HYG Options History — September 2018

In September 2018, HYG traded between $85.72 and $86.44. ATM implied volatility averaged 4.1%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 1.3% (HV 20d: 2.8%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 4.26.

Notable Days

2018-09-18: Highest Volume — 431,317 contracts
2018-09-10: Largest IV drop — 18.0% change
2018-09-05: Highest IV Rank — 22.8%
2018-09-05: Largest Expected Move — 1.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.11	$85.72	$86.44	$85.83	$86.44
Max Pain	$95.00	$95.00	$95.00	$95.00	$95.00
ATM IV	4.1%	3.5%	5.1%	4.4%	3.6%
Expected Move	1.1%	1.0%	1.3%	1.1%	1.0%
HV 20d	2.8%	2.7%	2.9%	2.9%	2.8%
HV 60d	2.8%	2.4%	2.9%	2.9%	2.4%
IV Rank	10.9%	3.7%	22.8%	14.8%	5.4%
IV Percentile	17.0%	0.8%	55.6%	25.0%	4.4%
Term Structure	-0.0%	-0.7%	1.2%	-0.0%	0.2%
VWIV	5.6%	4.0%	8.2%	5.5%	4.5%
Skew 25d	2.3%	1.6%	3.0%	2.4%	2.2%
Skew 10d	4.3%	2.9%	6.1%	6.1%	3.6%
Call IV 25d	3.1%	1.8%	4.0%	3.6%	2.9%
Put IV 25d	5.4%	4.8%	6.5%	6.0%	5.2%
Bid-Ask Spread %	6.94	4.00	16.03	5.73	8.12
Gamma HHI	0.17	0.15	0.19	0.17	0.17
Net GEX	-695.2M	-1.10B	-302.1M	-1.02B	-457.9M
Net DEX	3.11B	2.40B	3.67B	3.65B	3.11B
Net VEX	-12.3M	-14.2M	-9.0M	-13.0M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.26	2.31	8.70	3.67	3.37
Total Volume	307,699.526	178,317	431,317	178,317	288,080
Total OI	3,132,870.368	2,587,606	3,738,210	2,831,135	2,878,490

Daily Data (19 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
2018-09-04	$85.83	$95.00	4.4%	1.1%	2.9%	14.8%	5.5%	2.4%	-0.0%	-1.02B	3.65B	-13.0M	3.67	5.73	38,203	140,114	395,234	2,435,901
2018-09-05	$85.74	$95.00	5.1%	1.3%	2.8%	22.8%	5.9%	2.3%	-0.1%	-1.10B	3.62B	-12.9M	2.31	4.00	76,469	176,633	392,599	2,478,006
2018-09-06	$85.82	$95.00	4.5%	1.2%	2.8%	15.0%	5.6%	2.4%	-0.5%	-1.03B	3.39B	-12.7M	3.31	8.14	73,467	243,257	426,837	2,521,053
2018-09-07	$85.72	$95.00	5.1%	1.2%	2.9%	22.7%	7.5%	2.7%	-0.0%	-984.2M	3.67B	-14.2M	2.41	9.18	74,356	178,874	495,108	2,558,027
2018-09-10	$85.89	$95.00	4.2%	1.2%	2.9%	12.0%	8.2%	2.6%	-0.6%	-842.9M	3.34B	-12.0M	5.20	5.17	50,409	261,890	498,670	2,645,067
2018-09-11	$85.92	$95.00	4.3%	1.2%	2.9%	13.4%	6.9%	2.1%	-0.2%	-902.9M	3.47B	-13.2M	7.97	8.31	41,754	332,792	501,257	2,690,541
2018-09-12	$86.13	$95.00	4.3%	1.1%	2.9%	13.3%	7.0%	2.7%	-0.6%	-719.2M	2.94B	-11.6M	5.43	6.54	65,842	357,262	542,105	2,716,987
2018-09-13	$86.24	$95.00	4.3%	1.1%	2.8%	13.0%	5.9%	1.8%	-0.4%	-718.3M	3.05B	-12.5M	3.69	16.03	69,245	255,588	548,170	2,789,842
2018-09-14	$86.33	$95.00	3.6%	1.2%	2.7%	5.1%	4.8%	3.0%	1.2%	-499.4M	2.79B	-11.2M	3.08	7.47	66,524	204,809	564,030	2,801,028
2018-09-17	$86.28	$95.00	4.1%	1.2%	2.7%	10.8%	5.1%	1.6%	-0.7%	-302.1M	2.40B	-9.0M	4.14	5.99	55,367	229,255	581,126	2,823,951
2018-09-18	$86.26	$95.00	4.1%	1.2%	2.7%	11.5%	4.8%	2.7%	-0.6%	-574.5M	2.78B	-12.0M	3.44	6.20	97,215	334,102	579,646	2,853,189
2018-09-19	$86.12	$95.00	3.8%	1.1%	2.7%	7.2%	5.0%	1.7%	0.5%	-799.2M	3.64B	-13.4M	8.70	4.49	37,995	330,374	633,089	2,971,597
2018-09-20	$86.19	$95.00	3.8%	1.1%	2.7%	7.0%	4.3%	2.5%	0.2%	-531.8M	3.12B	-11.8M	4.45	5.18	55,723	248,139	644,972	3,036,347
2018-09-21	$86.24	$95.00	3.7%	1.1%	2.7%	6.6%	4.0%	1.8%	0.3%	-506.2M	3.09B	-11.1M	3.68	5.01	50,143	184,659	660,314	3,077,896
2018-09-24	$86.20	$95.00	3.9%	1.2%	2.7%	8.7%	5.5%	2.1%	0.3%	-609.9M	2.82B	-13.0M	4.59	6.41	35,853	164,461	459,752	2,127,854
2018-09-25	$86.12	$95.00	3.8%	1.1%	2.7%	7.9%	5.6%	2.2%	0.6%	-650.6M	2.79B	-12.4M	4.45	6.58	47,491	211,477	454,375	2,150,457
2018-09-26	$86.29	$95.00	3.7%	1.0%	2.8%	6.7%	4.9%	2.3%	0.2%	-518.3M	2.66B	-11.8M	3.76	7.59	88,604	332,906	467,834	2,189,136
2018-09-27	$86.37	$95.00	3.5%	1.0%	2.8%	3.7%	5.8%	2.1%	0.2%	-449.8M	2.84B	-11.4M	3.24	5.76	81,765	265,194	529,033	2,405,017
2018-09-28	$86.44	$95.00	3.6%	1.0%	2.8%	5.4%	4.5%	2.2%	0.2%	-457.9M	3.11B	-13.6M	3.37	8.12	65,893	222,187	530,443	2,348,047