HYG Options History — April 2020

In April 2020, HYG traded between $73.60 and $82.26. ATM implied volatility averaged 25.4%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 14.3% (HV 20d: 39.7%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.52.

Notable Days

2020-04-07: Highest Volume — 751,076 contracts
2020-04-07: Largest IV drop — 11.0% change
2020-04-01: Highest IV Rank — 64.4%
2020-04-01: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.69	$73.60	$82.26	$74.51	$80.35
Max Pain	$87.29	$86.00	$88.00	$86.00	$87.00
ATM IV	25.4%	19.7%	35.3%	35.3%	19.7%
Expected Move	7.2%	5.7%	10.1%	10.1%	5.7%
HV 20d	39.7%	28.8%	47.1%	44.6%	28.8%
HV 60d	29.9%	26.4%	31.4%	26.4%	31.4%
IV Rank	44.6%	33.0%	64.4%	64.4%	33.0%
IV Percentile	90.2%	85.3%	97.2%	97.2%	85.3%
Term Structure	-0.6%	-2.7%	0.2%	-0.9%	0.1%
VWIV	29.7%	20.6%	40.9%	40.0%	22.9%
Skew 25d	11.0%	7.1%	17.8%	17.1%	7.7%
Skew 10d	22.7%	13.0%	41.3%	41.3%	15.5%
Call IV 25d	21.4%	17.0%	29.1%	29.1%	17.5%
Put IV 25d	32.5%	25.1%	46.2%	46.2%	25.2%
Bid-Ask Spread %	8.91	2.78	38.97	12.00	4.12
Gamma HHI	0.08	0.06	0.13	0.06	0.08
Net GEX	-670.8M	-910.5M	-490.1M	-570.9M	-640.9M
Net DEX	13.10B	8.71B	21.33B	20.40B	8.71B
Net VEX	-23.8M	-27.8M	-19.7M	-25.5M	-19.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.52	1.41	12.40	3.63	3.55
Total Volume	234,979.381	25,618	751,076	199,385	136,090
Total OI	5,049,529.619	3,942,448	6,212,462	5,369,399	4,138,322

Daily Data (21 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
2020-04-01	$74.51	$86.00	35.3%	10.1%	44.6%	64.4%	40.0%	17.1%	-0.9%	-570.9M	20.40B	-25.5M	3.63	12.00	43,022	156,363	961,579	4,407,820
2020-04-02	$75.20	$88.00	31.9%	8.6%	45.0%	57.8%	34.5%	17.8%	-1.9%	-614.6M	19.92B	-25.0M	3.09	38.97	48,622	150,337	1,000,268	4,470,127
2020-04-03	$73.60	$88.00	31.2%	8.5%	45.3%	56.4%	38.8%	15.5%	-0.7%	-567.7M	21.33B	-23.6M	6.20	8.56	43,739	271,087	1,041,067	4,582,795
2020-04-06	$75.15	$88.00	29.6%	8.1%	43.9%	53.2%	40.9%	15.1%	-1.5%	-632.7M	20.25B	-22.4M	8.68	9.81	12,762	110,711	1,050,479	4,601,939
2020-04-07	$75.76	$88.00	26.4%	7.5%	43.4%	46.7%	32.3%	13.8%	-0.7%	-658.9M	19.97B	-21.5M	12.40	8.49	56,055	695,021	1,050,681	4,680,256
2020-04-08	$77.42	$88.00	25.5%	7.3%	43.8%	45.0%	31.9%	12.0%	0.2%	-747.9M	16.94B	-23.9M	6.17	7.24	37,068	228,796	1,090,349	4,618,726
2020-04-09	$82.26	$88.00	24.1%	6.8%	47.1%	42.3%	26.6%	10.3%	-0.2%	-910.5M	9.39B	-27.8M	2.19	10.39	225,360	494,085	1,116,995	4,682,768
2020-04-13	$81.26	$88.00	25.9%	7.4%	47.1%	45.8%	29.2%	9.7%	-2.7%	-835.3M	10.96B	-26.6M	3.04	14.04	101,220	307,881	1,213,027	4,670,175
2020-04-14	$81.65	$87.00	24.8%	7.0%	44.5%	43.7%	28.8%	10.0%	-0.0%	-806.4M	10.37B	-26.9M	1.87	9.63	59,574	111,354	1,274,890	4,702,054
2020-04-15	$80.69	$87.00	26.2%	7.5%	44.8%	46.4%	29.7%	11.4%	-0.1%	-746.7M	12.04B	-26.7M	2.32	8.94	80,050	185,456	1,296,766	4,705,990
2020-04-16	$80.67	$87.00	25.3%	7.3%	40.5%	44.6%	30.6%	10.0%	0.1%	-737.9M	12.42B	-26.3M	6.08	5.77	29,656	180,312	1,360,508	4,791,707
2020-04-17	$81.13	$87.00	23.8%	6.9%	40.0%	41.6%	26.8%	9.5%	-0.4%	-490.1M	11.91B	-24.9M	1.83	8.96	91,716	168,300	1,374,342	4,838,120
2020-04-20	$79.80	$87.00	24.4%	7.1%	39.4%	42.8%	26.7%	10.9%	-1.0%	-612.7M	9.39B	-24.4M	3.51	5.76	23,199	81,540	798,126	3,144,322
2020-04-21	$78.52	$87.00	26.1%	7.6%	38.4%	46.1%	31.3%	10.5%	-0.7%	-622.6M	10.87B	-24.8M	6.14	7.88	29,314	179,860	814,100	3,245,412
2020-04-22	$79.22	$87.00	24.6%	7.1%	34.8%	43.2%	30.6%	9.9%	-0.7%	-646.2M	10.07B	-23.9M	9.01	5.52	2,560	23,058	814,955	3,212,388
2020-04-23	$78.99	$87.00	23.3%	6.6%	33.6%	40.1%	27.4%	8.8%	-0.4%	-643.0M	10.20B	-22.9M	1.41	6.55	40,187	56,653	816,610	3,197,121
2020-04-24	$78.49	$87.00	23.3%	6.6%	32.0%	40.2%	24.8%	8.6%	-0.5%	-662.2M	10.63B	-22.0M	2.02	3.78	50,229	101,424	837,110	3,231,330
2020-04-27	$78.81	$87.00	21.1%	6.0%	31.9%	35.8%	23.8%	8.0%	-0.2%	-642.3M	10.26B	-20.4M	5.77	3.73	20,928	120,823	837,969	3,180,134
2020-04-28	$78.80	$87.00	20.9%	6.0%	31.7%	35.4%	25.2%	7.1%	0.0%	-643.1M	10.31B	-20.0M	3.79	2.78	13,252	50,224	849,360	3,230,242
2020-04-29	$80.20	$87.00	19.7%	5.8%	32.2%	33.1%	20.6%	8.1%	0.0%	-653.6M	8.81B	-19.7M	2.15	4.24	37,006	79,673	873,104	3,236,089
2020-04-30	$80.35	$87.00	19.7%	5.7%	28.8%	33.0%	22.9%	7.7%	0.1%	-640.9M	8.71B	-19.7M	3.55	4.12	29,939	106,151	888,679	3,249,643