HYG Options History — August 2019

In August 2019, HYG traded between $85.58 and $87.24. ATM implied volatility averaged 7.1%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.5% (HV 20d: 5.6%). 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 8.65.

Notable Days

2019-08-28: Highest Volume — 348,015 contracts
2019-08-05: Largest IV spike — 29.6% change
2019-08-05: Highest IV Rank — 41.6%
2019-08-06: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.42	$85.58	$87.24	$86.56	$87.12
Max Pain	$87.00	$87.00	$87.00	$87.00	$87.00
ATM IV	7.1%	5.8%	8.9%	6.7%	6.2%
Expected Move	2.0%	1.6%	2.4%	1.9%	1.7%
HV 20d	5.6%	3.0%	6.6%	3.2%	6.3%
HV 60d	5.2%	4.8%	5.5%	5.0%	4.8%
IV Rank	29.1%	20.1%	41.6%	26.7%	23.3%
IV Percentile	71.6%	45.6%	93.7%	72.2%	54.4%
Term Structure	0.1%	-0.8%	0.7%	-0.2%	0.2%
VWIV	9.0%	6.2%	11.6%	7.1%	7.5%
Skew 25d	3.5%	2.7%	4.4%	2.7%	3.1%
Skew 10d	8.1%	6.0%	11.1%	6.0%	6.5%
Call IV 25d	5.9%	4.7%	7.3%	5.2%	5.1%
Put IV 25d	9.4%	7.9%	11.3%	7.9%	8.2%
Bid-Ask Spread %	12.86	7.83	21.13	21.13	9.34
Gamma HHI	0.16	0.14	0.41	0.15	0.14
Net GEX	-1.46B	-3.69B	-774.4M	-1.26B	-888.5M
Net DEX	5.49B	3.48B	8.54B	4.66B	3.93B
Net VEX	-30.1M	-33.9M	-25.4M	-26.9M	-26.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.65	0.73	23.70	2.30	2.45
Total Volume	180,108.136	50,058	348,015	185,125	59,893
Total OI	4,166,901.318	3,642,971	4,638,769	4,059,199	4,286,099

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
2019-08-01	$86.56	$87.00	6.7%	1.9%	3.2%	26.7%	7.1%	2.7%	-0.2%	-1.26B	4.66B	-26.9M	2.30	21.13	56,065	129,060	621,314	3,437,885
2019-08-02	$86.40	$87.00	6.9%	1.8%	3.0%	27.5%	8.5%	3.4%	-0.2%	-1.38B	4.93B	-28.7M	6.95	11.35	26,160	181,718	628,614	3,373,640
2019-08-05	$85.59	$87.00	8.9%	2.2%	4.4%	41.6%	10.7%	4.0%	-0.2%	-1.85B	7.82B	-33.9M	23.70	11.60	13,906	329,640	643,695	3,400,795
2019-08-06	$86.05	$87.00	8.2%	2.4%	4.9%	36.7%	11.1%	4.0%	-0.2%	-1.64B	6.47B	-32.0M	13.58	13.43	18,354	249,194	636,943	3,459,839
2019-08-07	$86.01	$87.00	8.3%	2.3%	4.8%	37.4%	9.4%	3.8%	-0.1%	-1.78B	6.97B	-33.7M	7.81	12.89	34,317	267,956	654,914	3,599,333
2019-08-08	$86.33	$87.00	7.2%	2.1%	5.0%	30.0%	9.9%	3.5%	-0.1%	-1.47B	5.53B	-30.8M	5.00	8.74	34,126	170,529	675,152	3,569,479
2019-08-09	$86.28	$87.00	6.9%	2.2%	5.0%	28.1%	9.6%	3.9%	-0.1%	-1.59B	5.90B	-32.4M	4.60	10.72	8,934	41,124	705,614	3,700,572
2019-08-12	$85.99	$87.00	8.2%	2.4%	5.1%	37.0%	10.4%	4.2%	0.1%	-1.79B	6.94B	-32.6M	2.32	8.62	31,992	74,101	699,338	3,692,991
2019-08-13	$86.28	$87.00	7.1%	2.1%	5.2%	29.6%	8.9%	3.5%	0.3%	-1.56B	5.84B	-30.2M	5.85	19.25	17,648	103,170	739,366	3,743,347
2019-08-14	$85.58	$87.00	8.7%	2.3%	5.9%	40.6%	10.7%	4.4%	-0.8%	-2.27B	8.54B	-33.3M	23.28	9.07	10,784	251,021	732,129	3,787,988
2019-08-15	$85.84	$87.00	8.1%	2.3%	6.1%	36.2%	9.1%	3.9%	-0.1%	-2.26B	7.78B	-33.2M	10.65	9.46	12,956	137,978	738,240	3,884,496
2019-08-16	$86.02	$87.00	7.2%	2.1%	6.1%	29.7%	8.1%	3.9%	0.1%	-3.69B	6.70B	-31.8M	3.76	7.83	17,374	65,310	745,883	3,892,886
2019-08-19	$86.33	$87.00	6.4%	1.8%	6.2%	24.1%	7.4%	3.2%	0.6%	-1.11B	5.08B	-29.2M	5.33	8.77	34,923	186,195	585,295	3,057,676
2019-08-20	$86.47	$87.00	6.4%	1.8%	6.2%	24.7%	8.1%	3.7%	0.7%	-1.09B	4.98B	-29.2M	5.71	18.22	13,848	79,028	600,601	3,174,299
2019-08-21	$86.80	$87.00	5.9%	1.7%	6.3%	20.6%	8.5%	3.4%	0.4%	-1.01B	4.30B	-29.8M	12.88	14.23	5,635	72,600	613,733	3,228,933
2019-08-22	$86.90	$87.00	5.8%	1.6%	6.3%	20.1%	7.4%	3.4%	0.7%	-899.3M	3.90B	-28.4M	0.73	13.70	84,776	61,605	616,688	3,246,333
2019-08-23	$86.56	$87.00	7.0%	2.0%	6.4%	28.7%	9.1%	3.3%	0.1%	-1.12B	5.06B	-32.1M	10.24	18.76	19,761	202,267	677,270	3,268,599
2019-08-26	$86.90	$87.00	6.3%	1.7%	6.6%	24.1%	11.5%	3.5%	0.4%	-922.3M	4.32B	-28.3M	6.71	17.99	21,367	143,325	688,978	3,398,459
2019-08-27	$86.94	$87.00	6.6%	1.8%	6.6%	25.9%	8.0%	3.2%	0.1%	-870.4M	4.04B	-27.3M	12.68	17.12	18,477	234,224	700,043	3,365,877
2019-08-28	$87.12	$87.00	6.6%	1.8%	6.6%	25.6%	11.6%	3.3%	0.1%	-774.4M	3.48B	-25.4M	9.34	12.60	33,659	314,356	700,999	3,482,415
2019-08-29	$87.24	$87.00	6.1%	1.7%	6.3%	22.4%	6.2%	2.9%	0.2%	-824.7M	3.55B	-25.5M	14.46	8.15	6,018	87,005	689,107	3,525,972
2019-08-30	$87.12	$87.00	6.2%	1.7%	6.3%	23.3%	7.5%	3.1%	0.2%	-888.5M	3.93B	-26.4M	2.45	9.34	17,367	42,526	698,610	3,587,489