HYG Options History — May 2020

In May 2020, HYG traded between $78.63 and $82.33. ATM implied volatility averaged 16.2%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.2% (HV 20d: 17.4%). Max pain ranged from $82.00 to $87.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.83.

Notable Days

  • 2020-05-29: Highest Volume — 344,945 contracts
  • 2020-05-08: Largest IV drop — 10.1% change
  • 2020-05-04: Highest IV Rank — 36.3%
  • 2020-05-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.07$78.63$82.33$78.76$82.33
Max Pain$83.10$82.00$87.00$87.00$82.00
ATM IV16.2%12.0%21.3%21.0%12.0%
Expected Move4.6%3.1%6.1%6.1%3.1%
HV 20d17.4%12.2%29.9%29.9%12.2%
HV 60d31.8%31.6%32.0%31.6%31.9%
IV Rank26.0%17.6%36.3%35.7%17.6%
IV Percentile81.1%75.4%86.5%86.1%75.4%
Term Structure0.1%-0.5%1.1%-0.0%1.1%
VWIV17.3%11.6%25.1%25.1%12.7%
Skew 25d5.8%3.8%8.9%8.3%4.2%
Skew 10d11.5%6.8%18.6%18.6%9.0%
Call IV 25d14.3%10.8%18.4%18.4%11.0%
Put IV 25d20.0%14.6%26.8%26.6%15.1%
Bid-Ask Spread %7.663.0617.123.0610.07
Gamma HHI0.100.080.150.080.11
Net GEX-500.7M-632.5M-302.4M-614.5M-345.4M
Net DEX6.75B1.59B10.68B10.63B1.59B
Net VEX-17.5M-21.8M-12.6M-21.8M-13.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.4910.036.361.75
Total Volume162,315.8527,710344,94590,704344,945
Total OI3,869,669.052,955,9534,536,8704,192,5903,487,439

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$78.76$87.0021.0%6.1%29.9%35.7%25.1%8.3%-0.0%-614.5M10.63B-21.8M6.363.0612,32478,380897,1173,295,473
2020-05-04$78.69$84.0021.3%5.9%28.6%36.3%22.5%8.9%-0.0%-624.3M10.68B-20.4M1.253.6489,165111,393879,6833,224,342
2020-05-05$78.99$84.0020.2%5.7%27.8%33.9%23.3%7.8%-0.1%-600.3M10.05B-20.5M2.564.0947,809122,280949,1033,228,780
2020-05-06$78.85$84.0019.4%5.5%27.8%32.4%17.8%7.4%0.0%-610.6M10.21B-20.2M0.693.5966,98546,504964,1513,252,657
2020-05-07$79.17$84.0017.7%5.0%26.8%29.0%17.8%6.7%-0.2%-602.7M9.72B-19.1M2.305.0139,18790,1841,023,1993,266,113
2020-05-08$79.69$84.0015.9%4.3%15.3%25.4%14.4%6.7%-0.1%-587.5M9.07B-18.4M1.533.0965,675100,2241,039,5463,328,371
2020-05-11$79.40$83.0016.3%4.8%14.8%26.2%16.8%6.6%0.5%-632.5M9.42B-18.9M0.966.9922,95422,0251,060,9063,369,849
2020-05-12$79.45$83.0016.2%4.7%14.7%25.9%18.6%5.6%0.6%-600.3M9.11B-18.1M2.957.8348,920144,3501,074,1513,349,685
2020-05-13$78.83$83.0016.4%4.8%14.3%26.5%18.9%6.5%0.2%-602.9M10.04B-17.6M2.929.1859,874174,9351,105,0213,370,165
2020-05-14$78.63$83.0017.4%4.9%14.3%28.4%20.7%5.9%-0.5%-619.3M10.49B-18.0M3.6213.9135,410128,2461,107,7593,374,495
2020-05-15$78.69$83.0016.7%4.7%14.1%26.9%19.1%5.2%-0.2%-549.9M10.22B-17.6M7.119.8029,391208,9261,110,0793,426,791
2020-05-18$80.12$83.0016.0%4.6%14.6%25.5%15.7%5.1%0.0%-449.2M4.66B-16.8M1.177.3786,595101,286760,7682,195,185
2020-05-19$80.23$83.0016.4%4.7%13.2%26.3%15.7%5.3%0.1%-439.4M4.51B-18.0M1.1517.1289,863103,425822,6912,273,052
2020-05-20$81.20$82.0015.2%4.3%13.5%23.9%14.7%4.8%-0.3%-377.5M3.18B-17.4M0.498.44126,26661,525877,4522,320,612
2020-05-21$80.91$82.0014.4%4.1%13.6%22.4%17.3%4.4%0.2%-344.9M3.33B-17.3M2.397.6640,51496,827956,8972,343,470
2020-05-22$81.26$82.0013.6%3.9%13.3%20.9%16.5%3.8%0.2%-334.2M2.69B-15.9M10.037.1310,731107,657994,0212,421,939
2020-05-26$81.97$82.0013.3%3.8%13.5%20.3%13.9%3.9%0.2%-302.4M1.79B-14.2M2.069.3566,372136,828959,8222,393,606
2020-05-27$82.01$82.0013.0%3.6%13.5%19.5%13.3%4.3%0.2%-388.5M1.91B-14.2M1.277.5112,19315,517965,6922,487,234
2020-05-28$82.13$82.0012.2%3.3%12.2%17.9%11.6%3.8%0.4%-387.1M1.79B-12.6M4.028.4420,04880,584934,6012,501,464
2020-05-29$82.33$82.0012.0%3.1%12.2%17.6%12.7%4.2%1.1%-345.4M1.59B-13.2M1.7510.07125,323219,622935,9452,551,494