HYG Options History — February 2019 In February 2019, HYG traded between $84.67 and $85.80. ATM implied volatility averaged 5.8%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.4% (HV 20d: 5.3%). Max pain ranged from $85.00 to $86.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 16.89.
Notable Days 2019-02-05 : Highest Volume — 441,793 contracts2019-02-28 : Largest IV spike — 8.1% change2019-02-01 : Highest IV Rank — 24.5%2019-02-11 : Largest Expected Move — 1.8%Monthly Statistics Metric Avg Min Max Open Close Price $85.27 $84.67 $85.80 $84.67 $85.72 Max Pain $85.68 $85.00 $86.00 $85.00 $86.00 ATM IV 5.8% 4.6% 6.6% 6.6% 5.0% Expected Move 1.6% 1.0% 1.8% 1.8% 1.3% HV 20d 5.3% 3.6% 8.3% 8.3% 3.6% HV 60d 7.8% 7.5% 8.1% 8.1% 7.5% IV Rank 18.4% 10.1% 24.5% 24.5% 12.7% IV Percentile 48.0% 27.4% 63.1% 63.1% 32.1% Term Structure 0.0% -0.8% 0.6% -0.2% 0.0% VWIV 7.7% 5.3% 9.6% 9.1% 7.6% Skew 25d 2.2% 1.4% 2.9% 1.4% 2.1% Skew 10d 5.4% 2.6% 7.6% 3.4% 4.4% Call IV 25d 5.1% 4.1% 5.9% 5.7% 4.1% Put IV 25d 7.3% 6.3% 8.4% 7.1% 6.3% Bid-Ask Spread % 14.64 6.71 43.81 10.50 13.80 Gamma HHI 0.15 0.13 0.17 0.15 0.15 Net GEX -604.0M -978.3M -317.6M -763.4M -437.2M Net DEX 2.73B 1.93B 3.70B 3.70B 2.06B Net VEX -15.0M -18.8M -10.0M -17.4M -13.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 16.89 1.40 200.52 5.93 2.59 Total Volume 194,633.158 46,509 441,793 393,959 281,369 Total OI 4,250,114.895 3,472,034 4,948,903 4,524,877 3,910,174
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 2019-02-01 $84.67 $85.00 6.6% 1.8% 8.3% 24.5% 9.1% 1.4% -0.2% -763.4M 3.70B -17.4M 5.93 10.50 56,867 337,092 471,997 4,052,880 2019-02-04 $84.87 $85.00 6.2% 1.8% 6.5% 21.4% 9.6% 2.5% 0.6% -721.7M 3.45B -16.6M 8.28 11.35 17,527 145,074 460,501 3,964,278 2019-02-05 $85.19 $85.00 6.3% 1.7% 5.9% 22.5% 7.2% 2.1% -0.3% -470.6M 2.62B -16.1M 5.85 7.68 64,491 377,302 480,016 4,122,045 2019-02-06 $85.13 $85.00 6.3% 1.8% 5.6% 22.1% 8.4% 2.1% 0.1% -638.0M 2.80B -15.7M 11.09 10.71 25,586 283,813 477,980 4,099,426 2019-02-07 $84.85 $85.00 6.3% 1.8% 5.7% 21.9% 8.6% 2.3% -0.4% -883.8M 3.53B -18.4M 4.41 6.71 57,482 253,577 511,813 4,073,860 2019-02-08 $84.73 $85.00 6.3% 1.7% 5.6% 22.3% 9.6% 2.5% -0.8% -978.3M 3.51B -18.8M 5.11 7.60 55,155 281,630 513,009 4,027,724 2019-02-11 $84.80 $86.00 6.3% 1.8% 5.5% 22.2% 9.3% 2.9% 0.2% -960.9M 3.54B -18.2M 200.52 6.98 559 112,090 527,174 4,130,280 2019-02-12 $85.22 $86.00 6.2% 1.8% 5.4% 21.7% 8.3% 2.3% 0.4% -725.0M 2.66B -17.2M 12.36 10.54 4,713 58,249 527,211 4,198,879 2019-02-13 $85.17 $86.00 6.3% 1.8% 5.4% 21.9% 8.4% 2.1% -0.1% -754.5M 2.93B -18.6M 1.71 11.53 78,020 133,673 529,581 4,181,495 2019-02-14 $85.15 $86.00 6.3% 1.8% 5.4% 21.9% 8.4% 2.6% 0.0% -626.9M 3.06B -16.2M 14.33 10.48 8,892 127,459 603,899 4,314,104 2019-02-15 $85.42 $86.00 5.9% 1.7% 5.4% 19.6% 6.8% 2.2% -0.2% -334.0M 1.93B -10.0M 5.29 7.90 31,889 168,778 612,776 4,336,127 2019-02-19 $85.48 $86.00 5.6% 1.6% 5.3% 17.1% 6.6% 2.1% 0.4% -489.0M 2.52B -13.4M 6.25 17.16 8,265 51,628 444,168 3,027,866 2019-02-20 $85.47 $86.00 5.3% 1.4% 4.6% 15.2% 6.4% 1.8% -0.0% -480.6M 2.46B -13.2M 3.47 15.79 10,396 36,113 452,226 3,056,632 2019-02-21 $85.42 $86.00 5.2% 1.4% 4.7% 14.3% 6.2% 2.3% -0.1% -642.2M 2.78B -13.8M 7.78 38.53 22,636 176,213 452,889 3,087,798 2019-02-22 $85.58 $86.00 5.1% 1.5% 4.7% 13.5% 7.3% 2.0% 0.2% -407.3M 2.23B -12.2M 15.68 43.81 7,510 117,763 474,611 3,228,845 2019-02-25 $85.65 $86.00 5.1% 1.5% 4.6% 13.9% 5.3% 2.1% 0.5% -463.0M 2.18B -12.4M 1.40 14.54 28,976 40,667 477,389 3,272,945 2019-02-26 $85.77 $86.00 4.8% 1.3% 4.5% 11.4% 5.8% 2.1% -0.0% -317.6M 1.96B -11.9M 5.76 14.19 20,870 120,134 487,306 3,282,789 2019-02-27 $85.80 $86.00 4.6% 1.0% 4.4% 10.1% 6.7% 2.0% 0.2% -382.4M 1.96B -12.2M 3.11 18.37 23,238 72,334 504,782 3,374,708 2019-02-28 $85.72 $86.00 5.0% 1.3% 3.6% 12.7% 7.6% 2.1% 0.0% -437.2M 2.06B -13.3M 2.59 13.80 78,283 203,086 517,419 3,392,755
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