HYG Options History — May 2018

In May 2018, HYG traded between $85.26 and $85.74. ATM implied volatility averaged 5.1%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.5% (HV 20d: 3.6%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.35.

Notable Days

  • 2018-05-17: Highest Volume — 491,742 contracts
  • 2018-05-15: Largest IV spike — 34.7% change
  • 2018-05-15: Highest IV Rank — 27.1%
  • 2018-05-03: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.47$85.26$85.74$85.29$85.42
Max Pain$88.14$87.00$95.00$95.00$88.00
ATM IV5.1%4.4%5.9%5.9%5.3%
Expected Move1.5%1.2%1.8%1.6%1.5%
HV 20d3.6%3.0%4.2%4.2%3.0%
HV 60d4.7%4.1%5.7%5.7%4.2%
IV Rank17.3%8.2%27.1%26.7%19.0%
IV Percentile40.3%8.3%69.8%67.9%48.8%
Term Structure-0.0%-1.1%1.2%0.5%-0.0%
VWIV6.7%4.0%9.8%5.7%8.1%
Skew 25d2.4%1.4%3.2%1.8%3.2%
Skew 10d5.5%4.2%7.6%4.7%7.0%
Call IV 25d4.3%3.3%5.0%5.0%4.6%
Put IV 25d6.7%5.6%8.1%6.8%7.8%
Bid-Ask Spread %13.576.8560.728.456.85
Gamma HHI0.200.180.220.220.20
Net GEX-814.9M-1.06B-423.0M-1.02B-905.3M
Net DEX4.95B3.79B6.10B5.33B5.00B
Net VEX-14.7M-17.3M-12.5M-13.9M-16.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.993.801.521.50
Total Volume327,026.682235,730491,742487,400295,376
Total OI2,990,246.5912,667,4243,508,6532,667,4242,984,348

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$85.29$95.005.9%1.6%4.2%26.7%5.7%1.8%0.5%-1.02B5.33B-13.9M1.528.45193,074294,326738,5291,928,895
2018-05-02$85.38$95.005.6%1.3%4.1%23.8%4.9%1.7%-0.1%-959.8M5.14B-14.2M0.9914.78168,770166,657817,0042,031,633
2018-05-03$85.33$87.005.8%1.8%4.1%25.3%9.8%2.3%-0.0%-937.8M5.41B-15.8M1.8727.4894,640177,276831,5862,037,334
2018-05-04$85.42$87.005.4%1.7%4.0%20.9%7.8%2.0%-0.0%-888.6M5.30B-15.9M1.927.1994,137180,354846,8832,089,468
2018-05-07$85.46$87.005.3%1.7%3.8%19.1%9.1%1.8%0.6%-1.03B5.34B-14.0M1.509.9794,361141,369856,9202,102,408
2018-05-08$85.39$87.005.4%1.7%3.5%20.9%8.9%2.4%0.8%-931.7M5.35B-14.3M1.8710.5485,426159,948877,2662,096,194
2018-05-09$85.42$87.005.0%1.5%3.5%15.7%5.1%1.9%0.3%-966.9M5.27B-14.6M1.9113.19123,217235,562884,1322,110,313
2018-05-10$85.70$87.004.6%1.2%3.6%10.7%4.0%1.4%-0.9%-504.5M4.16B-12.5M3.8010.0266,800253,863923,6832,138,716
2018-05-11$85.74$87.004.5%1.2%3.6%9.5%5.2%2.4%-1.1%-423.0M4.21B-12.9M3.3111.6064,732214,425935,2282,176,865
2018-05-14$85.73$87.004.4%1.2%3.5%8.2%5.8%2.6%1.2%-440.6M4.32B-13.0M2.6010.0176,106197,742930,6182,184,198
2018-05-15$85.30$87.005.9%1.7%3.8%27.1%7.0%3.0%-1.0%-1.04B5.59B-14.9M3.0210.73109,626330,568936,6622,204,855
2018-05-16$85.41$87.005.6%1.6%3.9%23.2%7.0%3.2%-0.6%-1.06B5.41B-14.1M3.059.0895,619291,756981,5692,341,406
2018-05-17$85.47$87.005.4%1.6%3.8%20.8%6.2%2.7%-1.1%-760.3M5.35B-15.5M2.6610.48134,496357,2461,019,4802,361,286
2018-05-18$85.35$88.005.3%1.6%3.8%19.7%6.4%3.1%-0.8%-1.05B6.10B-16.5M1.8210.26119,671218,1111,033,7902,474,863
2018-05-21$85.50$88.004.6%1.3%3.7%10.6%5.3%2.7%0.4%-642.1M4.10B-13.0M2.1512.7698,182211,318794,7271,965,194
2018-05-22$85.54$88.004.7%1.3%3.6%11.7%7.6%2.4%-0.3%-781.1M5.02B-16.5M2.4960.7280,921201,552805,6471,986,534
2018-05-23$85.65$88.004.4%1.3%3.6%9.0%5.4%2.3%-0.1%-610.1M3.98B-15.2M3.7914.4772,931276,229812,7362,006,711
2018-05-24$85.70$88.004.5%1.3%3.2%9.8%6.3%2.1%0.0%-492.5M3.79B-13.3M3.0312.5985,029257,895803,0582,035,002
2018-05-25$85.52$88.004.4%1.2%3.3%8.7%5.7%2.5%0.2%-548.4M4.01B-13.9M2.3911.9382,386196,876813,8982,053,760
2018-05-29$85.26$88.005.4%1.6%3.5%21.1%8.7%3.2%0.6%-1.05B5.80B-17.3M2.597.2577,285199,957803,1662,085,222
2018-05-30$85.43$88.005.3%1.5%3.0%19.0%8.0%3.2%0.4%-896.0M5.02B-16.5M1.858.20111,702207,070807,3192,136,319
2018-05-31$85.42$88.005.3%1.5%3.0%19.0%8.1%3.2%-0.0%-905.3M5.00B-16.3M1.506.85118,343177,033831,6832,152,665