HYG Options History — June 2020

In June 2020, HYG traded between $80.81 and $84.60. ATM implied volatility averaged 15.6%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.6% (HV 20d: 12.0%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 3.03.

Notable Days

2020-06-04: Highest Volume — 677,764 contracts
2020-06-11: Largest IV spike — 34.2% change
2020-06-11: Highest IV Rank — 30.3%
2020-06-11: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.92	$80.81	$84.60	$82.63	$81.62
Max Pain	$83.91	$83.00	$85.00	$83.00	$84.00
ATM IV	15.6%	12.9%	18.3%	12.9%	15.2%
Expected Move	4.4%	3.3%	5.2%	3.3%	4.2%
HV 20d	12.0%	9.2%	14.2%	9.2%	13.1%
HV 60d	25.2%	18.9%	31.8%	31.8%	18.9%
IV Rank	24.8%	19.5%	30.3%	19.5%	24.0%
IV Percentile	78.4%	74.2%	82.9%	76.2%	74.2%
Term Structure	-0.1%	-0.8%	0.3%	-0.1%	0.2%
VWIV	17.4%	14.0%	21.0%	14.9%	14.8%
Skew 25d	6.3%	4.1%	9.5%	5.1%	4.5%
Skew 10d	13.0%	9.2%	20.9%	12.2%	9.2%
Call IV 25d	13.6%	11.3%	16.2%	11.3%	13.5%
Put IV 25d	19.9%	16.4%	24.6%	16.4%	18.0%
Bid-Ask Spread %	5.92	2.91	10.24	6.56	5.30
Gamma HHI	0.09	0.08	0.19	0.10	0.11
Net GEX	-580.2M	-901.0M	-396.5M	-409.4M	-831.0M
Net DEX	3.23B	477.1M	6.15B	2.74B	4.61B
Net VEX	-18.6M	-22.0M	-15.4M	-15.4M	-18.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.03	0.47	7.56	3.46	1.79
Total Volume	239,193.864	99,031	677,764	135,267	129,815
Total OI	3,631,823.091	2,682,215	4,582,795	3,327,662	3,263,356

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
2020-06-01	$82.63	$83.00	12.9%	3.3%	9.2%	19.5%	14.9%	5.1%	-0.1%	-409.4M	2.74B	-15.4M	3.46	6.56	30,340	104,927	770,295	2,557,367
2020-06-02	$83.45	$83.00	13.2%	3.5%	9.5%	20.0%	14.0%	5.5%	-0.1%	-396.5M	1.73B	-15.4M	1.54	4.41	72,454	111,422	770,481	2,582,580
2020-06-03	$84.01	$83.00	14.5%	4.0%	9.6%	22.6%	15.2%	5.9%	-0.4%	-402.9M	1.16B	-16.3M	4.23	4.77	48,283	204,357	795,519	2,629,142
2020-06-04	$83.57	$84.00	14.5%	3.9%	9.9%	22.7%	15.9%	5.9%	-0.5%	-447.4M	1.81B	-16.8M	5.88	5.80	98,478	579,286	801,633	2,668,278
2020-06-05	$84.60	$84.00	14.5%	4.0%	10.5%	22.7%	18.7%	4.1%	-0.8%	-426.1M	477.1M	-17.4M	1.05	10.24	172,481	180,544	842,712	2,902,038
2020-06-08	$84.49	$84.00	14.2%	4.1%	10.5%	22.1%	15.5%	5.0%	0.3%	-498.9M	864.1M	-17.0M	1.46	4.35	40,229	58,802	855,756	3,015,486
2020-06-09	$83.76	$84.00	14.1%	3.9%	11.1%	21.8%	16.6%	5.7%	-0.4%	-521.0M	2.13B	-18.1M	7.56	7.30	18,153	137,187	870,554	3,044,460
2020-06-10	$83.83	$84.00	13.7%	3.8%	11.1%	20.9%	15.4%	5.4%	-0.5%	-522.8M	1.94B	-17.3M	3.38	6.68	32,242	108,970	884,134	3,065,071
2020-06-11	$81.88	$84.00	18.3%	5.2%	14.0%	30.3%	20.4%	8.4%	-0.2%	-659.3M	5.68B	-22.0M	5.92	8.34	61,119	362,087	891,999	3,075,829
2020-06-12	$82.42	$84.00	17.1%	5.0%	14.0%	27.7%	17.5%	9.5%	0.3%	-690.9M	4.96B	-20.9M	2.86	9.69	55,224	157,827	906,864	3,230,395
2020-06-15	$83.08	$84.00	16.9%	4.8%	14.2%	27.4%	19.3%	6.5%	-0.2%	-653.2M	3.97B	-19.8M	1.11	6.44	130,536	144,615	928,499	3,225,663
2020-06-16	$83.42	$84.00	17.8%	5.1%	13.0%	29.3%	20.2%	5.9%	-0.7%	-503.7M	2.88B	-18.9M	0.47	4.37	243,487	115,641	1,014,998	3,269,557
2020-06-17	$83.26	$84.00	17.5%	5.0%	13.0%	28.6%	21.0%	6.7%	-0.8%	-482.2M	3.00B	-19.1M	0.78	3.99	91,106	71,139	1,087,374	3,331,843
2020-06-18	$83.02	$84.00	16.3%	4.7%	12.6%	26.2%	18.8%	5.7%	-0.1%	-544.1M	3.33B	-19.3M	2.48	2.99	46,508	115,267	1,160,948	3,347,352
2020-06-19	$82.92	$85.00	16.8%	4.8%	12.5%	27.2%	18.7%	7.3%	0.1%	-816.3M	3.37B	-19.7M	5.18	9.01	37,096	192,053	1,188,546	3,394,249
2020-06-22	$82.87	$84.00	16.0%	4.6%	12.4%	25.6%	19.7%	7.3%	0.2%	-420.1M	3.13B	-19.0M	1.87	9.04	72,641	136,102	585,788	2,096,427
2020-06-23	$83.01	$84.00	14.5%	4.1%	12.1%	22.7%	16.8%	6.9%	0.3%	-421.2M	2.95B	-18.2M	2.82	4.74	58,676	165,307	620,940	2,146,424
2020-06-24	$82.15	$84.00	16.8%	4.9%	12.7%	27.2%	19.3%	7.9%	-0.2%	-641.9M	4.29B	-19.4M	5.16	2.91	38,905	200,649	583,940	2,244,441
2020-06-25	$82.01	$84.00	15.8%	4.3%	12.7%	25.2%	16.3%	7.1%	0.3%	-763.9M	4.58B	-19.8M	2.68	3.11	68,371	183,564	599,526	2,358,560
2020-06-26	$81.40	$84.00	16.1%	4.6%	13.0%	25.9%	17.7%	5.5%	0.1%	-811.0M	5.36B	-20.1M	3.44	4.40	54,211	186,421	649,846	2,469,625
2020-06-29	$80.81	$84.00	16.5%	4.6%	13.1%	26.6%	16.9%	5.8%	-0.0%	-901.0M	6.15B	-20.0M	1.58	5.71	56,385	89,358	600,896	2,570,717
2020-06-30	$81.62	$84.00	15.2%	4.2%	13.1%	24.0%	14.8%	4.5%	0.2%	-831.0M	4.61B	-18.7M	1.79	5.30	46,486	83,329	654,726	2,608,630