HYG Options History — December 2019

In December 2019, HYG traded between $86.44 and $88.24. ATM implied volatility averaged 4.2%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.8% (HV 20d: 3.4%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 4.07.

Notable Days

  • 2019-12-18: Highest Volume — 770,910 contracts
  • 2019-12-05: Largest IV drop — 19.1% change
  • 2019-12-30: Highest IV Rank — 22.9%
  • 2019-12-03: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.47$86.44$88.24$86.55$87.94
Max Pain$87.52$87.00$88.00$88.00$88.00
ATM IV4.2%3.2%5.5%5.1%4.7%
Expected Move1.2%0.9%1.8%1.7%1.3%
HV 20d3.4%2.9%3.7%3.2%2.9%
HV 60d3.3%3.0%3.6%3.2%3.0%
IV Rank10.7%2.2%22.9%15.5%22.3%
IV Percentile14.2%1.2%44.4%34.9%23.4%
Term Structure0.2%-0.2%0.9%0.2%0.3%
VWIV5.0%3.3%6.7%6.4%4.6%
Skew 25d2.2%1.4%3.3%2.0%2.8%
Skew 10d4.6%3.1%6.2%4.2%5.7%
Call IV 25d3.3%1.7%4.2%4.2%3.6%
Put IV 25d5.5%4.3%7.3%6.2%6.4%
Bid-Ask Spread %7.814.5719.377.226.79
Gamma HHI0.180.130.230.210.13
Net GEX-673.2M-1.98B424.6M-1.98B-724.8M
Net DEX1.30B-867.7M4.24B3.67B942.5M
Net VEX-13.4M-19.8M-8.0M-17.9M-14.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.070.4515.403.904.18
Total Volume171,729.33337,506770,910165,40577,288
Total OI4,200,512.2863,109,6034,787,2264,311,3143,369,313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$86.55$88.005.1%1.7%3.2%15.5%6.4%2.0%0.2%-1.98B3.67B-17.9M3.907.2233,762131,643637,9053,673,409
2019-12-03$86.44$88.005.5%1.8%3.2%18.5%6.7%3.2%0.1%-1.97B4.24B-19.8M3.486.0251,646179,642656,5763,695,903
2019-12-04$86.69$88.005.3%1.7%3.3%17.1%5.9%2.5%0.1%-1.59B2.97B-17.0M3.404.5721,96574,602691,2203,789,738
2019-12-05$86.80$87.004.3%1.3%3.4%10.0%4.5%2.4%-0.0%-1.24B2.56B-16.5M0.456.5544,64220,008710,2503,802,404
2019-12-06$86.94$87.004.5%1.2%3.4%11.1%6.1%2.8%-0.2%-823.7M1.55B-13.0M5.465.6814,29378,039726,1873,825,390
2019-12-09$86.94$87.004.3%1.3%3.4%10.0%5.2%1.9%0.1%-841.7M1.67B-13.8M6.555.9716,862110,402736,8533,846,618
2019-12-10$87.10$87.004.4%1.3%3.4%10.4%5.1%2.3%0.2%-637.5M1.23B-13.2M3.445.9711,73240,310749,8763,825,170
2019-12-11$87.28$87.003.9%1.3%3.5%6.9%5.1%2.1%0.9%-523.4M757.0M-12.1M15.406.278,303127,894753,4293,869,734
2019-12-12$87.55$87.003.8%1.1%3.6%6.6%3.6%1.5%-0.2%155.7M-598.7M-8.3M2.305.3753,512123,225755,7623,857,611
2019-12-13$87.59$87.003.6%1.0%3.6%4.8%4.7%2.3%-0.2%-135.5M129.0M-10.1M2.548.4819,74050,219780,5443,881,580
2019-12-16$87.81$87.003.2%0.9%3.6%2.2%3.3%1.4%0.1%295.5M-438.8M-8.3M3.044.8348,528147,586784,9263,870,183
2019-12-17$88.01$87.003.2%0.9%3.6%2.3%3.6%1.9%0.3%424.6M-361.9M-11.5M1.075.1453,31157,160802,1763,927,154
2019-12-18$88.24$87.003.5%1.0%3.4%4.4%3.5%1.7%0.2%314.2M-867.7M-8.0M0.485.28521,938248,972809,7853,940,928
2019-12-19$87.87$88.003.7%1.1%3.6%6.0%4.4%3.3%-0.0%-442.5M1.65B-13.2M3.6011.8251,408185,085571,4584,063,339
2019-12-20$87.73$88.004.0%1.1%3.7%7.9%5.0%2.0%0.8%-693.1M1.95B-15.1M5.8511.4441,952245,599602,8164,184,410
2019-12-23$87.76$88.004.0%1.1%3.6%7.9%5.5%2.3%0.0%-849.7M1.54B-14.5M8.828.253,81933,687406,8722,708,557
2019-12-24$87.81$88.004.1%1.1%3.5%8.5%4.2%1.5%0.2%-840.7M1.38B-13.4M2.898.1333,75897,527406,8272,702,776
2019-12-26$87.97$88.004.4%1.3%3.6%13.6%5.5%2.0%-0.1%-634.7M1.03B-12.4M2.8114.5756,235157,744426,2012,727,374
2019-12-27$87.94$88.004.6%1.2%3.5%16.3%6.6%2.2%0.1%-646.8M1.07B-14.3M3.6119.3747,180170,353496,2722,813,399
2019-12-30$87.88$88.004.9%1.3%3.4%22.9%5.9%2.5%0.5%-743.9M1.16B-13.9M2.256.2635,34579,400540,2232,789,610
2019-12-31$87.94$88.004.7%1.3%2.9%22.3%4.6%2.8%0.3%-724.8M942.5M-14.3M4.186.7914,90762,381564,2422,805,071