HYG Options History — April 2018

In April 2018, HYG traded between $84.98 and $86.52. ATM implied volatility averaged 5.9%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.8% (HV 20d: 5.1%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.68.

Notable Days

2018-04-30: Highest Volume — 513,107 contracts
2018-04-26: Largest IV drop — 28.0% change
2018-04-02: Highest IV Rank — 52.4%
2018-04-02: Largest Expected Move — 2.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.80	$84.98	$86.52	$84.98	$85.75
Max Pain	$90.81	$85.00	$95.00	$95.00	$95.00
ATM IV	5.9%	4.6%	7.9%	7.9%	5.7%
Expected Move	1.6%	1.3%	2.1%	2.1%	1.5%
HV 20d	5.1%	3.8%	5.4%	5.1%	3.8%
HV 60d	5.8%	5.7%	5.9%	5.8%	5.7%
IV Rank	26.6%	10.5%	52.4%	52.4%	24.1%
IV Percentile	60.9%	16.3%	95.2%	95.2%	60.7%
Term Structure	0.0%	-0.8%	1.2%	-0.3%	0.5%
VWIV	7.1%	5.6%	8.9%	8.9%	7.1%
Skew 25d	2.6%	2.2%	3.3%	2.9%	2.4%
Skew 10d	5.3%	3.8%	8.5%	6.6%	4.3%
Call IV 25d	5.0%	4.0%	7.0%	7.0%	4.6%
Put IV 25d	7.6%	6.5%	9.9%	9.9%	7.0%
Bid-Ask Spread %	19.23	4.77	33.51	7.65	13.86
Gamma HHI	0.19	0.17	0.25	0.19	0.24
Net GEX	-644.4M	-973.2M	-309.6M	-925.4M	-732.7M
Net DEX	4.52B	3.06B	5.97B	5.97B	4.68B
Net VEX	-15.1M	-18.7M	-11.9M	-18.7M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	1.37	2.46	2.37	1.41
Total Volume	330,826.476	179,904	513,107	217,306	513,107
Total OI	2,704,432.19	2,353,230	3,103,929	2,420,331	2,610,300

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
2018-04-02	$84.98	$95.00	7.9%	2.1%	5.1%	52.4%	8.9%	2.9%	-0.3%	-925.4M	5.97B	-18.7M	2.37	7.65	64,473	152,833	646,550	1,773,781
2018-04-03	$85.19	$95.00	6.9%	1.7%	5.2%	39.9%	7.2%	2.6%	-0.3%	-928.5M	5.62B	-17.2M	1.73	4.77	65,841	114,063	660,738	1,820,730
2018-04-04	$85.43	$95.00	6.4%	1.5%	5.3%	33.9%	5.9%	3.3%	-0.1%	-770.2M	4.41B	-15.3M	2.46	7.77	71,496	176,198	660,296	1,821,717
2018-04-05	$85.50	$85.00	6.1%	2.0%	5.3%	29.2%	7.4%	2.2%	-0.3%	-761.5M	4.80B	-16.1M	1.82	22.28	96,367	175,172	684,238	1,898,563
2018-04-06	$85.28	$85.00	6.1%	1.9%	5.4%	29.5%	7.4%	2.5%	-0.0%	-973.2M	5.60B	-17.8M	1.49	22.77	115,194	171,813	736,405	2,036,489
2018-04-09	$85.59	$86.00	6.2%	1.6%	5.3%	30.5%	7.8%	2.6%	-0.5%	-717.4M	4.64B	-15.3M	1.47	16.45	97,978	143,781	766,288	1,959,110
2018-04-10	$85.90	$86.00	5.7%	1.6%	5.4%	24.8%	8.0%	2.3%	-0.4%	-584.0M	4.30B	-16.7M	1.61	16.58	136,274	219,886	768,690	1,962,483
2018-04-11	$85.97	$86.00	5.8%	1.5%	5.3%	25.4%	6.8%	2.3%	-0.8%	-509.5M	3.93B	-16.2M	1.91	13.84	109,490	209,114	767,758	2,014,640
2018-04-12	$86.17	$86.00	5.4%	1.6%	5.3%	21.5%	6.5%	2.2%	-0.4%	-393.6M	3.19B	-14.0M	1.51	21.24	170,234	256,403	772,666	1,995,993
2018-04-13	$86.34	$88.00	5.1%	1.7%	5.4%	17.7%	6.7%	2.7%	1.2%	-379.1M	3.52B	-14.7M	1.41	21.85	171,338	242,055	829,302	2,076,693
2018-04-16	$86.46	$88.00	5.5%	1.6%	5.4%	22.3%	7.4%	2.9%	-0.6%	-310.6M	3.06B	-12.2M	1.69	28.34	122,200	207,008	825,908	2,078,137
2018-04-17	$86.52	$89.00	4.6%	1.3%	5.1%	10.5%	5.6%	2.2%	0.8%	-309.6M	3.25B	-13.4M	1.51	25.93	110,557	167,410	842,595	2,098,923
2018-04-18	$86.35	$89.00	5.2%	1.5%	5.2%	18.3%	5.9%	2.6%	-0.6%	-368.7M	3.60B	-14.2M	1.37	24.75	137,386	188,435	860,603	2,117,022
2018-04-19	$86.15	$89.00	5.6%	1.6%	5.3%	23.5%	7.1%	2.9%	0.5%	-544.1M	4.45B	-15.3M	1.82	33.51	128,113	233,092	866,776	2,138,857
2018-04-20	$85.92	$95.00	5.6%	1.6%	4.9%	23.3%	7.4%	2.8%	0.3%	-914.8M	5.27B	-15.8M	1.68	17.84	154,184	258,604	896,598	2,207,331
2018-04-23	$85.65	$95.00	6.1%	1.7%	5.0%	29.3%	7.2%	2.7%	0.5%	-637.8M	4.32B	-13.5M	1.47	22.99	137,318	201,664	651,426	1,701,804
2018-04-24	$85.45	$95.00	7.1%	2.1%	4.6%	42.6%	7.9%	3.1%	0.2%	-664.6M	5.12B	-15.3M	1.63	16.57	113,541	184,694	721,753	1,780,496
2018-04-25	$85.49	$95.00	6.5%	1.8%	4.5%	34.1%	7.0%	2.6%	0.2%	-795.6M	5.57B	-16.9M	2.08	14.53	71,168	148,095	713,773	1,814,602
2018-04-26	$85.86	$95.00	4.7%	1.3%	4.8%	11.6%	6.9%	2.3%	0.4%	-665.4M	4.70B	-13.8M	1.40	25.09	190,702	266,375	741,015	1,830,453
2018-04-27	$85.77	$95.00	4.9%	1.4%	4.7%	14.5%	6.4%	2.3%	0.9%	-645.3M	4.87B	-12.4M	1.49	25.16	182,314	271,386	764,559	1,877,015
2018-04-30	$85.75	$95.00	5.7%	1.5%	3.8%	24.1%	7.1%	2.4%	0.5%	-732.7M	4.68B	-11.9M	1.41	13.86	212,605	300,502	741,069	1,869,231