HYG Options History — December 2018

In December 2018, HYG traded between $79.68 and $83.76. ATM implied volatility averaged 9.5%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.8% (HV 20d: 6.7%). Max pain ranged from $84.00 to $86.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 6.95.

Notable Days

  • 2018-12-21: Highest Volume — 1,286,265 contracts
  • 2018-12-20: Largest IV spike — 39.0% change
  • 2018-12-20: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.17$79.68$83.76$83.76$81.26
Max Pain$85.10$84.00$86.00$84.00$85.00
ATM IV9.5%6.2%17.3%6.2%11.0%
Expected Move2.8%1.8%5.1%2.0%3.1%
HV 20d6.7%5.3%9.3%6.1%8.8%
HV 60d5.2%4.5%6.6%4.5%6.6%
IV Rank60.3%35.6%100.0%35.6%55.6%
IV Percentile89.5%72.2%100.0%72.2%96.8%
Term Structure0.1%-1.0%1.2%0.4%-0.2%
VWIV11.1%7.2%22.6%7.2%12.9%
Skew 25d3.8%2.2%6.4%2.9%3.9%
Skew 10d8.6%4.5%17.5%5.9%12.1%
Call IV 25d8.3%5.4%14.5%5.4%10.0%
Put IV 25d12.2%8.3%20.9%8.3%14.0%
Bid-Ask Spread %19.526.2539.026.259.23
Gamma HHI0.170.120.220.190.14
Net GEX-2.07B-2.79B-1.44B-1.74B-1.61B
Net DEX11.43B7.82B17.34B7.82B11.41B
Net VEX-29.8M-37.0M-24.9M-28.1M-32.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.951.0337.401.414.72
Total Volume384,192139,3261,286,265139,326153,358
Total OI4,518,622.154,012,3154,994,4204,512,9314,232,106

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$83.76$84.006.2%2.0%6.1%35.6%7.2%2.9%0.4%-1.74B7.82B-28.1M1.416.2557,91081,416801,7033,711,228
2018-12-04$83.27$84.007.2%2.3%6.4%47.1%10.0%3.6%0.0%-2.11B9.52B-30.8M1.0310.82103,894107,023803,0233,722,627
2018-12-05$83.27$84.007.3%2.4%6.4%48.5%10.3%3.6%0.1%-2.10B9.67B-30.6M1.0313.50104,120107,333803,0233,722,627
2018-12-06$83.06$85.007.2%2.2%5.8%47.2%8.6%4.3%0.9%-2.18B10.81B-29.2M2.7223.4857,400156,075860,5633,749,964
2018-12-07$83.06$85.007.7%2.2%5.8%52.6%8.8%3.1%-0.2%-2.19B10.37B-30.2M1.4739.0291,346134,394888,8333,762,700
2018-12-10$82.92$85.007.8%2.4%5.7%53.9%10.1%3.4%0.4%-2.26B10.47B-29.3M37.4014.545,610209,798777,5403,685,258
2018-12-11$83.17$85.007.4%2.1%5.3%49.9%7.7%2.9%-0.3%-2.23B9.75B-28.8M2.6914.54119,806322,503782,7643,777,091
2018-12-12$83.38$86.006.6%2.0%5.4%39.7%7.6%2.8%0.5%-2.06B8.63B-25.3M1.2415.53193,512240,831825,3573,747,712
2018-12-13$83.53$86.006.5%1.8%5.4%38.8%7.8%2.3%-0.3%-1.82B8.02B-25.7M2.5815.60124,527320,868871,6083,706,216
2018-12-14$83.15$86.007.1%2.2%5.6%45.3%8.3%3.0%1.2%-2.05B9.41B-25.6M3.5715.0582,531294,780904,2153,622,820
2018-12-17$82.58$86.007.5%2.1%6.1%50.0%9.5%3.1%0.3%-2.62B11.57B-25.7M7.1319.4721,565153,684902,2033,730,468
2018-12-18$82.10$85.008.8%2.5%6.4%65.2%9.5%2.8%-0.3%-2.56B11.85B-24.9M2.2213.9050,745112,848948,4543,722,939
2018-12-19$81.27$85.008.8%2.5%7.1%66.1%8.9%2.2%0.2%-2.79B14.57B-26.4M5.5724.4043,813243,874981,2893,744,993
2018-12-20$80.74$85.0012.3%3.5%7.2%100.0%14.0%5.3%0.2%-2.48B16.32B-27.6M14.6930.1466,691979,709998,7003,738,573
2018-12-21$80.44$85.0014.4%4.2%7.1%100.0%15.7%5.4%-1.0%-2.42B17.34B-30.3M9.1125.35127,2251,159,0401,040,4313,953,989
2018-12-24$79.68$86.0017.3%5.1%7.3%100.0%22.6%6.4%-0.1%-1.44B13.84B-35.3M6.0223.63105,187633,022533,7343,478,581
2018-12-26$80.81$85.0014.2%3.9%9.3%77.9%14.8%6.0%0.2%-1.50B12.49B-36.1M8.4830.1940,606344,212562,7373,572,260
2018-12-27$80.87$85.0013.5%4.0%8.6%73.3%14.8%5.2%0.1%-1.58B12.65B-37.0M16.7124.9516,873282,023594,4363,701,285
2018-12-28$81.08$85.0011.6%3.4%8.7%59.6%12.9%4.1%0.7%-1.74B12.14B-35.7M9.2020.7722,901210,787607,4313,800,962
2018-12-31$81.26$85.0011.0%3.1%8.8%55.6%12.9%3.9%-0.2%-1.61B11.41B-32.6M4.729.2326,810126,548591,8663,640,240