HYG Options History — August 2018

In August 2018, HYG traded between $85.80 and $86.40. ATM implied volatility averaged 3.9%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 1.6% (HV 20d: 2.3%). Max pain ranged from $86.00 to $95.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 5.84.

Notable Days

  • 2018-08-13: Highest Volume — 424,599 contracts
  • 2018-08-23: Largest IV spike — 26.6% change
  • 2018-08-23: Highest IV Rank — 10.2%
  • 2018-08-06: Largest Expected Move — 1.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.11$85.80$86.40$85.83$86.32
Max Pain$93.09$86.00$95.00$95.00$95.00
ATM IV3.9%3.2%4.3%4.0%3.2%
Expected Move1.1%0.9%1.2%1.1%1.0%
HV 20d2.3%2.0%2.6%2.6%2.0%
HV 60d2.8%2.6%3.0%3.0%2.6%
IV Rank5.5%0.0%10.2%5.6%0.0%
IV Percentile6.1%0.0%13.9%6.0%0.0%
Term Structure0.1%-0.6%0.6%0.4%0.2%
VWIV5.2%3.6%8.7%4.4%4.3%
Skew 25d2.1%1.2%3.1%1.5%2.5%
Skew 10d4.2%3.1%5.5%3.7%4.7%
Call IV 25d3.2%2.2%3.8%3.7%2.8%
Put IV 25d5.2%4.8%6.4%5.2%5.2%
Bid-Ask Spread %8.534.2932.767.109.30
Gamma HHI0.190.160.220.170.18
Net GEX-471.6M-855.1M-232.6M-528.6M-275.7M
Net DEX2.72B1.98B4.16B2.77B2.45B
Net VEX-11.4M-15.8M-9.0M-10.5M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.841.4214.634.651.42
Total Volume252,553.348128,295424,599237,072215,547
Total OI2,883,2722,481,2693,258,3852,642,9172,925,312

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$85.83$95.004.0%1.1%2.6%5.6%4.4%1.5%0.4%-528.6M2.77B-10.5M4.657.1041,992195,080423,5082,219,409
2018-08-02$85.86$95.004.1%1.0%2.3%6.8%4.6%1.3%-0.4%-594.4M3.20B-12.9M3.705.4432,344119,758424,4022,294,722
2018-08-03$85.98$95.003.8%1.0%2.2%4.2%4.2%1.3%-0.3%-438.9M2.67B-11.9M2.934.6532,67595,620433,5942,300,258
2018-08-06$86.07$86.003.9%1.2%2.2%5.1%6.3%3.1%0.1%-493.8M2.66B-11.2M4.799.2028,514136,521433,9252,327,161
2018-08-07$86.19$86.004.1%1.2%2.2%7.7%7.1%1.4%-0.0%-326.1M2.42B-10.8M6.967.6035,285245,617436,5322,320,702
2018-08-08$86.13$86.003.8%1.2%2.1%3.2%5.2%1.2%0.4%-349.0M2.15B-9.0M3.517.9866,365233,020445,0372,485,831
2018-08-09$86.05$86.004.2%1.1%2.0%8.6%6.8%1.7%0.2%-502.1M2.69B-10.0M4.267.1836,164154,161466,0062,483,352
2018-08-10$85.89$87.004.3%1.2%2.1%9.2%8.7%2.0%0.2%-769.4M3.53B-12.0M8.368.6337,938317,210493,2782,533,863
2018-08-13$85.80$95.004.3%1.2%2.1%9.4%6.1%2.5%0.1%-814.1M3.69B-11.9M5.388.9966,537358,062489,5682,651,902
2018-08-14$86.00$95.004.2%1.1%2.2%8.3%3.6%3.1%-0.6%-611.6M3.00B-11.3M2.627.2285,895225,162485,6332,657,250
2018-08-15$85.81$95.004.1%1.1%2.4%7.2%5.2%2.6%-0.3%-855.1M4.16B-15.8M3.109.9678,930244,862509,2912,718,291
2018-08-16$85.99$95.004.1%1.2%2.5%7.5%4.3%2.4%-0.0%-558.2M3.00B-11.5M2.714.8283,133225,223490,9612,726,201
2018-08-17$86.01$95.003.9%1.1%2.5%4.6%5.5%2.0%-0.3%-448.5M3.07B-11.7M5.016.2731,050155,417525,4152,732,970
2018-08-20$86.10$95.003.8%1.1%2.5%4.2%6.2%2.0%0.0%-402.1M2.30B-10.9M10.465.8922,237232,662389,5742,091,695
2018-08-21$86.21$95.003.9%1.1%2.4%4.7%4.3%2.1%0.0%-415.0M2.50B-12.3M6.244.5129,691185,212406,5552,266,673
2018-08-22$86.27$95.003.3%0.9%2.4%0.0%6.6%2.1%0.6%-260.1M1.98B-9.1M6.806.7137,901257,640419,3852,187,557
2018-08-23$86.23$95.004.1%1.2%2.4%10.2%4.4%2.1%-0.1%-361.6M2.37B-10.9M14.635.1923,523344,231448,9932,263,590
2018-08-24$86.35$95.003.6%1.0%2.4%4.1%4.8%2.1%0.5%-465.3M2.46B-12.6M12.924.2923,009297,210444,8622,419,491
2018-08-27$86.40$95.003.6%1.0%2.4%4.0%4.8%2.4%0.2%-468.4M2.77B-13.6M9.9932.7619,374193,463449,4182,442,677
2018-08-28$86.37$95.003.5%1.0%2.4%2.8%4.3%2.1%0.5%-232.6M2.15B-9.9M4.3511.0936,924160,473449,4592,406,537
2018-08-29$86.36$95.003.5%1.0%2.0%2.6%4.5%2.3%-0.1%-314.6M2.21B-10.5M5.477.9731,819174,191474,2902,401,007
2018-08-30$86.27$95.003.7%1.1%2.0%5.4%3.8%1.7%0.0%-361.7M2.47B-10.3M4.0413.3331,981129,104487,4362,431,683
2018-08-31$86.32$95.003.2%1.0%2.0%0.0%4.3%2.5%0.2%-275.7M2.45B-11.2M1.429.3088,980126,567487,3032,438,009