.8%	3.7%	59.5%	7.8%	3.3%	-0.0%	-834.7M	4.73B	-14.3M	3.13	41.44	37,662	117,967	672,068	1,632,256
2018-01-31	$87.38	$95.00	5.5%	1.5%	3.8%	39.4%	8.9%	3.1%	-0.4%	-822.6M	4.53B	-13.6M	1.87	62.77	52,554	98,520	687,985	1,693,150