HYG Options History — March 2020

In March 2020, HYG traded between $68.10 and $87.03. ATM implied volatility averaged 30.9%, placing in the 83.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 4.7% (HV 20d: 26.2%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 9.52.

Notable Days

2020-03-11: Highest Volume — 1,024,796 contracts
2020-03-09: Largest IV spike — 70.2% change
2020-03-06: Highest IV Rank — 100.0%
2020-03-23: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.17	$68.10	$87.03	$86.17	$77.31
Max Pain	$86.73	$85.00	$88.00	$88.00	$86.00
ATM IV	30.9%	10.3%	53.2%	13.0%	32.3%
Expected Move	8.9%	3.0%	15.8%	3.8%	9.4%
HV 20d	26.2%	6.7%	43.7%	6.8%	43.7%
HV 60d	16.1%	4.9%	25.5%	5.0%	25.5%
IV Rank	83.3%	58.5%	100.0%	81.2%	58.5%
IV Percentile	99.0%	96.0%	100.0%	99.6%	96.0%
Term Structure	-0.7%	-4.9%	8.2%	-0.7%	-0.8%
VWIV	33.6%	13.0%	59.0%	16.9%	40.3%
Skew 25d	16.8%	6.7%	29.7%	8.4%	16.7%
Skew 10d	38.2%	15.0%	57.6%	18.5%	36.6%
Call IV 25d	25.4%	8.1%	43.2%	9.5%	26.8%
Put IV 25d	42.3%	14.9%	70.2%	17.9%	43.5%
Bid-Ask Spread %	30.95	10.82	58.56	27.25	10.82
Gamma HHI	0.10	0.06	0.15	0.14	0.06
Net GEX	-1.20B	-2.33B	-305.6M	-2.33B	-709.0M
Net DEX	22.62B	7.46B	32.90B	10.74B	17.81B
Net VEX	-32.9M	-48.5M	-20.3M	-36.7M	-29.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.52	3.21	28.34	4.83	5.42
Total Volume	498,464.727	197,841	1,024,796	419,745	206,863
Total OI	5,630,678.045	4,614,364	6,585,271	4,614,364	5,259,905

Daily Data (22 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
2020-03-02	$86.17	$88.00	13.0%	3.8%	6.8%	81.2%	16.9%	8.4%	-0.7%	-2.33B	10.74B	-36.7M	4.83	27.25	71,941	347,804	721,557	3,892,807
2020-03-03	$86.12	$88.00	12.8%	4.0%	6.7%	80.0%	14.5%	6.7%	-0.5%	-2.32B	11.13B	-38.0M	3.54	20.93	74,289	263,280	751,100	4,026,860
2020-03-04	$87.03	$88.00	10.3%	3.0%	7.6%	59.9%	13.0%	6.7%	-0.3%	-2.23B	7.46B	-32.1M	4.36	20.32	53,221	231,891	803,250	4,120,389
2020-03-05	$85.91	$87.00	14.2%	3.8%	8.6%	91.2%	17.5%	8.9%	-0.9%	-2.24B	12.32B	-39.9M	28.11	32.81	25,004	702,747	848,933	4,179,531
2020-03-06	$85.02	$87.00	18.4%	4.8%	9.2%	100.0%	20.1%	12.4%	-0.5%	-2.33B	16.79B	-47.4M	24.44	38.95	34,275	837,639	861,046	4,730,737
2020-03-09	$81.20	$87.00	31.4%	8.1%	18.1%	100.0%	29.7%	18.7%	-3.4%	-1.47B	23.91B	-48.5M	28.34	45.18	21,832	618,796	866,404	4,936,617
2020-03-10	$82.65	$87.00	25.8%	6.8%	19.7%	80.3%	25.0%	15.8%	-1.9%	-1.94B	22.94B	-47.2M	4.19	27.29	112,480	471,708	897,797	5,004,752
2020-03-11	$80.83	$87.00	27.5%	7.8%	20.7%	86.3%	28.3%	15.7%	-1.0%	-1.58B	26.56B	-42.8M	16.30	23.92	59,220	965,576	942,673	5,079,004
2020-03-12	$77.92	$87.00	33.1%	9.0%	23.5%	100.0%	31.9%	15.1%	-1.2%	-1.15B	30.74B	-34.8M	5.40	39.64	62,539	337,829	997,689	5,235,419
2020-03-13	$79.12	$87.00	29.5%	9.1%	24.6%	88.4%	33.0%	11.3%	8.2%	-1.39B	29.31B	-38.2M	7.34	58.56	48,391	354,978	990,420	5,266,241
2020-03-16	$75.99	$87.00	30.6%	8.6%	27.4%	92.0%	24.1%	16.6%	-1.9%	-871.2M	32.60B	-27.5M	12.00	52.64	45,279	543,431	987,194	5,262,414
2020-03-17	$76.02	$87.00	29.9%	8.5%	27.5%	89.5%	30.3%	19.3%	0.1%	-926.9M	32.28B	-30.7M	6.43	30.58	52,031	334,474	1,008,398	5,461,078
2020-03-18	$72.40	$87.00	45.8%	13.1%	31.0%	100.0%	42.8%	29.7%	-4.9%	-497.5M	32.90B	-23.8M	15.26	52.99	62,570	954,856	1,053,717	5,364,050
2020-03-19	$71.60	$86.00	47.1%	13.6%	30.7%	100.0%	50.9%	27.7%	-1.6%	-440.3M	32.82B	-23.8M	7.62	41.00	55,005	418,968	1,111,134	5,474,137
2020-03-20	$69.91	$87.00	46.4%	13.3%	30.8%	98.5%	41.5%	26.7%	0.5%	-377.2M	32.19B	-21.6M	5.54	42.07	92,819	514,351	1,161,173	5,418,880
2020-03-23	$68.10	$86.00	53.2%	15.8%	31.2%	100.0%	59.0%	27.0%	-1.2%	-305.6M	23.04B	-20.3M	7.03	32.33	60,801	427,482	749,105	4,140,689
2020-03-24	$71.63	$86.00	38.0%	11.5%	38.4%	69.9%	46.0%	19.5%	-0.4%	-420.2M	22.97B	-22.0M	4.09	35.41	75,676	309,238	790,547	4,319,638
2020-03-25	$73.83	$86.00	36.9%	10.9%	40.8%	67.7%	40.5%	18.4%	-1.2%	-545.6M	21.74B	-28.5M	3.86	13.58	40,704	157,137	849,343	4,422,058
2020-03-26	$76.20	$86.00	35.3%	9.9%	43.2%	64.5%	43.4%	15.3%	-0.8%	-675.8M	20.61B	-27.8M	3.21	10.99	85,836	275,798	865,774	4,413,598
2020-03-27	$77.01	$85.00	34.0%	10.5%	43.6%	61.9%	46.7%	17.0%	1.1%	-909.7M	19.57B	-32.5M	4.38	11.88	53,527	234,384	923,859	4,546,410
2020-03-30	$77.72	$86.00	34.3%	9.6%	43.7%	62.5%	44.2%	17.1%	-1.5%	-689.3M	17.15B	-30.5M	7.82	11.87	30,575	238,979	921,741	4,216,849
2020-03-31	$77.31	$86.00	32.3%	9.4%	43.7%	58.5%	40.3%	16.7%	-0.8%	-709.0M	17.81B	-29.1M	5.42	10.82	32,210	174,653	940,962	4,318,943