HYG Options History — February 2018

In February 2018, HYG traded between $84.91 and $86.75. ATM implied volatility averaged 8.2%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.7% (HV 20d: 6.5%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.84.

Notable Days

2018-02-09: Highest Volume — 617,521 contracts
2018-02-08: Largest IV spike — 47.7% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.96	$84.91	$86.75	$86.75	$86.22
Max Pain	$91.84	$88.00	$95.00	$88.00	$95.00
ATM IV	8.2%	6.6%	11.8%	7.0%	7.7%
Expected Move	2.3%	1.8%	3.6%	2.0%	2.2%
HV 20d	6.5%	4.1%	8.0%	4.1%	7.9%
HV 60d	4.8%	4.2%	5.2%	4.2%	5.2%
IV Rank	62.7%	36.2%	100.0%	70.0%	49.1%
IV Percentile	93.1%	80.6%	100.0%	88.9%	92.5%
Term Structure	0.1%	-0.7%	1.1%	-0.1%	0.0%
VWIV	9.7%	7.6%	12.9%	9.0%	8.6%
Skew 25d	3.9%	2.4%	6.3%	3.1%	3.9%
Skew 10d	8.1%	4.7%	13.7%	6.6%	7.8%
Call IV 25d	7.0%	5.3%	10.0%	5.8%	6.6%
Put IV 25d	10.9%	8.0%	16.2%	8.9%	10.5%
Bid-Ask Spread %	44.31	10.76	101.15	46.20	12.73
Gamma HHI	0.17	0.15	0.23	0.15	0.16
Net GEX	-1.09B	-1.51B	-844.0M	-972.5M	-1.03B
Net DEX	6.91B	4.97B	9.44B	5.03B	5.83B
Net VEX	-15.4M	-18.3M	-12.5M	-14.8M	-15.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.84	1.14	5.69	2.65	1.14
Total Volume	251,803.895	124,831	617,521	130,649	154,415
Total OI	2,666,162.684	2,305,648	3,102,409	2,418,727	2,606,165

Daily Data (19 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
2018-02-01	$86.75	$88.00	7.0%	2.0%	4.1%	70.0%	9.0%	3.1%	-0.1%	-972.5M	5.03B	-14.8M	2.65	46.20	35,836	94,813	684,667	1,734,060
2018-02-02	$86.17	$88.00	7.8%	2.4%	4.6%	88.8%	9.4%	4.4%	-0.2%	-1.10B	6.30B	-15.7M	4.45	44.96	41,595	184,901	694,328	1,760,114
2018-02-05	$85.87	$88.00	9.3%	2.8%	4.6%	100.0%	11.1%	5.1%	0.4%	-1.03B	7.01B	-17.4M	3.41	79.25	49,674	169,471	711,913	1,779,136
2018-02-06	$86.30	$88.00	8.0%	2.2%	5.1%	75.7%	9.4%	4.1%	-0.3%	-1.08B	6.22B	-17.1M	5.69	101.15	31,276	178,045	737,479	1,834,287
2018-02-07	$85.96	$88.00	8.0%	2.4%	5.1%	75.8%	8.5%	4.1%	0.2%	-1.17B	7.03B	-16.5M	5.11	59.05	41,354	211,463	752,923	1,882,337
2018-02-08	$85.26	$88.00	11.8%	3.6%	5.7%	100.0%	12.9%	5.7%	1.0%	-1.10B	8.66B	-18.3M	3.34	52.91	69,307	231,750	779,701	1,987,009
2018-02-09	$84.91	$89.00	11.5%	3.2%	5.5%	96.2%	12.2%	6.3%	-0.7%	-1.19B	9.44B	-17.7M	3.08	51.09	151,446	466,075	801,710	2,034,624
2018-02-12	$85.53	$91.00	9.0%	2.5%	6.3%	66.2%	11.6%	4.6%	1.1%	-1.27B	8.82B	-16.6M	2.29	39.53	90,575	207,307	902,092	2,118,240
2018-02-13	$85.30	$91.00	9.2%	2.6%	6.4%	67.9%	11.0%	4.3%	-0.7%	-1.40B	9.34B	-16.4M	2.06	37.49	81,058	167,085	880,719	2,145,358
2018-02-14	$85.38	$91.00	8.1%	2.3%	6.4%	54.3%	9.7%	3.6%	-0.4%	-1.51B	9.18B	-14.9M	1.70	31.67	140,483	239,199	882,906	2,162,950
2018-02-15	$86.07	$95.00	7.7%	2.2%	7.2%	49.8%	9.6%	3.4%	0.2%	-1.23B	7.79B	-14.8M	1.47	34.22	131,452	193,678	926,581	2,170,752
2018-02-16	$86.48	$95.00	6.9%	2.0%	7.4%	39.9%	7.7%	2.6%	0.2%	-844.0M	6.77B	-13.8M	2.06	37.11	95,381	196,057	950,472	2,151,937
2018-02-20	$86.14	$95.00	7.2%	2.1%	7.5%	43.4%	10.0%	3.4%	0.2%	-922.1M	5.52B	-14.2M	2.10	41.52	67,737	142,068	645,620	1,660,028
2018-02-21	$85.80	$95.00	7.3%	2.1%	7.4%	44.2%	9.4%	2.4%	0.2%	-1.00B	6.17B	-14.5M	3.20	55.14	40,254	128,664	661,896	1,699,100
2018-02-22	$85.83	$95.00	7.9%	2.3%	7.5%	51.7%	9.3%	3.8%	-0.2%	-988.2M	6.32B	-14.7M	2.59	40.28	52,278	135,637	684,067	1,737,016
2018-02-23	$86.40	$95.00	7.0%	1.8%	8.0%	40.4%	7.6%	3.5%	0.0%	-933.7M	5.31B	-12.5M	3.10	50.42	38,564	119,660	706,115	1,778,901
2018-02-26	$86.54	$95.00	6.6%	1.8%	8.0%	36.2%	8.8%	3.0%	0.4%	-907.4M	4.97B	-12.5M	2.98	10.76	31,400	93,431	712,446	1,789,230
2018-02-27	$86.32	$95.00	7.1%	2.0%	8.0%	42.4%	8.7%	3.1%	-0.1%	-987.1M	5.64B	-14.2M	1.60	16.46	108,174	172,711	706,957	1,803,255
2018-02-28	$86.22	$95.00	7.7%	2.2%	7.9%	49.1%	8.6%	3.9%	0.0%	-1.03B	5.83B	-15.0M	1.14	12.73	72,049	82,366	751,745	1,854,420