HYG Options History — November 2018

In November 2018, HYG traded between $82.71 and $85.01. ATM implied volatility averaged 7.6%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.8% (HV 20d: 4.8%). Max pain ranged from $84.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.88.

Notable Days

  • 2018-11-16: Highest Volume — 1,213,698 contracts
  • 2018-11-29: Largest IV drop — 24.9% change
  • 2018-11-20: Highest IV Rank — 83.6%
  • 2018-11-20: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.75$82.71$85.01$84.33$83.71
Max Pain$85.43$84.00$95.00$95.00$84.00
ATM IV7.6%5.4%10.3%5.9%7.0%
Expected Move2.3%1.7%3.0%1.7%2.3%
HV 20d4.8%4.0%6.2%4.2%6.1%
HV 60d3.8%3.3%4.5%3.3%4.5%
IV Rank51.4%26.2%83.6%32.3%44.5%
IV Percentile84.1%57.5%99.2%69.8%82.1%
Term Structure0.1%-0.8%1.1%0.6%-0.1%
VWIV10.1%7.2%13.5%7.7%9.0%
Skew 25d3.5%2.1%5.1%2.9%2.9%
Skew 10d6.8%4.0%11.2%7.0%4.8%
Call IV 25d6.5%4.8%8.6%5.1%6.0%
Put IV 25d10.0%7.1%13.6%8.0%8.9%
Bid-Ask Spread %11.686.9017.8110.548.34
Gamma HHI0.210.160.340.190.30
Net GEX-2.23B-3.03B-1.41B-2.48B-1.41B
Net DEX9.60B5.37B13.72B8.81B7.32B
Net VEX-25.2M-32.9M-16.5M-21.9M-21.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.881.197.375.431.29
Total Volume509,720219,1811,213,698391,302467,103
Total OI4,241,869.9053,667,5804,820,6123,977,4494,572,590

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$84.33$95.005.9%1.7%4.2%32.3%7.7%2.9%0.6%-2.48B8.81B-21.9M5.4310.5460,871330,431723,4153,254,034
2018-11-02$84.33$95.006.1%1.7%4.1%33.8%8.5%2.8%0.5%-2.58B8.82B-22.4M7.299.9456,394411,009725,1003,361,282
2018-11-05$84.41$85.006.2%2.1%4.1%35.0%8.9%2.8%-0.2%-2.42B8.38B-20.7M4.1614.7157,342238,585723,2093,391,512
2018-11-06$84.48$85.006.2%2.1%4.0%35.7%10.0%3.0%0.2%-2.38B8.07B-20.3M7.379.7576,630564,404727,6313,318,019
2018-11-07$85.01$85.005.5%1.8%4.1%26.9%7.2%2.1%0.2%-1.88B5.37B-16.5M6.7712.0649,065331,935745,0653,507,437
2018-11-08$84.87$85.005.4%1.8%4.1%26.2%7.2%2.3%-0.1%-2.25B6.19B-18.9M5.7317.8151,502295,333751,2443,550,293
2018-11-09$84.44$85.006.0%2.0%4.3%32.5%8.2%2.3%-0.0%-2.18B8.21B-19.6M4.4813.8840,029179,152780,8303,579,889
2018-11-12$83.84$85.007.0%2.1%4.9%44.4%7.7%3.2%0.1%-2.75B10.41B-22.0M4.4215.7858,468258,167749,9203,540,217
2018-11-13$83.70$85.007.8%2.1%4.7%53.8%8.4%3.0%-0.2%-2.88B10.94B-21.1M4.2716.3969,509296,933770,6373,563,721
2018-11-14$83.55$84.008.3%2.4%4.7%60.3%10.3%4.0%-0.8%-2.82B11.50B-21.7M4.219.9998,762415,753795,3833,615,634
2018-11-15$83.44$84.009.1%2.9%4.6%69.4%12.6%4.1%1.1%-2.92B13.16B-26.0M5.0712.01159,143806,683842,0093,730,945
2018-11-16$83.25$85.0010.0%2.9%4.7%79.7%10.9%4.6%-0.3%-3.03B13.72B-26.3M3.7713.86254,543959,155882,1003,938,512
2018-11-19$83.18$84.0010.3%3.0%4.6%82.8%12.2%5.1%-0.0%-1.67B9.78B-32.0M2.9912.83171,042511,129590,4303,077,150
2018-11-20$82.81$84.0010.3%3.0%4.8%83.6%12.8%5.1%0.3%-1.71B10.93B-32.1M2.2810.25134,453306,970641,5493,166,937
2018-11-21$83.09$84.008.9%2.6%5.0%67.4%11.5%4.6%-0.1%-1.83B10.22B-31.4M1.9011.19187,033355,721666,3603,256,816
2018-11-23$82.71$84.009.6%2.8%5.1%74.6%13.5%4.5%0.5%-1.95B11.39B-32.9M2.7512.51144,985398,768723,0413,396,853
2018-11-26$83.11$84.008.2%2.5%5.4%58.4%11.2%4.3%0.5%-1.95B10.30B-30.0M2.017.70167,546337,087726,5693,424,809
2018-11-27$83.01$84.008.0%2.4%5.3%55.9%11.3%3.3%-0.3%-1.98B10.76B-29.7M2.169.14181,800392,618759,5593,493,044
2018-11-28$83.71$84.007.7%2.3%6.2%52.3%12.9%3.4%0.3%-1.92B8.87B-30.5M2.056.90123,761253,205800,0903,698,415
2018-11-29$83.78$84.005.8%2.1%6.1%30.2%9.6%3.5%-0.3%-1.85B8.53B-30.9M1.199.73205,678245,423811,4003,705,618
2018-11-30$83.71$84.007.0%2.3%6.1%44.5%9.0%2.9%-0.1%-1.41B7.32B-21.7M1.298.34203,547263,556827,4253,745,165