HYG Options History — February 2020

In February 2020, HYG traded between $85.77 and $88.42. ATM implied volatility averaged 6.3%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 1.1% (HV 20d: 5.2%). Max pain ranged from $88.00 to $88.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 6.72.

Notable Days

2020-02-24: Highest Volume — 920,441 contracts
2020-02-24: Largest IV spike — 41.0% change
2020-02-27: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.70	$85.77	$88.42	$87.20	$85.77
Max Pain	$88.00	$88.00	$88.00	$88.00	$88.00
ATM IV	6.3%	4.3%	15.3%	6.6%	15.3%
Expected Move	1.8%	1.3%	4.6%	1.9%	4.6%
HV 20d	5.2%	4.3%	6.6%	4.3%	6.6%
HV 60d	4.0%	3.6%	5.0%	3.6%	4.9%
IV Rank	47.5%	22.8%	100.0%	59.2%	100.0%
IV Percentile	54.2%	15.9%	100.0%	84.1%	100.0%
Term Structure	-0.1%	-0.7%	0.9%	-0.2%	-0.5%
VWIV	7.4%	4.7%	18.8%	6.2%	18.8%
Skew 25d	2.9%	1.8%	8.5%	3.1%	8.5%
Skew 10d	5.9%	2.8%	17.2%	4.3%	17.2%
Call IV 25d	5.1%	3.4%	13.0%	5.1%	13.0%
Put IV 25d	8.0%	5.2%	21.6%	8.2%	21.6%
Bid-Ask Spread %	5.88	2.85	21.61	5.15	21.61
Gamma HHI	0.19	0.14	0.26	0.20	0.14
Net GEX	-2.36B	-3.43B	-1.38B	-3.43B	-2.46B
Net DEX	4.65B	1.09B	14.84B	8.26B	14.84B
Net VEX	-21.2M	-41.0M	-12.5M	-30.5M	-41.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.72	1.06	19.53	3.54	9.86
Total Volume	313,181.632	22,443	920,441	172,772	809,969
Total OI	4,761,089.421	3,755,806	5,296,653	4,637,766	4,767,927

Daily Data (19 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
2020-02-03	$87.20	$88.00	6.6%	1.9%	4.3%	59.2%	6.2%	3.1%	-0.2%	-3.43B	8.26B	-30.5M	3.54	5.15	38,038	134,734	598,313	4,039,453
2020-02-04	$87.62	$88.00	5.6%	1.5%	4.7%	44.0%	5.9%	2.5%	-0.2%	-3.24B	5.75B	-25.4M	1.95	3.81	53,797	105,131	620,501	4,121,541
2020-02-05	$87.98	$88.00	5.1%	1.3%	4.9%	34.7%	5.8%	2.5%	0.2%	-2.32B	3.27B	-19.2M	8.78	4.95	56,445	495,303	667,535	4,058,223
2020-02-06	$88.08	$88.00	4.9%	1.3%	4.9%	32.1%	5.0%	2.5%	-0.2%	-2.41B	3.11B	-20.2M	9.03	3.99	22,123	199,726	672,288	4,076,386
2020-02-07	$88.01	$88.00	5.0%	1.4%	4.9%	33.0%	6.0%	2.5%	0.0%	-2.34B	3.47B	-21.4M	3.08	3.98	31,269	96,455	692,364	4,201,706
2020-02-10	$88.06	$88.00	5.0%	1.4%	4.9%	33.3%	5.6%	2.8%	0.1%	-2.45B	2.79B	-17.9M	9.50	3.80	3,882	36,869	681,181	4,156,628
2020-02-11	$88.17	$88.00	5.1%	1.4%	4.9%	34.8%	6.1%	2.3%	-0.2%	-2.20B	2.48B	-18.6M	2.31	3.74	6,779	15,664	684,149	4,184,112
2020-02-12	$88.42	$88.00	4.3%	1.4%	5.0%	22.8%	6.0%	1.8%	0.9%	-1.79B	1.38B	-15.4M	13.44	3.84	25,828	347,000	688,355	4,177,788
2020-02-13	$88.41	$88.00	4.4%	1.4%	5.0%	23.7%	5.3%	1.9%	0.7%	-1.49B	1.09B	-14.6M	6.26	3.58	30,045	187,951	700,396	4,310,901
2020-02-14	$88.42	$88.00	4.3%	1.3%	5.0%	23.4%	4.7%	1.9%	0.8%	-1.70B	1.11B	-14.3M	4.63	4.11	8,606	39,838	707,427	4,414,715
2020-02-18	$88.26	$88.00	4.7%	1.4%	5.1%	29.8%	5.3%	2.0%	-0.7%	-1.93B	1.63B	-13.8M	1.33	2.85	47,898	63,791	709,984	4,414,855
2020-02-19	$88.28	$88.00	4.8%	1.4%	5.0%	30.4%	5.9%	2.1%	-0.4%	-1.77B	1.58B	-13.6M	19.53	4.37	4,156	81,156	721,094	4,470,700
2020-02-20	$88.40	$88.00	4.7%	1.4%	5.0%	29.5%	4.9%	1.8%	-0.6%	-1.38B	1.22B	-12.5M	1.06	3.64	60,146	63,548	734,535	4,482,154
2020-02-21	$88.28	$88.00	4.8%	1.4%	5.0%	30.3%	6.5%	2.0%	-0.4%	-2.00B	1.95B	-14.5M	2.37	3.83	44,065	104,399	771,209	4,525,444
2020-02-24	$87.40	$88.00	6.7%	2.0%	6.0%	61.7%	8.0%	2.9%	0.1%	-3.03B	5.34B	-20.0M	5.04	7.17	152,470	767,971	573,410	3,182,396
2020-02-25	$86.84	$88.00	8.2%	2.4%	6.1%	85.2%	11.2%	3.2%	0.0%	-2.86B	8.02B	-27.0M	17.67	8.11	39,149	691,719	661,092	3,242,834
2020-02-26	$86.87	$88.00	8.8%	2.6%	5.4%	94.9%	10.2%	3.5%	-0.2%	-3.29B	8.15B	-27.7M	3.12	8.02	72,896	227,556	632,096	3,646,324
2020-02-27	$85.91	$88.00	11.3%	3.5%	6.6%	100.0%	13.7%	4.7%	-0.4%	-2.76B	12.85B	-35.5M	5.25	11.23	125,539	658,540	687,715	3,782,968
2020-02-28	$85.77	$88.00	15.3%	4.6%	6.6%	100.0%	18.8%	8.5%	-0.5%	-2.46B	14.84B	-41.0M	9.86	21.61	74,554	735,415	721,858	4,046,069