HYG Options History — March 2019

In March 2019, HYG traded between $85.08 and $86.44. ATM implied volatility averaged 5.2%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.4% (HV 20d: 2.8%). Max pain ranged from $86.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 6.27.

Notable Days

  • 2019-03-15: Highest Volume — 566,132 contracts
  • 2019-03-11: Largest IV drop — 18.3% change
  • 2019-03-07: Highest IV Rank — 21.7%
  • 2019-03-25: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.73$85.08$86.44$85.60$86.44
Max Pain$88.86$86.00$95.00$95.00$87.00
ATM IV5.2%4.0%6.2%5.0%5.1%
Expected Move1.5%1.2%1.8%1.3%1.7%
HV 20d2.8%2.3%3.6%3.6%3.0%
HV 60d6.8%5.5%7.5%7.5%5.5%
IV Rank14.6%6.1%21.7%13.3%13.9%
IV Percentile41.0%12.7%62.3%34.1%40.9%
Term Structure-0.1%-1.1%0.7%0.3%0.3%
VWIV6.5%4.0%8.9%4.0%6.8%
Skew 25d2.4%1.6%3.1%2.1%2.5%
Skew 10d5.1%2.4%6.7%5.1%5.7%
Call IV 25d4.4%3.5%5.3%3.9%4.3%
Put IV 25d6.8%5.2%8.3%5.9%6.9%
Bid-Ask Spread %15.447.3237.1111.7419.04
Gamma HHI0.170.140.210.170.16
Net GEX-757.9M-1.50B-366.8M-478.2M-634.7M
Net DEX3.35B2.28B5.23B2.71B2.99B
Net VEX-16.5M-25.4M-11.5M-13.9M-20.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.271.7825.651.789.15
Total Volume247,335.952102,554566,132226,040206,119
Total OI4,024,950.5713,376,4994,511,3243,881,2824,281,407

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$85.60$95.005.0%1.3%3.6%13.3%4.0%2.1%0.3%-478.2M2.71B-13.9M1.7811.7481,359144,681402,3183,478,964
2019-03-04$85.48$87.005.2%1.4%3.2%14.7%5.6%2.8%-0.1%-651.8M2.48B-13.8M4.1310.7639,334162,627415,9613,466,004
2019-03-05$85.45$86.005.3%1.4%3.1%14.9%6.5%2.8%-0.1%-715.2M2.51B-12.4M2.667.7339,623105,237443,1223,463,860
2019-03-06$85.28$86.005.4%1.4%2.9%15.7%6.5%2.7%-0.1%-882.5M3.32B-14.2M4.288.2650,067214,425476,1443,554,413
2019-03-07$85.23$86.006.2%1.7%2.9%21.7%6.4%2.5%-0.3%-1.11B3.92B-16.9M4.4111.8759,255261,098475,4903,634,038
2019-03-08$85.08$86.006.0%1.5%2.7%20.2%5.4%2.8%-0.2%-1.50B4.62B-18.2M6.227.3230,516189,838485,4493,749,082
2019-03-11$85.33$86.004.9%1.6%2.8%12.4%6.4%2.1%0.7%-1.08B3.60B-15.3M25.6514.674,258109,237498,1813,760,532
2019-03-12$85.51$86.004.9%1.3%2.9%12.0%7.4%2.0%-1.1%-882.3M3.13B-14.7M9.079.1216,194146,874500,9083,794,383
2019-03-13$85.73$86.004.8%1.3%2.5%11.9%7.8%2.0%-0.9%-366.8M2.28B-12.0M6.1110.3632,414197,892523,6303,854,083
2019-03-14$85.73$86.004.6%1.3%2.5%10.4%5.6%2.0%-0.9%-418.3M2.43B-12.8M2.3014.2654,805125,984528,8323,903,125
2019-03-15$85.81$86.004.0%1.2%2.5%6.1%6.0%1.6%-0.1%-553.8M2.49B-13.3M6.3319.6777,184488,948549,7073,961,617
2019-03-18$85.74$95.004.6%1.2%2.3%10.2%4.0%1.7%-0.1%-455.4M2.64B-11.5M3.479.0322,93079,624447,0342,929,465
2019-03-19$85.76$95.004.3%1.3%2.3%7.9%6.8%1.8%0.1%-600.7M2.96B-14.7M9.9517.9125,664255,326454,6442,985,749
2019-03-20$86.13$87.004.9%1.5%2.7%12.2%7.2%2.3%0.2%-581.7M2.98B-17.1M4.1137.1148,623199,623476,8873,118,660
2019-03-21$86.13$87.005.2%1.5%2.7%14.7%6.0%2.3%-0.1%-647.1M3.05B-16.9M4.7417.0262,760297,448502,0493,214,633
2019-03-22$85.88$87.006.0%1.7%2.9%20.0%7.8%3.1%-0.1%-713.2M3.97B-19.4M4.9321.1064,883319,640547,6753,328,057
2019-03-25$85.85$95.006.0%1.8%2.9%20.4%8.9%3.1%0.2%-1.07B5.23B-25.4M12.5615.7628,559358,625557,4023,370,343
2019-03-26$85.92$95.005.7%1.6%2.9%17.6%7.8%2.7%0.3%-877.7M4.32B-19.3M5.2812.2436,533192,729568,5063,488,873
2019-03-27$86.09$95.005.6%1.7%2.9%17.6%6.3%2.6%0.7%-936.6M4.56B-22.9M2.3422.6161,145142,791584,8283,550,339
2019-03-28$86.19$87.005.8%1.7%2.9%18.6%6.5%2.6%0.4%-767.2M4.06B-21.6M2.2326.7249,340109,843611,0063,586,562
2019-03-29$86.44$87.005.1%1.7%3.0%13.9%6.8%2.5%0.3%-634.7M2.99B-20.1M9.1519.0420,301185,818624,5223,656,885