HYG Options History — March 2018

In March 2018, HYG traded between $84.95 and $86.08. ATM implied volatility averaged 6.8%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.1% (HV 20d: 5.8%). Max pain ranged from $86.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.97.

Notable Days

2018-03-13: Highest Volume — 316,830 contracts
2018-03-22: Largest IV spike — 33.6% change
2018-03-01: Highest IV Rank — 64.7%
2018-03-01: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.62	$84.95	$86.08	$85.69	$85.62
Max Pain	$92.00	$86.00	$95.00	$95.00	$95.00
ATM IV	6.8%	5.1%	8.9%	8.9%	6.1%
Expected Move	1.9%	1.4%	2.6%	2.6%	1.7%
HV 20d	5.8%	4.2%	8.0%	8.0%	4.4%
HV 60d	5.4%	5.2%	5.7%	5.2%	5.7%
IV Rank	38.7%	17.8%	64.7%	64.7%	30.2%
IV Percentile	79.1%	44.8%	98.0%	98.0%	71.0%
Term Structure	-0.1%	-0.6%	0.8%	-0.3%	0.3%
VWIV	8.3%	5.9%	10.6%	9.4%	8.1%
Skew 25d	2.9%	2.0%	4.1%	4.0%	2.5%
Skew 10d	6.7%	3.6%	9.2%	8.9%	7.3%
Call IV 25d	5.8%	4.5%	7.3%	7.3%	5.3%
Put IV 25d	8.8%	7.0%	11.3%	11.3%	7.8%
Bid-Ask Spread %	21.88	6.83	33.79	11.15	15.08
Gamma HHI	0.22	0.17	0.28	0.17	0.27
Net GEX	-944.3M	-1.18B	-660.3M	-980.2M	-825.4M
Net DEX	5.65B	3.92B	6.87B	6.38B	5.02B
Net VEX	-14.6M	-16.8M	-12.8M	-16.4M	-15.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.97	1.60	4.95	2.68	3.49
Total Volume	247,427.048	141,622	316,830	267,240	293,792
Total OI	2,500,802.19	1,838,734	2,981,326	2,585,258	2,379,171

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
2018-03-01	$85.69	$95.00	8.9%	2.6%	8.0%	64.7%	9.4%	4.0%	-0.3%	-980.2M	6.38B	-16.4M	2.68	11.15	72,686	194,554	732,747	1,852,511
2018-03-02	$85.79	$95.00	8.1%	2.0%	7.7%	54.7%	8.1%	3.2%	-0.0%	-1.11B	6.22B	-15.8M	1.72	6.83	74,036	127,289	742,502	1,911,218
2018-03-05	$85.77	$86.00	7.2%	2.0%	7.4%	43.6%	9.6%	3.2%	-0.2%	-1.13B	5.90B	-14.4M	4.41	14.23	48,669	214,528	734,314	1,891,275
2018-03-06	$85.84	$87.00	7.7%	2.2%	7.3%	49.8%	9.6%	3.3%	-0.0%	-1.02B	5.83B	-15.2M	3.08	23.43	76,953	236,944	760,075	1,919,254
2018-03-07	$85.67	$87.00	7.9%	2.0%	7.0%	51.8%	8.3%	3.0%	-0.6%	-1.16B	6.52B	-15.1M	4.09	33.79	35,302	144,440	787,193	2,005,997
2018-03-08	$85.72	$87.00	7.3%	1.8%	6.9%	44.5%	7.6%	2.8%	-0.1%	-1.14B	6.38B	-14.7M	4.68	21.50	24,920	116,702	788,141	1,989,586
2018-03-09	$86.08	$87.00	5.9%	1.4%	6.4%	27.1%	5.9%	2.1%	-0.0%	-975.2M	5.06B	-12.8M	4.64	29.78	35,070	162,577	799,172	2,023,889
2018-03-12	$85.95	$87.00	6.2%	1.8%	6.2%	30.7%	7.9%	2.3%	-0.1%	-983.4M	5.82B	-13.3M	4.95	30.27	36,712	181,794	815,567	2,014,852
2018-03-13	$85.67	$87.00	6.8%	1.7%	5.8%	38.5%	9.3%	2.6%	-0.6%	-1.09B	6.34B	-13.8M	1.66	31.52	119,128	197,702	809,939	2,045,089
2018-03-14	$85.57	$89.00	6.6%	1.7%	5.8%	36.0%	9.9%	2.9%	-0.5%	-1.18B	6.71B	-13.5M	2.69	27.08	51,768	139,065	821,809	2,087,196
2018-03-15	$85.62	$95.00	6.2%	1.6%	5.7%	30.2%	6.8%	2.9%	-0.6%	-1.09B	6.87B	-13.6M	3.99	25.78	50,088	199,864	838,799	2,121,166
2018-03-16	$85.79	$95.00	5.1%	1.4%	5.0%	17.8%	6.9%	2.4%	-0.5%	-702.1M	6.60B	-13.4M	3.23	28.59	58,265	188,221	840,667	2,140,659
2018-03-19	$85.47	$95.00	6.4%	1.8%	4.8%	33.6%	8.0%	3.3%	0.1%	-721.2M	4.28B	-13.5M	2.73	32.33	50,341	137,301	465,655	1,373,079
2018-03-20	$85.63	$95.00	6.0%	1.7%	4.7%	28.9%	8.0%	2.9%	0.5%	-660.3M	3.92B	-12.8M	1.77	19.18	105,962	187,144	495,076	1,405,372
2018-03-21	$85.66	$95.00	5.7%	1.6%	4.5%	24.7%	6.1%	2.9%	0.8%	-698.3M	4.10B	-13.6M	1.80	29.92	89,159	160,744	533,749	1,462,606
2018-03-22	$85.19	$95.00	7.6%	2.2%	4.9%	48.7%	9.1%	4.1%	-0.3%	-842.8M	5.23B	-16.1M	2.21	20.31	83,465	184,805	549,771	1,535,673
2018-03-23	$84.95	$95.00	7.3%	2.1%	4.2%	44.0%	8.4%	3.5%	0.1%	-1.07B	5.59B	-15.7M	1.95	20.84	91,461	178,391	562,635	1,541,233
2018-03-26	$85.48	$95.00	6.7%	1.9%	4.8%	36.9%	7.7%	2.9%	0.4%	-775.2M	5.01B	-14.4M	1.60	9.04	92,358	147,788	605,940	1,591,076
2018-03-27	$85.37	$95.00	6.8%	1.9%	4.8%	38.8%	10.6%	2.0%	-0.2%	-778.8M	5.33B	-15.7M	2.61	16.44	82,379	214,962	608,902	1,618,624
2018-03-28	$85.39	$95.00	6.7%	1.9%	4.8%	37.6%	10.4%	2.9%	0.3%	-899.5M	5.59B	-16.8M	2.42	12.44	90,123	218,516	610,097	1,704,570
2018-03-29	$85.62	$95.00	6.1%	1.7%	4.4%	30.2%	8.1%	2.5%	0.3%	-825.4M	5.02B	-15.9M	3.49	15.08	65,459	228,333	628,779	1,750,392