HYG Options History — May 2019 In May 2019, HYG traded between $84.92 and $86.56. ATM implied volatility averaged 6.1%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.6% (HV 20d: 4.5%). Max pain ranged from $87.00 to $87.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 8.72.
Notable Days 2019-05-09 : Highest Volume — 662,123 contracts2019-05-07 : Largest IV spike — 28.6% change2019-05-31 : Highest IV Rank — 38.1%2019-05-31 : Largest Expected Move — 2.4%Monthly Statistics Metric Avg Min Max Open Close Price $85.92 $84.92 $86.56 $86.44 $84.92 Max Pain $87.00 $87.00 $87.00 $87.00 $87.00 ATM IV 6.1% 4.5% 8.4% 4.5% 8.4% Expected Move 1.7% 1.3% 2.4% 1.3% 2.4% HV 20d 4.5% 3.2% 5.4% 3.2% 5.4% HV 60d 3.6% 3.0% 4.1% 3.2% 4.1% IV Rank 22.4% 11.3% 38.1% 11.3% 38.1% IV Percentile 63.5% 31.0% 92.9% 31.0% 92.9% Term Structure -0.0% -0.9% 0.8% 0.1% 0.4% VWIV 7.5% 5.2% 10.2% 5.2% 10.2% Skew 25d 3.0% 1.3% 3.8% 1.3% 3.2% Skew 10d 6.5% 3.2% 8.4% 3.5% 8.1% Call IV 25d 5.0% 3.1% 7.3% 4.1% 7.3% Put IV 25d 8.0% 5.3% 10.5% 5.3% 10.5% Bid-Ask Spread % 13.94 6.79 32.45 14.34 13.66 Gamma HHI 0.17 0.13 0.40 0.17 0.17 Net GEX -1.97B -3.71B -957.4M -1.21B -2.96B Net DEX 6.39B 2.39B 11.96B 3.12B 11.96B Net VEX -30.8M -43.8M -18.0M -19.0M -43.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 8.72 1.93 23.99 4.24 1.93 Total Volume 318,891.591 70,926 662,123 207,083 636,257 Total OI 4,444,897.045 3,795,939 5,128,581 3,795,939 5,028,535
Daily Data (22 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 2019-05-01 $86.44 $87.00 4.5% 1.3% 3.2% 11.3% 5.2% 1.3% 0.1% -1.21B 3.12B -19.0M 4.24 14.34 39,519 167,564 474,885 3,321,054 2019-05-02 $86.38 $87.00 5.0% 1.5% 3.2% 14.7% 5.6% 3.2% 0.2% -1.64B 3.55B -21.0M 2.41 19.54 63,345 152,921 496,117 3,318,468 2019-05-03 $86.56 $87.00 4.8% 1.3% 3.3% 13.5% 6.2% 1.6% 0.2% -2.18B 2.39B -18.0M 8.10 7.98 26,943 218,202 530,284 3,408,613 2019-05-06 $86.56 $87.00 5.6% 1.4% 3.2% 19.1% 7.2% 3.5% 0.0% -957.4M 2.89B -22.0M 4.82 13.27 12,180 58,746 522,083 3,443,367 2019-05-07 $86.08 $87.00 7.2% 1.9% 3.8% 30.2% 8.2% 3.6% -0.4% -1.54B 5.09B -27.5M 3.43 13.26 82,600 283,334 532,638 3,481,183 2019-05-08 $86.20 $87.00 6.6% 1.9% 3.8% 26.1% 8.5% 3.8% -0.3% -1.49B 4.94B -28.3M 2.10 11.98 107,552 225,593 609,716 3,571,843 2019-05-09 $85.99 $87.00 6.8% 1.8% 3.6% 26.9% 7.6% 3.8% -0.1% -1.78B 6.07B -29.2M 5.44 22.37 102,784 559,339 656,860 3,601,913 2019-05-10 $86.23 $87.00 6.0% 1.6% 3.7% 21.7% 7.2% 2.9% -0.2% -1.72B 5.42B -28.0M 8.73 15.99 39,369 343,608 709,256 3,854,138 2019-05-13 $85.47 $87.00 6.9% 2.1% 4.7% 27.7% 7.1% 3.7% 0.8% -2.25B 7.85B -29.9M 7.22 12.73 41,327 298,261 700,130 3,793,930 2019-05-14 $85.69 $87.00 6.4% 1.6% 4.9% 24.5% 5.4% 3.3% -0.9% -2.31B 7.11B -30.7M 2.55 6.79 107,600 273,946 746,178 4,114,690 2019-05-15 $85.72 $87.00 6.3% 1.6% 4.9% 24.1% 7.5% 3.4% -0.9% -2.41B 7.47B -31.6M 23.99 7.04 11,987 287,578 745,218 4,141,037 2019-05-16 $85.92 $87.00 5.6% 1.6% 5.0% 18.9% 7.5% 2.8% -0.4% -2.37B 6.35B -30.9M 13.58 8.22 14,583 198,094 752,860 4,208,371 2019-05-17 $85.95 $87.00 5.7% 1.6% 5.0% 19.4% 7.1% 2.8% -0.2% -3.71B 6.90B -33.4M 14.61 32.45 24,465 357,347 753,417 4,375,164 2019-05-20 $85.88 $87.00 5.8% 1.7% 5.0% 19.9% 7.5% 3.0% 0.0% -1.56B 6.38B -33.1M 4.45 13.70 39,576 176,144 566,937 3,593,665 2019-05-21 $86.12 $87.00 5.2% 1.5% 5.0% 16.1% 8.5% 2.3% 0.0% -1.41B 5.33B -32.5M 7.51 12.76 25,342 190,359 605,837 3,741,035 2019-05-22 $86.19 $87.00 5.2% 1.5% 5.0% 16.0% 5.4% 2.8% 0.4% -1.40B 5.35B -33.6M 13.94 12.79 22,198 309,479 667,119 3,713,225 2019-05-23 $85.78 $87.00 5.7% 1.6% 5.2% 19.5% 7.7% 3.3% 0.6% -1.75B 7.20B -35.4M 13.65 15.34 14,502 197,898 665,622 3,792,950 2019-05-24 $85.74 $87.00 6.0% 1.7% 5.1% 21.4% 6.5% 2.9% 0.2% -1.92B 7.59B -35.4M 16.17 14.82 8,885 143,643 663,990 3,825,452 2019-05-28 $85.51 $87.00 6.5% 1.8% 5.2% 24.9% 8.9% 2.9% 0.1% -2.04B 8.18B -35.3M 10.81 11.61 20,694 223,634 657,088 3,818,097 2019-05-29 $85.35 $87.00 7.1% 1.9% 5.2% 29.3% 10.1% 3.4% -0.0% -2.22B 9.52B -39.0M 13.13 12.43 35,325 463,714 675,344 3,972,465 2019-05-30 $85.49 $87.00 7.0% 1.9% 4.9% 28.5% 9.6% 3.2% 0.3% -2.43B 9.86B -40.6M 8.95 13.69 41,132 368,046 691,896 4,245,065 2019-05-31 $84.92 $87.00 8.4% 2.4% 5.4% 38.1% 10.2% 3.2% 0.4% -2.96B 11.96B -43.8M 1.93 13.66 217,071 419,186 699,706 4,328,829
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