HYG Options History — November 2019

In November 2019, HYG traded between $86.33 and $87.13. ATM implied volatility averaged 4.6%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 2.0% (HV 20d: 2.5%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 18.36.

Notable Days

  • 2019-11-19: Highest Volume — 239,122 contracts
  • 2019-11-15: Largest IV drop — 14.1% change
  • 2019-11-14: Highest IV Rank — 15.4%
  • 2019-11-04: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.80$86.33$87.13$86.88$86.94
Max Pain$87.45$87.00$95.00$95.00$88.00
ATM IV4.6%3.7%5.1%4.9%3.7%
Expected Move1.4%1.1%1.6%1.2%1.2%
HV 20d2.5%2.1%3.0%2.9%2.8%
HV 60d3.6%3.1%4.2%4.1%3.1%
IV Rank11.9%5.9%15.4%13.7%5.9%
IV Percentile15.3%1.6%30.6%19.0%1.6%
Term Structure-0.1%-0.7%0.6%0.2%0.0%
VWIV5.5%4.3%7.4%4.7%5.2%
Skew 25d2.1%1.5%2.8%1.9%1.6%
Skew 10d3.9%2.1%5.1%4.7%3.5%
Call IV 25d3.9%3.4%4.4%3.9%3.7%
Put IV 25d6.0%5.2%6.5%5.8%5.4%
Bid-Ask Spread %5.103.488.534.027.98
Gamma HHI0.210.180.280.180.21
Net GEX-1.36B-2.67B-289.0M-1.13B-1.72B
Net DEX2.68B1.35B3.56B3.40B2.89B
Net VEX-14.9M-17.4M-10.6M-17.4M-15.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.360.26153.572.462.69
Total Volume117,668.820,956239,122167,89931,395
Total OI4,555,877.353,765,3235,265,2684,753,8704,369,988

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$86.88$95.004.9%1.2%2.9%13.7%4.7%1.9%0.2%-1.13B3.40B-17.4M2.464.0248,505119,394703,3864,050,484
2019-11-04$87.03$87.004.9%1.6%3.0%14.3%6.3%2.1%-0.1%-842.9M2.41B-16.1M6.194.1216,439101,813754,5874,040,428
2019-11-05$86.94$87.004.8%1.6%2.7%13.5%5.1%2.3%-0.0%-843.9M2.60B-15.9M1.514.5464,80297,876743,1494,029,057
2019-11-06$86.83$87.004.9%1.5%2.6%13.7%6.7%2.1%-0.0%-1.05B2.76B-16.0M153.573.90753115,639760,1964,070,152
2019-11-07$86.77$87.004.8%1.5%2.6%13.4%5.7%2.2%0.6%-1.21B2.94B-16.4M3.073.8229,35790,010753,7714,097,879
2019-11-08$86.88$87.004.6%1.5%2.2%11.9%6.1%2.1%-0.0%-923.3M2.37B-13.5M2.234.2453,490119,144763,9174,132,944
2019-11-11$86.81$87.004.6%1.5%2.2%11.8%4.9%1.9%-0.1%-1.26B2.96B-15.6M6.464.252,80818,148786,3634,202,162
2019-11-12$86.83$87.004.6%1.5%2.1%12.0%6.0%2.0%0.1%-1.34B2.92B-15.3M21.443.486,023129,119765,3564,222,765
2019-11-13$86.73$87.004.9%1.5%2.1%14.3%4.8%2.2%-0.5%-1.60B3.56B-16.3M0.993.6625,85625,706767,5264,302,902
2019-11-14$86.70$87.005.1%1.5%2.1%15.4%7.4%2.1%-0.7%-1.72B3.40B-15.5M90.663.542,583234,168775,4014,287,777
2019-11-15$86.91$87.004.4%1.4%2.3%10.4%5.6%1.8%0.3%-289.0M2.62B-14.1M4.024.9124,52098,597775,0194,490,249
2019-11-18$86.81$87.004.3%1.3%2.3%9.8%4.9%1.9%-0.3%-1.25B1.90B-13.0M11.968.537,80193,262481,6923,283,631
2019-11-19$86.56$87.004.8%1.4%2.5%13.5%4.3%1.5%-0.3%-1.56B2.29B-13.7M5.134.1639,018200,104488,8693,343,698
2019-11-20$86.33$87.004.7%1.3%2.5%12.3%5.1%2.0%0.1%-2.27B3.27B-15.1M3.717.3412,99148,170525,7023,521,906
2019-11-21$86.41$87.004.9%1.4%2.6%14.3%5.6%1.9%-0.2%-2.67B3.43B-16.5M2.965.6224,17071,637533,5443,556,383
2019-11-22$86.66$87.004.9%1.4%2.7%13.7%5.6%1.9%-0.4%-1.46B2.09B-12.3M1.006.1360,18160,049544,2423,598,870
2019-11-25$86.91$87.004.3%1.3%3.0%9.6%5.4%2.8%0.2%-1.46B1.35B-10.6M0.264.7436,9299,596577,0743,560,210
2019-11-26$86.97$87.004.1%1.3%2.9%8.6%4.9%2.6%-0.1%-1.70B2.38B-16.0M2.577.9857,861148,491610,7623,569,660
2019-11-27$87.13$87.003.8%1.1%3.0%6.4%4.8%2.5%0.0%-982.5M2.05B-13.5M44.335.0959526,376632,2873,643,559
2019-11-29$86.94$88.003.7%1.2%2.8%5.9%5.2%1.6%0.0%-1.72B2.89B-15.8M2.697.988,50622,889668,2713,701,717