HYG Options History — October 2019 In October 2019, HYG traded between $86.10 and $87.41. ATM implied volatility averaged 5.5%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.7% (HV 20d: 3.8%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 26.86.
Notable Days 2019-10-03 : Highest Volume — 810,392 contracts2019-10-08 : Largest IV spike — 17.6% change2019-10-08 : Highest IV Rank — 33.8%2019-10-03 : Largest Expected Move — 2.2%Monthly Statistics Metric Avg Min Max Open Close Price $86.83 $86.10 $87.41 $86.67 $86.83 Max Pain $93.39 $87.00 $95.00 $87.00 $95.00 ATM IV 5.5% 3.8% 7.8% 6.7% 4.5% Expected Move 1.6% 1.1% 2.2% 1.7% 1.2% HV 20d 3.8% 2.7% 4.2% 3.2% 3.1% HV 60d 4.7% 4.1% 4.9% 4.6% 4.2% IV Rank 18.4% 6.2% 33.8% 26.3% 11.2% IV Percentile 34.5% 2.0% 85.3% 65.5% 8.7% Term Structure 0.1% -0.5% 0.8% -0.3% 0.1% VWIV 6.6% 3.9% 10.2% 7.0% 5.3% Skew 25d 2.4% 1.2% 3.5% 2.9% 1.4% Skew 10d 4.4% 2.3% 6.1% 5.8% 2.3% Call IV 25d 4.6% 3.3% 6.4% 5.1% 4.2% Put IV 25d 7.0% 4.7% 9.4% 8.1% 5.6% Bid-Ask Spread % 13.71 5.31 29.91 13.18 9.01 Gamma HHI 0.17 0.12 0.26 0.13 0.16 Net GEX -1.06B -2.08B 141.6M -1.06B -2.04B Net DEX 3.20B 724.2M 6.32B 3.68B 4.38B Net VEX -17.3M -27.2M -8.2M -22.0M -19.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 26.86 1.80 367.13 21.40 2.92 Total Volume 212,482.739 53,330 810,392 174,882 215,507 Total OI 4,554,203.304 3,820,114 5,125,008 3,820,114 4,711,611
Daily Data (23 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 2019-10-01 $86.67 $87.00 6.7% 1.7% 3.2% 26.3% 7.0% 2.9% -0.3% -1.06B 3.68B -22.0M 21.40 13.18 7,806 167,076 620,077 3,200,037 2019-10-02 $86.15 $87.00 7.7% 2.0% 3.8% 33.6% 7.0% 3.0% -0.3% -1.52B 5.02B -24.1M 3.68 29.91 96,057 353,025 611,431 3,281,693 2019-10-03 $86.13 $95.00 7.6% 2.2% 3.4% 32.5% 9.8% 3.1% -0.3% -1.69B 5.92B -26.0M 14.04 18.36 53,874 756,518 653,191 3,449,908 2019-10-04 $86.40 $88.00 6.5% 2.1% 3.6% 25.1% 6.7% 3.5% -0.0% -1.80B 5.11B -24.2M 33.61 12.88 6,541 219,840 700,391 4,010,865 2019-10-07 $86.40 $88.00 6.6% 2.1% 3.6% 25.8% 10.2% 2.9% 0.8% -1.78B 5.18B -25.6M 4.99 20.39 40,473 202,153 687,885 3,941,429 2019-10-08 $86.10 $88.00 7.8% 2.1% 3.7% 33.8% 9.9% 3.2% -0.5% -2.08B 6.32B -27.2M 13.90 29.73 5,923 82,355 702,342 4,098,143 2019-10-09 $86.33 $95.00 7.0% 2.2% 3.9% 28.3% 9.2% 3.2% 0.8% -2.02B 5.77B -25.9M 3.14 13.95 42,221 132,768 730,811 4,115,850 2019-10-10 $86.42 $95.00 7.1% 2.1% 3.9% 29.0% 9.0% 3.1% 0.6% -1.87B 4.67B -21.6M 17.54 17.98 15,996 280,589 765,624 4,118,569 2019-10-11 $86.78 $95.00 6.1% 1.7% 4.2% 22.0% 7.2% 2.8% -0.3% -1.50B 3.74B -20.5M 7.55 25.73 19,726 148,916 770,934 4,309,420 2019-10-14 $86.83 $95.00 5.8% 1.6% 4.0% 20.2% 6.6% 2.6% -0.0% -1.19B 3.75B -20.1M 4.28 9.57 12,515 53,589 761,204 4,168,340 2019-10-15 $86.99 $95.00 5.2% 1.5% 4.1% 16.2% 6.8% 2.3% 0.1% -959.4M 2.33B -14.2M 5.73 10.55 43,454 249,171 762,516 4,129,345 2019-10-16 $86.97 $95.00 5.1% 1.5% 4.1% 15.6% 5.4% 2.1% 0.0% -537.1M 2.01B -12.3M 2.03 13.05 25,765 52,398 782,665 4,243,459 2019-10-17 $87.09 $95.00 4.8% 1.4% 4.1% 13.3% 6.8% 2.6% 0.3% -143.4M 1.45B -12.6M 14.07 6.42 11,117 156,470 818,018 4,275,063 2019-10-18 $87.10 $95.00 4.7% 1.3% 4.1% 12.9% 4.8% 2.1% 0.3% -531.8M 1.39B -12.6M 1.80 5.31 69,347 124,586 807,979 4,317,029 2019-10-21 $87.13 $95.00 4.6% 1.3% 4.1% 12.2% 4.8% 2.7% -0.0% -299.2M 1.18B -9.8M 23.34 7.76 2,191 51,139 652,849 3,473,664 2019-10-22 $87.12 $95.00 4.5% 1.3% 4.1% 11.4% 6.3% 2.0% 0.1% -470.1M 1.62B -10.7M 26.02 13.26 5,409 140,754 674,032 3,521,359 2019-10-23 $87.22 $95.00 4.5% 1.3% 4.1% 10.9% 5.0% 1.8% 0.1% -625.8M 1.61B -11.8M 5.31 8.46 10,540 56,016 677,081 3,568,123 2019-10-24 $87.28 $95.00 3.9% 1.1% 4.1% 6.9% 5.6% 1.6% 0.2% -547.5M 1.35B -10.7M 367.13 9.65 329 120,785 677,736 3,559,246 2019-10-25 $87.41 $95.00 3.8% 1.1% 4.1% 6.2% 3.9% 1.2% 0.1% 141.6M 724.2M -8.2M 2.42 9.49 27,782 67,341 677,841 3,596,197 2019-10-28 $87.41 $95.00 3.9% 1.1% 4.1% 6.9% 4.6% 1.3% 0.2% 9.9M 984.2M -9.1M 11.57 8.27 7,513 86,943 688,471 3,599,286 2019-10-29 $87.24 $95.00 4.4% 1.3% 3.6% 10.8% 4.1% 1.2% 0.3% -949.2M 2.74B -15.8M 24.44 16.77 11,975 292,718 695,326 3,638,319 2019-10-30 $87.15 $95.00 4.5% 1.2% 2.7% 11.0% 5.7% 1.8% 0.1% -934.5M 2.66B -15.1M 6.81 5.66 46,102 313,790 702,281 3,799,036 2019-10-31 $86.83 $95.00 4.5% 1.2% 3.1% 11.2% 5.3% 1.4% 0.1% -2.04B 4.38B -19.0M 2.92 9.01 55,016 160,491 730,992 3,980,619
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