HYG Options History — October 2018

In October 2018, HYG traded between $84.10 and $86.25. ATM implied volatility averaged 6.6%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 3.1% (HV 20d: 3.5%). 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 11 of 23 days. Put/call ratio averaged 4.48.

Notable Days

2018-10-16: Highest Volume — 613,117 contracts
2018-10-04: Largest IV spike — 24.6% change
2018-10-29: Highest IV Rank — 53.2%
2018-10-29: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.06	$84.10	$86.25	$86.25	$84.46
Max Pain	$93.22	$86.00	$95.00	$95.00	$95.00
ATM IV	6.6%	4.6%	7.7%	4.6%	6.2%
Expected Move	1.9%	1.2%	2.4%	1.2%	1.9%
HV 20d	3.5%	2.0%	4.3%	2.9%	4.3%
HV 60d	2.9%	2.4%	3.3%	2.4%	3.3%
IV Rank	39.7%	16.4%	53.2%	16.4%	35.6%
IV Percentile	80.9%	35.7%	94.4%	35.7%	76.6%
Term Structure	-0.1%	-1.1%	0.5%	0.0%	0.2%
VWIV	8.1%	3.6%	10.2%	3.6%	7.7%
Skew 25d	3.4%	1.9%	4.2%	2.0%	3.1%
Skew 10d	7.0%	3.6%	10.2%	3.8%	6.5%
Call IV 25d	5.5%	3.4%	6.6%	3.4%	5.7%
Put IV 25d	8.9%	5.4%	10.6%	5.4%	8.8%
Bid-Ask Spread %	13.40	4.88	52.18	4.88	15.59
Gamma HHI	0.19	0.15	0.22	0.17	0.19
Net GEX	-1.78B	-2.46B	-711.5M	-712.7M	-2.46B
Net DEX	7.65B	2.91B	11.26B	2.96B	9.43B
Net VEX	-20.3M	-26.0M	-10.4M	-10.7M	-24.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.48	1.73	11.48	2.67	3.33
Total Volume	360,681.304	190,928	613,117	190,928	234,590
Total OI	3,534,442.522	2,828,526	4,104,754	2,828,526	3,975,011

Daily Data (23 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
2018-10-01	$86.25	$95.00	4.6%	1.2%	2.9%	16.4%	3.6%	2.0%	0.0%	-712.7M	2.96B	-10.7M	2.67	4.88	52,009	138,919	485,866	2,342,660
2018-10-02	$86.21	$95.00	4.8%	1.3%	2.0%	19.4%	4.6%	1.9%	0.1%	-711.5M	2.91B	-10.4M	2.60	4.88	65,637	170,881	511,060	2,374,905
2018-10-03	$85.99	$95.00	5.0%	1.2%	2.2%	21.3%	4.7%	1.9%	0.1%	-922.1M	4.04B	-14.2M	3.49	6.19	74,184	259,079	554,099	2,412,230
2018-10-04	$85.70	$86.00	6.2%	1.6%	2.5%	35.6%	9.2%	3.2%	0.2%	-1.20B	4.74B	-15.8M	6.45	8.91	68,704	443,365	595,123	2,477,838
2018-10-05	$85.41	$87.00	6.2%	2.0%	2.8%	35.2%	8.0%	3.2%	-0.5%	-1.72B	6.16B	-19.1M	5.19	10.73	58,477	303,742	620,733	2,691,817
2018-10-08	$85.13	$87.00	6.9%	1.9%	2.8%	43.2%	9.5%	3.7%	-0.1%	-1.74B	7.04B	-19.1M	2.66	15.54	56,021	149,093	612,391	2,674,158
2018-10-09	$85.24	$87.00	6.8%	1.9%	2.9%	42.2%	8.8%	3.6%	-0.2%	-1.66B	6.66B	-19.2M	3.67	11.66	69,492	254,699	634,422	2,683,173
2018-10-10	$84.70	$87.00	7.7%	1.9%	3.4%	53.1%	8.5%	4.0%	-1.0%	-1.90B	8.38B	-19.8M	6.24	17.58	60,320	376,645	654,753	2,797,238
2018-10-11	$84.83	$95.00	7.5%	2.1%	3.4%	50.1%	9.2%	3.7%	-0.4%	-1.94B	8.90B	-21.8M	6.43	21.54	72,494	466,448	676,309	2,871,184
2018-10-12	$85.10	$95.00	7.2%	2.0%	3.6%	47.0%	10.2%	3.6%	-0.2%	-1.83B	8.09B	-22.0M	4.56	8.62	57,246	261,043	696,893	2,999,274
2018-10-15	$85.10	$95.00	7.1%	2.0%	3.7%	46.3%	9.4%	3.7%	-0.4%	-1.72B	7.62B	-20.2M	4.14	8.25	72,922	301,955	707,177	2,925,832
2018-10-16	$85.36	$95.00	6.6%	1.9%	3.9%	39.6%	9.2%	3.3%	-1.1%	-1.65B	6.94B	-18.8M	7.19	9.01	74,843	538,274	718,130	2,977,051
2018-10-17	$85.28	$95.00	6.4%	1.8%	3.9%	37.6%	6.6%	3.1%	-0.8%	-1.86B	8.27B	-21.7M	2.74	8.60	124,106	340,129	759,617	3,274,677
2018-10-18	$84.99	$95.00	6.3%	1.8%	4.0%	36.2%	6.7%	3.8%	0.3%	-2.21B	9.21B	-22.9M	3.06	11.82	84,272	258,230	777,008	3,281,085
2018-10-19	$84.93	$95.00	6.3%	1.8%	3.9%	36.9%	7.1%	3.9%	-0.1%	-2.34B	9.31B	-22.8M	1.73	9.17	146,269	253,641	793,588	3,311,166
2018-10-22	$84.99	$95.00	6.1%	1.8%	4.0%	34.3%	8.2%	3.0%	0.0%	-1.67B	7.34B	-22.2M	2.51	10.71	92,365	232,264	626,761	2,722,812
2018-10-23	$84.85	$95.00	6.5%	1.9%	4.0%	38.3%	9.7%	3.4%	0.3%	-1.71B	7.66B	-21.5M	5.93	17.56	45,885	272,284	642,112	2,747,933
2018-10-24	$84.60	$95.00	7.4%	2.2%	3.9%	49.5%	9.5%	4.0%	-0.2%	-1.88B	8.60B	-23.8M	3.27	14.42	63,609	208,206	648,017	2,844,124
2018-10-25	$84.66	$95.00	7.3%	2.3%	3.9%	48.3%	8.2%	3.5%	-0.1%	-1.99B	8.96B	-23.2M	11.48	14.70	43,481	499,191	678,642	2,913,112
2018-10-26	$84.27	$95.00	7.2%	2.1%	4.0%	47.1%	8.8%	4.2%	0.5%	-2.25B	10.64B	-25.9M	4.13	13.76	48,609	200,956	694,433	3,168,594
2018-10-29	$84.10	$95.00	7.7%	2.4%	4.0%	53.2%	9.7%	4.0%	0.3%	-2.44B	11.26B	-26.0M	5.34	52.18	49,772	265,644	694,545	3,192,146
2018-10-30	$84.23	$95.00	7.2%	2.3%	4.2%	47.4%	8.5%	3.5%	0.3%	-2.44B	10.80B	-22.7M	4.09	12.01	75,777	309,898	697,959	3,154,520
2018-10-31	$84.46	$95.00	6.2%	1.9%	4.3%	35.6%	7.7%	3.1%	0.2%	-2.46B	9.43B	-24.0M	3.33	15.59	54,164	180,426	743,121	3,231,890