HYG Options History — January 2020

In January 2020, HYG traded between $87.22 and $88.44. ATM implied volatility averaged 4.8%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.8% (HV 20d: 3.0%). Max pain ranged from $88.00 to $89.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 17.17.

Notable Days

  • 2020-01-16: Highest Volume — 1,151,795 contracts
  • 2020-01-24: Largest IV spike — 27.3% change
  • 2020-01-27: Highest IV Rank — 62.8%
  • 2020-01-27: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.09$87.22$88.44$88.24$87.47
Max Pain$88.19$88.00$89.00$88.00$88.00
ATM IV4.8%4.0%6.8%4.6%5.5%
Expected Move1.4%1.2%2.0%1.2%1.6%
HV 20d3.0%1.9%4.2%2.9%4.2%
HV 60d3.0%2.9%3.6%3.1%3.6%
IV Rank30.1%17.2%62.8%23.1%42.3%
IV Percentile32.0%7.9%88.5%20.2%59.1%
Term Structure0.2%-0.2%0.6%0.4%0.1%
VWIV5.8%4.6%7.7%5.9%6.4%
Skew 25d2.2%1.6%3.0%1.9%2.0%
Skew 10d4.4%3.1%6.5%5.2%3.7%
Call IV 25d3.9%3.1%5.4%3.6%5.0%
Put IV 25d6.1%4.9%8.4%5.5%7.1%
Bid-Ask Spread %5.864.139.039.037.41
Gamma HHI0.170.120.270.140.21
Net GEX-1.70B-4.30B-301.3M-371.6M-4.30B
Net DEX2.15B-865.9M8.64B-199.8M7.55B
Net VEX-16.2M-28.5M-9.5M-11.1M-25.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.171.43118.339.711.43
Total Volume278,142.571103,5341,151,795209,135250,585
Total OI4,102,799.0953,379,8865,307,3643,379,8864,553,175

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$88.24$88.004.6%1.2%2.9%23.1%5.9%1.9%0.4%-371.6M-199.8M-11.1M9.719.0319,524189,611580,9412,798,945
2020-01-03$88.22$88.005.1%1.4%2.8%30.4%6.7%2.4%0.4%-436.6M172.3M-13.4M2.477.1878,381193,532598,9222,856,280
2020-01-06$88.16$88.005.1%1.4%2.9%36.1%5.5%2.8%-0.2%-534.1M315.9M-13.2M2.507.2329,57173,963615,3672,952,138
2020-01-07$88.06$88.005.1%1.3%3.0%35.7%5.5%2.1%-0.1%-564.7M313.4M-12.9M8.535.5115,135129,122623,6812,981,483
2020-01-08$88.19$88.004.9%1.3%3.0%32.9%4.8%2.8%-0.2%-447.5M-123.9M-11.7M3.906.2935,419138,109621,2333,085,420
2020-01-09$88.31$88.004.3%1.3%2.9%22.8%4.6%2.2%0.3%-301.3M-579.3M-10.7M5.964.1424,268144,740643,5983,152,709
2020-01-10$88.31$88.004.2%1.3%2.9%21.0%4.9%2.6%0.2%-447.5M-358.3M-12.0M7.775.2028,837224,024654,1353,250,154
2020-01-13$88.38$88.004.2%1.3%2.8%21.1%5.8%2.1%0.5%-323.0M-865.9M-10.1M118.334.131,341158,675676,4613,433,134
2020-01-14$88.35$88.004.0%1.3%2.8%17.7%5.4%1.9%0.6%-511.8M-583.9M-10.9M2.844.4267,869192,810655,4413,540,612
2020-01-15$88.44$88.004.0%1.2%2.7%17.2%5.3%2.0%0.5%-462.9M-592.0M-9.5M7.374.4130,711226,460698,0353,618,500
2020-01-16$88.44$88.004.1%1.3%2.6%19.3%6.7%1.6%0.6%-670.1M-180.0M-11.8M38.904.4528,8641,122,931697,5763,766,849
2020-01-17$88.38$88.004.1%1.2%2.4%19.2%6.0%1.9%0.3%-1.72B1.24B-19.3M3.164.9383,425263,952727,1464,580,218
2020-01-21$88.20$89.004.7%1.3%2.0%28.9%6.0%2.3%0.5%-1.89B2.65B-16.5M49.075.563,365165,122441,8033,388,932
2020-01-22$88.26$89.004.1%1.2%1.9%20.0%5.8%2.3%0.2%-2.05B2.60B-15.2M4.226.1945,935193,995452,1963,505,403
2020-01-23$88.08$88.004.8%1.4%2.1%30.5%5.6%2.1%0.3%-2.26B3.25B-16.3M4.976.1121,145105,158455,6943,621,919
2020-01-24$87.70$88.006.1%1.7%2.6%51.5%6.2%2.3%0.3%-3.48B5.83B-25.0M18.467.4016,594306,304462,7783,727,745
2020-01-27$87.22$88.006.8%2.0%3.1%62.8%7.7%3.0%-0.1%-4.03B8.64B-28.5M6.405.8565,304417,891464,0813,843,725
2020-01-28$87.85$89.005.1%1.4%4.2%35.7%6.8%2.3%0.2%-3.47B5.10B-22.0M6.465.5422,559145,782484,5693,941,139
2020-01-29$87.83$88.505.1%1.3%4.1%35.8%6.0%2.3%0.1%-3.50B6.11B-26.0M55.995.325,035281,914482,2953,952,558
2020-01-30$87.85$88.504.6%1.3%4.1%27.6%5.3%1.8%0.0%-3.88B4.80B-18.5M2.156.6992,960200,072494,4294,077,362
2020-01-31$87.47$88.005.5%1.6%4.2%42.3%6.4%2.0%0.1%-4.30B7.55B-25.4M1.437.41103,023147,562535,2584,017,917