HYG Options History — January 2019

In January 2019, HYG traded between $81.01 and $85.06. ATM implied volatility averaged 7.8%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 2.2% (HV 20d: 9.9%). Max pain ranged from $83.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 5.80.

Notable Days

2019-01-03: Highest Volume — 805,401 contracts
2019-01-30: Largest IV drop — 25.3% change
2019-01-03: Highest IV Rank — 50.5%
2019-01-03: Largest Expected Move — 2.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.73	$81.01	$85.06	$81.01	$85.06
Max Pain	$91.33	$83.00	$95.00	$85.00	$84.00
ATM IV	7.8%	5.6%	10.3%	10.2%	6.6%
Expected Move	2.2%	1.8%	2.9%	2.7%	1.8%
HV 20d	9.9%	7.7%	11.6%	8.8%	8.0%
HV 60d	7.7%	6.5%	8.0%	6.6%	8.0%
IV Rank	32.5%	17.3%	50.5%	49.9%	24.2%
IV Percentile	79.7%	45.2%	96.0%	95.6%	62.3%
Term Structure	0.0%	-1.2%	0.8%	0.3%	-0.4%
VWIV	9.9%	7.0%	12.1%	9.8%	9.4%
Skew 25d	3.3%	2.5%	5.8%	3.5%	2.5%
Skew 10d	7.1%	5.1%	9.1%	6.8%	5.3%
Call IV 25d	6.6%	2.9%	9.0%	9.0%	5.2%
Put IV 25d	9.9%	7.6%	12.5%	12.5%	7.6%
Bid-Ask Spread %	16.00	7.34	38.99	9.59	9.78
Gamma HHI	0.15	0.11	0.23	0.15	0.21
Net GEX	-919.6M	-1.74B	-357.8M	-1.74B	-431.0M
Net DEX	4.98B	2.28B	11.99B	11.99B	2.28B
Net VEX	-21.3M	-32.6M	-13.7M	-32.0M	-14.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.80	0.69	15.91	2.32	0.69
Total Volume	294,419.857	37,554	805,401	245,081	387,882
Total OI	4,799,064.905	4,178,113	5,761,072	4,352,481	4,643,017

Daily Data (21 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
2019-01-02	$81.01	$85.00	10.2%	2.7%	8.8%	49.9%	9.8%	3.5%	0.3%	-1.74B	11.99B	-32.0M	2.32	9.59	73,718	171,363	615,385	3,737,096
2019-01-03	$81.02	$84.00	10.3%	2.9%	8.6%	50.5%	11.7%	3.5%	-0.4%	-1.72B	11.90B	-32.6M	8.39	17.27	85,817	719,584	666,335	3,769,367
2019-01-04	$82.34	$84.00	8.6%	2.6%	10.6%	38.5%	10.6%	3.0%	0.0%	-1.53B	8.73B	-32.6M	8.26	14.68	55,653	459,456	681,296	4,058,983
2019-01-07	$83.09	$83.00	8.1%	2.3%	11.1%	35.2%	10.9%	2.8%	-0.5%	-1.33B	6.53B	-28.3M	4.00	11.14	57,876	231,761	672,950	4,056,195
2019-01-08	$83.67	$84.00	8.0%	2.1%	11.4%	34.3%	10.9%	3.1%	-1.2%	-984.2M	4.65B	-21.4M	2.76	16.62	76,939	212,094	743,434	4,272,246
2019-01-09	$83.88	$84.00	7.7%	2.2%	11.4%	31.9%	10.9%	3.5%	0.4%	-903.1M	4.13B	-21.9M	3.59	13.50	78,860	283,000	763,021	4,122,596
2019-01-10	$84.17	$95.00	8.0%	2.3%	11.4%	34.2%	11.3%	2.7%	0.0%	-994.1M	4.17B	-22.5M	2.96	14.50	43,353	128,160	815,880	4,208,994
2019-01-11	$83.95	$95.00	8.0%	2.3%	11.5%	34.4%	10.9%	2.9%	0.1%	-900.3M	4.59B	-21.8M	3.64	15.36	104,025	378,381	874,863	4,275,497
2019-01-14	$83.58	$95.00	8.2%	2.3%	11.6%	35.8%	12.0%	3.8%	0.8%	-1.03B	5.40B	-22.2M	10.10	12.77	15,474	156,272	900,514	4,415,705
2019-01-15	$83.88	$95.00	7.9%	2.3%	11.5%	33.7%	8.2%	3.3%	0.5%	-847.1M	4.36B	-17.0M	4.82	13.89	36,300	175,063	921,970	4,471,560
2019-01-16	$84.05	$95.00	7.7%	2.2%	11.2%	31.9%	9.6%	3.2%	0.0%	-898.0M	4.57B	-20.5M	5.35	11.64	56,053	300,054	943,566	4,579,188
2019-01-17	$84.24	$95.00	7.4%	2.1%	10.9%	29.9%	8.6%	2.9%	0.2%	-961.2M	3.86B	-16.3M	4.39	15.85	66,483	291,801	952,533	4,716,111
2019-01-18	$84.49	$95.00	7.3%	2.2%	10.0%	29.4%	8.0%	2.8%	-1.0%	-533.2M	3.10B	-19.8M	3.88	7.34	50,294	194,937	978,455	4,782,617
2019-01-22	$83.94	$95.00	7.6%	2.2%	10.0%	31.5%	9.9%	3.5%	0.3%	-821.0M	4.02B	-19.8M	5.40	15.30	19,781	106,743	528,233	3,649,880
2019-01-23	$84.10	$95.00	7.6%	2.2%	9.8%	31.5%	12.1%	3.0%	0.6%	-788.9M	4.27B	-22.0M	2.07	38.99	40,968	84,876	527,376	3,680,744
2019-01-24	$84.13	$95.00	7.2%	2.2%	8.8%	28.3%	11.9%	3.0%	0.3%	-709.8M	3.82B	-20.1M	12.26	19.55	17,684	216,784	547,271	3,709,343
2019-01-25	$84.42	$95.00	6.6%	1.9%	7.7%	24.6%	8.2%	2.6%	0.1%	-483.1M	2.74B	-14.8M	15.91	12.86	14,508	230,851	553,181	3,786,291
2019-01-28	$84.28	$95.00	6.7%	1.9%	7.8%	24.9%	7.9%	3.8%	0.0%	-762.6M	3.80B	-18.5M	8.53	14.68	3,942	33,612	551,021	3,776,273
2019-01-29	$84.22	$95.00	7.5%	2.1%	7.9%	30.7%	8.0%	3.1%	0.4%	-588.5M	3.36B	-15.0M	6.95	13.55	33,459	232,498	555,993	3,810,144
2019-01-30	$84.91	$95.00	5.6%	1.8%	8.2%	17.3%	7.0%	5.8%	0.1%	-357.8M	2.28B	-13.7M	5.58	37.11	39,000	217,458	562,033	3,903,206
2019-01-31	$85.06	$84.00	6.6%	1.8%	8.0%	24.2%	9.4%	2.5%	-0.4%	-431.0M	2.28B	-14.3M	0.69	9.78	229,185	158,697	574,582	4,068,435