HYG Options History — July 2019

In July 2019, HYG traded between $86.62 and $87.31. ATM implied volatility averaged 5.0%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.1% (HV 20d: 4.0%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 4.93.

Notable Days

  • 2019-07-19: Highest Volume — 569,262 contracts
  • 2019-07-10: Largest IV drop — 11.8% change
  • 2019-07-09: Highest IV Rank — 21.1%
  • 2019-07-05: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.94$86.62$87.31$86.87$87.02
Max Pain$88.09$87.00$95.00$95.00$87.00
ATM IV5.0%4.6%5.9%5.7%5.1%
Expected Move1.4%1.2%1.5%1.4%1.3%
HV 20d4.0%2.9%5.5%5.5%2.9%
HV 60d5.1%5.0%5.2%5.0%5.0%
IV Rank14.9%11.7%21.1%19.5%15.3%
IV Percentile35.3%26.2%53.2%49.6%36.9%
Term Structure0.1%-1.1%1.0%-0.1%0.2%
VWIV5.9%4.5%8.9%5.9%7.1%
Skew 25d2.6%2.1%2.9%2.6%2.5%
Skew 10d5.4%4.2%6.6%4.5%5.4%
Call IV 25d4.1%3.6%4.6%4.4%4.3%
Put IV 25d6.7%6.1%7.4%7.0%6.8%
Bid-Ask Spread %9.485.6221.5511.9113.20
Gamma HHI0.160.140.180.140.16
Net GEX-832.5M-1.02B-572.4M-995.4M-1.02B
Net DEX3.31B2.17B4.54B3.79B3.90B
Net VEX-23.6M-27.0M-20.4M-27.0M-24.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.930.1224.953.033.24
Total Volume184,027.36414,447569,26282,396241,907
Total OI4,204,048.5913,603,2734,719,3054,313,3664,090,007

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$86.87$95.005.7%1.4%5.5%19.5%5.9%2.6%-0.1%-995.4M3.79B-27.0M3.0311.9120,46261,934633,1643,680,202
2019-07-02$86.98$95.005.3%1.3%4.2%16.9%6.4%2.5%-0.2%-891.7M3.37B-24.9M2.756.7016,49245,397645,1773,663,576
2019-07-03$87.31$95.004.9%1.2%4.3%14.2%4.7%2.4%-0.2%-572.4M2.17B-21.9M2.146.1416,07134,355658,8223,673,489
2019-07-05$86.99$87.005.4%1.5%4.5%17.8%5.4%2.2%-0.4%-745.6M3.06B-23.6M3.847.0229,752114,114658,1283,675,862
2019-07-08$86.85$87.005.5%1.5%4.6%18.5%5.5%2.8%-0.4%-887.6M3.55B-24.5M3.9010.209,74638,050652,9703,637,537
2019-07-09$86.74$87.005.9%1.4%4.6%21.1%5.7%2.9%-1.1%-1.02B3.98B-24.7M2.4515.0135,63287,378653,6503,677,757
2019-07-10$86.92$87.005.2%1.4%4.6%16.2%5.0%2.8%-0.2%-921.2M3.08B-24.2M2.908.3934,35599,504656,2043,676,055
2019-07-11$86.83$87.005.0%1.4%4.6%15.0%5.9%2.4%-0.4%-874.2M3.36B-23.6M2.448.9666,370161,717677,5893,718,800
2019-07-12$86.90$87.004.6%1.3%4.6%11.7%4.9%2.8%-0.0%-735.9M2.92B-23.6M1.627.71104,702169,216704,3973,749,367
2019-07-15$87.01$87.004.7%1.3%4.6%12.8%4.5%2.6%0.2%-627.2M2.81B-21.7M0.128.4912,9021,545763,7453,743,868
2019-07-16$86.83$87.004.9%1.4%4.6%14.2%5.2%2.4%0.5%-732.2M3.40B-22.9M3.0621.5559,393181,532754,2753,735,636
2019-07-17$86.74$87.004.9%1.4%4.0%13.7%7.3%2.9%0.9%-1.01B4.11B-24.6M4.5319.9029,405133,092758,0073,811,244
2019-07-18$86.74$87.005.1%1.4%3.7%15.4%6.2%2.9%0.9%-1.00B4.05B-23.8M5.955.7939,056232,275755,2943,820,852
2019-07-19$86.62$87.005.0%1.3%3.2%14.5%8.9%2.8%1.0%-974.4M4.54B-24.8M6.506.5175,866493,396776,3993,942,906
2019-07-22$86.84$87.004.8%1.4%3.3%13.0%6.3%2.8%0.2%-890.3M3.28B-24.8M24.956.147,978199,019571,6593,031,614
2019-07-23$87.03$87.004.8%1.3%3.5%13.3%6.7%2.9%0.1%-762.3M2.75B-23.4M4.308.2141,619178,918571,6783,161,604
2019-07-24$87.09$87.004.7%1.3%3.3%12.7%6.5%2.6%0.1%-760.3M2.83B-23.3M4.325.6235,891155,008587,8113,132,949
2019-07-25$87.01$87.004.7%1.3%3.3%12.6%6.3%2.4%0.3%-596.1M2.49B-20.4M6.339.1521,509136,259601,7533,155,451
2019-07-26$87.17$87.004.7%1.3%3.2%12.7%5.6%2.1%0.1%-701.1M2.78B-22.2M5.887.7525,326148,845612,5443,230,669
2019-07-29$87.05$87.004.7%1.3%3.2%12.6%5.1%2.1%-0.1%-708.0M3.01B-21.2M5.226.9212,29664,243619,0473,247,004
2019-07-30$87.06$87.004.9%1.4%3.0%13.9%5.4%2.3%0.1%-894.0M3.50B-23.9M8.947.2437,820338,255628,2043,292,103
2019-07-31$87.02$87.005.1%1.3%2.9%15.3%7.1%2.5%0.2%-1.02B3.90B-24.5M3.2413.2057,047184,860626,1253,463,882