HYG Options History — June 2019

In June 2019, HYG traded between $84.52 and $87.53. ATM implied volatility averaged 6.4%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.1% (HV 20d: 6.3%). Max pain ranged from $86.00 to $95.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 4.01.

Notable Days

  • 2019-06-07: Highest Volume — 520,696 contracts
  • 2019-06-04: Largest IV drop — 25.4% change
  • 2019-06-03: Highest IV Rank — 43.4%
  • 2019-06-03: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.48$84.52$87.53$84.52$87.17
Max Pain$90.10$86.00$95.00$87.00$95.00
ATM IV6.4%5.0%9.1%9.1%5.6%
Expected Move1.8%1.4%2.6%2.6%1.5%
HV 20d6.3%5.4%6.9%5.4%5.7%
HV 60d4.8%4.2%5.1%4.2%5.0%
IV Rank24.2%14.3%43.4%43.4%18.9%
IV Percentile63.1%35.3%94.8%94.8%47.6%
Term Structure0.2%-0.8%0.9%-0.1%0.7%
VWIV8.0%6.2%9.3%9.1%7.6%
Skew 25d3.1%2.4%4.1%4.0%2.6%
Skew 10d6.8%5.0%8.2%8.2%6.1%
Call IV 25d5.2%3.2%7.5%7.5%4.7%
Put IV 25d8.4%6.9%11.5%11.5%7.3%
Bid-Ask Spread %9.846.1721.006.9511.36
Gamma HHI0.150.130.210.130.15
Net GEX-945.8M-2.58B18.8M-2.58B-929.9M
Net DEX4.43B334.2M12.10B12.10B3.00B
Net VEX-33.5M-44.2M-24.8M-44.2M-27.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.011.5123.832.362.43
Total Volume287,287.5580,715520,696413,283349,942
Total OI5,427,916.154,320,3316,150,3995,255,5834,482,062

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$84.52$87.009.1%2.6%5.4%43.4%9.1%4.0%-0.1%-2.58B12.10B-44.2M2.366.95122,839290,444844,3274,411,256
2019-06-04$85.44$86.006.8%1.9%6.9%27.3%6.8%3.2%-0.1%-1.97B8.03B-40.9M1.756.46120,084210,453914,5504,496,262
2019-06-05$85.65$86.007.4%2.0%6.7%31.1%6.2%3.5%-0.1%-1.57B6.87B-40.2M2.548.1888,863225,515948,7874,505,121
2019-06-06$85.92$87.006.6%1.8%6.8%26.0%6.3%3.6%0.1%-1.18B5.59B-38.6M3.547.9759,120209,341970,4774,545,190
2019-06-07$86.12$86.006.4%1.8%6.8%24.3%8.5%2.7%-0.2%-876.2M4.47B-36.4M5.1311.3785,009435,6871,026,8374,592,822
2019-06-10$86.23$86.006.4%1.8%6.7%24.1%7.5%2.7%0.1%-692.3M4.02B-35.1M1.516.4351,05976,9601,046,5224,641,766
2019-06-11$86.33$87.006.8%2.0%5.9%26.8%8.3%3.1%0.6%-904.4M4.41B-37.5M2.7513.5392,986255,325998,9094,648,917
2019-06-12$86.20$87.007.4%2.0%5.9%31.1%9.3%3.5%-0.1%-1.14B5.42B-38.6M2.6613.7691,269242,9951,048,6894,805,670
2019-06-13$86.31$87.006.7%2.0%5.9%26.5%9.2%3.5%0.8%-1.04B5.23B-36.4M2.3611.0286,462204,2101,082,2144,856,287
2019-06-14$86.31$88.006.4%1.9%5.8%24.2%8.1%3.0%0.3%-904.5M4.70B-34.7M2.236.1783,681186,3921,093,6214,888,102
2019-06-17$86.17$87.006.8%1.9%5.9%27.0%8.8%3.3%0.3%-1.19B5.75B-35.6M3.109.7019,67061,0451,076,0214,892,997
2019-06-18$86.73$95.005.9%1.7%6.3%20.6%8.4%3.1%0.7%-402.9M3.36B-31.6M2.039.4175,449153,4661,086,3244,951,960
2019-06-19$87.13$95.005.4%1.5%6.4%17.2%8.8%4.1%0.4%18.8M1.77B-28.2M2.5512.9697,755248,8231,057,9584,985,561
2019-06-20$87.53$88.005.0%1.4%6.6%14.3%7.6%3.0%0.9%-226.8M334.2M-24.8M5.376.1764,190344,5891,039,1445,030,127
2019-06-21$87.38$95.005.6%1.7%6.3%18.8%6.4%2.4%-0.8%-182.4M721.6M-25.6M4.4421.0052,095231,2381,038,3095,112,090
2019-06-24$87.30$95.005.2%1.5%6.3%16.0%8.5%2.6%0.3%-566.3M2.18B-25.1M23.837.594,857115,728737,9153,582,416
2019-06-25$87.01$95.006.1%1.7%6.4%22.4%8.2%2.8%0.2%-847.8M3.62B-30.2M4.9011.5334,638169,870736,5423,592,798
2019-06-26$86.94$95.006.0%1.6%6.3%22.0%8.0%2.9%0.1%-921.0M3.75B-30.2M1.707.9891,686155,923745,8453,609,610
2019-06-27$87.17$95.005.9%1.7%6.3%21.2%7.5%2.9%0.3%-802.6M3.16B-28.4M3.027.3263,645192,448752,4903,681,828
2019-06-28$87.17$95.005.6%1.5%5.7%18.9%7.6%2.6%0.7%-929.9M3.00B-27.3M2.4311.36102,052247,890754,1063,727,956