HYG Options History — June 2018

In June 2018, HYG traded between $85.10 and $86.16. ATM implied volatility averaged 4.8%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.9% (HV 20d: 2.9%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.09.

Notable Days

  • 2018-06-08: Highest Volume — 345,653 contracts
  • 2018-06-25: Largest IV spike — 40.7% change
  • 2018-06-25: Highest IV Rank — 23.4%
  • 2018-06-04: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.73$85.10$86.16$85.19$85.10
Max Pain$87.00$86.00$88.00$88.00$87.00
ATM IV4.8%3.9%5.6%5.6%5.5%
Expected Move1.3%1.1%1.6%1.5%1.5%
HV 20d2.9%2.5%3.4%3.1%2.7%
HV 60d3.8%3.2%4.2%4.2%3.3%
IV Rank12.9%1.8%23.4%23.4%22.6%
IV Percentile30.1%2.8%61.9%60.7%60.3%
Term Structure0.1%-0.5%1.0%0.1%0.0%
VWIV6.1%4.6%8.5%6.9%5.8%
Skew 25d2.6%1.9%3.4%2.3%2.8%
Skew 10d5.3%3.6%6.6%6.3%5.7%
Call IV 25d3.8%3.0%4.9%4.5%4.6%
Put IV 25d6.4%5.5%7.8%6.7%7.3%
Bid-Ask Spread %8.354.1413.824.147.17
Gamma HHI0.250.200.440.200.21
Net GEX-348.0M-1.10B570.2M-1.10B-1.10B
Net DEX3.43B1.99B5.50B5.01B5.50B
Net VEX-14.3M-18.5M-10.8M-16.2M-18.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.091.203.662.653.66
Total Volume280,419191,771345,653342,376208,132
Total OI2,821,857.4762,178,6883,321,2053,009,7902,740,508

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$85.19$88.005.6%1.5%3.1%23.4%6.9%2.3%0.1%-1.10B5.01B-16.2M2.654.1493,684248,692827,7802,182,010
2018-06-04$85.38$86.005.2%1.6%3.2%17.9%8.1%2.4%-0.3%-907.1M4.72B-15.7M1.606.9692,561148,487848,6172,207,091
2018-06-05$85.45$86.004.8%1.6%3.2%13.2%5.4%2.1%-0.3%-749.7M4.23B-14.4M1.698.91109,841185,920864,7272,214,831
2018-06-06$85.71$86.004.9%1.2%3.4%14.2%4.6%2.4%0.3%-379.2M3.39B-13.4M1.599.50116,242185,305893,6192,214,019
2018-06-07$85.70$86.005.0%1.3%3.4%15.6%6.9%2.8%0.1%-288.7M3.44B-13.3M1.6410.95109,087179,303912,6452,240,226
2018-06-08$85.68$86.005.0%1.3%3.1%15.4%5.4%2.4%0.3%-205.0M3.42B-14.0M1.709.84127,932217,721904,5602,254,770
2018-06-11$85.82$86.004.5%1.4%3.2%10.1%6.6%2.7%-0.2%-31.4M3.27B-13.5M1.6013.82111,501178,621890,2202,234,461
2018-06-12$85.85$87.004.5%1.3%3.2%9.2%5.0%2.4%-0.1%68.1M3.29B-13.5M1.657.10105,443173,842897,6942,264,969
2018-06-13$85.94$86.004.8%1.3%2.6%13.5%7.0%2.3%-0.3%328.0M2.93B-12.9M1.728.07101,658174,942899,5732,279,243
2018-06-14$86.16$86.004.6%1.3%2.7%10.8%6.4%2.4%-0.1%570.2M2.48B-13.7M2.4410.8296,706236,261901,0662,283,134
2018-06-15$86.12$87.004.2%1.2%2.7%6.3%5.2%1.9%-0.5%452.0M2.73B-14.5M1.2011.27145,984174,760927,2522,393,953
2018-06-18$86.07$87.003.9%1.1%2.6%2.8%5.1%2.7%0.2%-285.5M2.10B-11.4M2.286.5658,504133,267491,6601,687,028
2018-06-19$85.99$87.004.1%1.2%2.6%4.9%5.2%2.7%0.1%-239.8M1.99B-10.8M2.556.1293,061236,957512,2761,741,697
2018-06-20$86.09$88.003.9%1.1%2.7%1.8%5.0%2.5%-0.1%-237.0M2.19B-11.5M1.815.48107,101193,420530,9831,797,415
2018-06-21$85.90$88.004.3%1.2%2.8%6.8%6.2%2.5%0.0%-332.3M2.75B-13.4M1.889.2585,873161,296587,8051,850,952
2018-06-22$85.89$88.004.0%1.1%2.8%3.2%5.9%2.6%-0.1%-232.2M2.49B-12.6M1.5811.0282,497130,398608,6311,862,938
2018-06-25$85.75$88.005.6%1.6%2.7%23.4%6.1%3.4%0.6%-552.3M3.66B-16.9M2.4911.3888,553220,473605,4851,874,183
2018-06-26$85.71$88.005.1%1.4%2.5%16.7%8.5%3.2%1.0%-554.8M3.55B-15.4M3.125.2361,443191,635612,8321,966,900
2018-06-27$85.55$88.005.3%1.5%2.5%20.1%6.8%3.3%-0.0%-674.7M4.15B-17.2M3.096.0148,202148,829613,5361,983,506
2018-06-28$85.37$88.005.3%1.5%2.6%19.7%6.2%3.0%0.9%-851.0M4.78B-17.4M2.035.81106,999217,666613,6202,040,592
2018-06-29$85.10$87.005.5%1.5%2.7%22.6%5.8%2.8%0.0%-1.10B5.50B-18.5M3.667.1744,685163,447595,9022,144,606