HYG Options History — September 2019

In September 2019, HYG traded between $86.56 and $87.49. ATM implied volatility averaged 5.6%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.2% (HV 20d: 4.4%). Max pain ranged from $87.00 to $87.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 10.12.

Notable Days

  • 2019-09-23: Highest Volume — 286,063 contracts
  • 2019-09-26: Largest IV spike — 19.8% change
  • 2019-09-03: Highest IV Rank — 32.9%
  • 2019-09-03: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.23$86.56$87.49$86.56$87.17
Max Pain$87.00$87.00$87.00$87.00$87.00
ATM IV5.6%4.4%7.6%7.6%5.3%
Expected Move1.6%1.3%2.0%2.0%1.3%
HV 20d4.4%3.4%5.8%5.8%3.4%
HV 60d4.7%4.4%5.0%4.9%4.4%
IV Rank18.6%10.6%32.9%32.9%16.8%
IV Percentile35.4%7.5%82.9%82.9%29.0%
Term Structure0.0%-0.7%1.1%-0.1%-0.2%
VWIV6.8%4.7%9.9%7.2%4.7%
Skew 25d2.6%1.5%4.0%3.8%1.5%
Skew 10d5.7%3.1%8.1%8.1%3.1%
Call IV 25d4.4%3.8%6.1%6.1%4.5%
Put IV 25d7.1%6.1%9.9%9.9%6.1%
Bid-Ask Spread %15.064.7756.086.727.94
Gamma HHI0.140.130.170.130.17
Net GEX-575.8M-1.23B-157.1M-1.05B-1.09B
Net DEX1.99B456.4M4.68B4.68B1.92B
Net VEX-19.1M-28.1M-10.8M-28.1M-14.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.121.2961.016.211.77
Total Volume154,801.136,531286,06388,213179,497
Total OI4,214,949.753,284,4154,769,0884,130,3133,732,923

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$86.56$87.007.6%2.0%5.8%32.9%7.2%3.8%-0.1%-1.05B4.68B-28.1M6.216.7212,23375,980678,6443,451,669
2019-09-04$86.72$87.007.1%1.9%5.5%29.2%9.9%4.0%-0.0%-1.04B4.18B-27.9M14.814.7712,621186,942677,8603,473,254
2019-09-05$87.08$87.006.2%1.8%5.7%23.3%7.2%3.4%-0.0%-609.0M2.43B-22.6M4.5410.1327,502124,814687,2863,545,472
2019-09-06$87.17$87.006.0%1.7%5.5%21.9%9.4%3.0%-0.0%-378.7M1.94B-21.8M3.918.0837,648147,046709,9413,597,498
2019-09-09$87.24$87.005.9%1.7%5.5%20.9%6.6%2.8%-0.2%-380.6M2.11B-21.3M5.467.9940,950223,667721,9453,568,226
2019-09-10$87.19$87.005.8%1.7%5.4%20.1%8.3%2.8%0.2%-479.8M2.22B-22.2M11.859.1914,024166,249735,3433,663,010
2019-09-11$87.26$87.005.0%1.7%5.3%14.6%7.3%3.0%1.1%-451.7M2.14B-22.2M8.217.5715,636128,373750,9113,788,333
2019-09-12$87.34$87.005.0%1.6%4.1%14.9%6.4%3.1%0.9%-216.5M1.57B-20.4M3.4715.1038,776134,467762,8513,768,606
2019-09-13$87.19$87.005.4%1.5%4.2%17.8%5.6%2.6%-0.4%-515.1M2.58B-23.2M24.3911.352,07550,599777,7373,875,123
2019-09-16$87.44$87.005.7%1.7%4.2%19.2%6.4%2.8%-0.6%-276.6M1.72B-20.2M11.105.293,01933,512779,7353,878,713
2019-09-17$87.49$87.005.7%1.7%4.1%19.8%5.8%2.8%-0.5%-230.8M1.66B-19.8M1.295.9043,32155,878786,1983,909,727
2019-09-18$87.49$87.005.7%1.6%4.1%19.6%7.4%2.3%-0.7%-419.5M933.2M-14.5M1.6014.5825,93041,595797,1423,918,527
2019-09-19$87.40$87.005.4%1.6%3.9%17.2%8.7%2.6%-0.3%-157.1M1.01B-14.4M14.5611.757,169104,355789,8383,956,752
2019-09-20$87.48$87.004.9%1.4%3.9%14.3%5.5%2.0%-0.2%-271.5M1.21B-15.9M2.209.0930,96268,170767,7004,001,388
2019-09-23$87.45$87.004.6%1.3%3.6%11.7%5.9%2.0%0.4%-415.9M456.4M-10.8M13.736.2219,421266,642530,9102,753,505
2019-09-24$87.31$87.004.8%1.3%3.4%13.6%5.8%2.0%0.2%-553.0M834.9M-12.0M3.3211.1162,994209,362563,1932,861,505
2019-09-25$87.27$87.004.4%1.4%3.4%10.6%5.1%2.2%0.4%-617.2M1.38B-14.5M5.1037.1942,879218,790578,8222,941,816
2019-09-26$87.19$87.005.3%1.4%3.4%16.6%6.5%1.9%0.6%-1.23B2.60B-18.1M3.8455.0440,174154,196601,2973,137,531
2019-09-27$87.09$87.005.2%1.4%3.4%16.2%6.3%2.1%0.3%-1.13B2.21B-17.1M61.0156.0878347,771620,3643,157,700
2019-09-30$87.17$87.005.3%1.3%3.4%16.8%4.7%1.5%-0.2%-1.09B1.92B-14.5M1.777.9464,863114,634603,7873,129,136