HYG Options History — July 2018

In July 2018, HYG traded between $84.66 and $86.12. ATM implied volatility averaged 4.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.3% (HV 20d: 3.3%). 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 14 of 21 days. Put/call ratio averaged 3.79.

Notable Days

2018-07-24: Highest Volume — 370,176 contracts
2018-07-24: Largest IV drop — 13.9% change
2018-07-02: Highest IV Rank — 33.8%
2018-07-02: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.57	$84.66	$86.12	$84.66	$86.12
Max Pain	$91.24	$86.00	$95.00	$88.00	$95.00
ATM IV	4.6%	3.5%	6.4%	6.4%	3.6%
Expected Move	1.3%	0.9%	1.8%	1.8%	0.9%
HV 20d	3.3%	2.1%	3.6%	3.1%	2.1%
HV 60d	3.2%	2.9%	3.4%	3.4%	2.9%
IV Rank	11.5%	0.0%	33.8%	33.8%	1.1%
IV Percentile	26.7%	0.0%	81.0%	81.0%	0.8%
Term Structure	0.3%	-1.0%	1.2%	-0.2%	1.0%
VWIV	6.2%	3.3%	8.8%	6.3%	7.8%
Skew 25d	2.7%	2.1%	3.5%	3.1%	2.1%
Skew 10d	5.5%	3.9%	7.4%	6.7%	3.9%
Call IV 25d	3.7%	2.4%	5.5%	5.5%	2.8%
Put IV 25d	6.4%	5.0%	8.6%	8.6%	5.0%
Bid-Ask Spread %	8.86	6.48	13.57	7.47	6.50
Gamma HHI	0.20	0.18	0.24	0.20	0.22
Net GEX	-673.4M	-1.33B	-118.0M	-1.33B	-237.4M
Net DEX	3.65B	2.32B	6.09B	6.03B	2.43B
Net VEX	-13.1M	-19.5M	-8.7M	-19.1M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.79	1.87	12.45	2.21	3.11
Total Volume	269,062.762	139,612	370,176	271,774	191,214
Total OI	2,893,294.81	2,435,374	3,368,892	2,729,151	2,605,869

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
2018-07-02	$84.66	$88.00	6.4%	1.8%	3.1%	33.8%	6.3%	3.1%	-0.2%	-1.33B	6.03B	-19.1M	2.21	7.47	84,604	187,170	581,550	2,147,601
2018-07-03	$84.79	$92.00	6.0%	1.5%	3.1%	28.9%	6.9%	3.5%	0.3%	-1.31B	6.09B	-19.5M	2.42	10.04	70,897	171,244	640,191	2,225,810
2018-07-05	$85.09	$86.00	6.0%	1.6%	3.2%	28.5%	7.5%	3.2%	-0.5%	-1.14B	5.16B	-17.8M	2.93	13.57	62,892	184,500	640,346	2,215,196
2018-07-06	$85.32	$86.00	5.3%	1.6%	3.4%	19.4%	5.8%	3.1%	0.3%	-1.01B	4.44B	-17.2M	2.81	10.29	61,175	171,827	666,021	2,296,640
2018-07-09	$85.46	$86.00	5.1%	1.7%	3.5%	17.4%	7.6%	2.8%	0.9%	-763.3M	4.03B	-16.0M	5.30	8.79	41,780	221,446	636,961	2,267,640
2018-07-10	$85.52	$86.00	5.1%	1.2%	3.4%	16.6%	7.0%	2.6%	-0.3%	-789.7M	3.91B	-14.3M	3.84	8.00	47,592	182,586	641,018	2,342,143
2018-07-11	$85.38	$86.00	5.1%	1.7%	3.4%	17.2%	7.4%	2.8%	1.0%	-892.8M	3.96B	-12.8M	3.03	10.92	74,697	226,030	644,579	2,367,085
2018-07-12	$85.63	$86.00	4.9%	1.3%	3.6%	14.4%	7.2%	2.3%	-1.0%	-637.3M	3.77B	-14.5M	2.09	8.92	115,017	240,774	669,907	2,462,276
2018-07-13	$85.66	$90.00	4.8%	1.3%	3.5%	13.4%	7.6%	2.5%	-0.7%	-551.6M	3.60B	-14.5M	1.87	10.58	110,033	206,268	682,764	2,478,175
2018-07-16	$85.59	$90.00	4.6%	1.3%	3.5%	10.7%	8.8%	2.5%	0.7%	-669.2M	3.52B	-12.3M	2.29	8.35	98,841	226,831	681,528	2,461,083
2018-07-17	$85.60	$90.00	4.3%	1.2%	3.5%	6.8%	5.1%	2.9%	1.1%	-625.0M	3.43B	-12.3M	2.29	7.42	95,000	217,254	682,131	2,503,261
2018-07-18	$85.65	$95.00	4.3%	1.2%	3.5%	6.6%	5.0%	2.7%	0.9%	-558.4M	3.40B	-12.0M	2.09	6.50	117,685	246,352	694,613	2,519,534
2018-07-19	$85.62	$95.00	4.3%	1.2%	3.4%	6.6%	6.6%	2.5%	1.2%	-971.2M	3.92B	-12.2M	1.87	9.21	113,614	212,956	731,043	2,617,587
2018-07-20	$85.66	$95.00	4.4%	1.2%	3.4%	8.2%	5.9%	2.7%	1.0%	-617.0M	3.54B	-10.6M	2.22	6.59	82,528	182,811	728,140	2,640,752
2018-07-23	$85.60	$95.00	4.3%	1.2%	3.4%	6.6%	5.3%	2.7%	-0.0%	-591.3M	3.09B	-12.3M	12.45	7.79	10,379	129,233	424,646	2,010,728
2018-07-24	$85.81	$95.00	3.7%	1.0%	3.4%	0.0%	5.3%	2.1%	0.1%	-417.7M	2.50B	-10.3M	8.16	6.72	40,431	329,745	427,885	2,053,936
2018-07-25	$85.91	$95.00	3.6%	1.1%	3.5%	0.0%	4.5%	2.4%	0.7%	-278.7M	2.51B	-9.4M	6.72	12.26	35,154	236,367	451,023	2,153,360
2018-07-26	$85.94	$95.00	3.6%	1.0%	3.4%	0.9%	3.3%	2.6%	0.6%	-118.0M	2.32B	-8.7M	3.83	7.23	55,362	211,939	451,975	2,143,338
2018-07-27	$85.95	$95.00	3.5%	1.1%	3.3%	0.0%	4.4%	2.7%	0.3%	-359.6M	2.68B	-11.1M	3.73	12.39	35,466	132,319	450,972	2,134,142
2018-07-30	$85.98	$95.00	3.8%	1.1%	3.0%	3.8%	4.8%	3.2%	-0.1%	-274.4M	2.40B	-8.9M	4.27	6.48	35,761	152,544	447,032	2,138,710
2018-07-31	$86.12	$95.00	3.6%	0.9%	2.1%	1.1%	7.8%	2.1%	1.0%	-237.4M	2.43B	-9.3M	3.11	6.50	46,500	144,714	447,920	2,157,949