HYG Options History — July 2020

In July 2020, HYG traded between $81.76 and $85.35. ATM implied volatility averaged 11.5%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.6% (HV 20d: 8.8%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 6.43.

Notable Days

2020-07-06: Highest Volume — 336,670 contracts
2020-07-23: Largest IV spike — 9.1% change
2020-07-09: Highest IV Rank — 20.9%
2020-07-08: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.53	$81.76	$85.35	$81.76	$85.35
Max Pain	$83.32	$83.00	$84.00	$84.00	$84.00
ATM IV	11.5%	9.1%	13.7%	13.3%	9.7%
Expected Move	3.2%	2.4%	3.9%	3.7%	2.4%
HV 20d	8.8%	5.5%	12.9%	12.8%	5.5%
HV 60d	12.5%	10.0%	18.5%	18.5%	10.1%
IV Rank	16.5%	11.8%	20.9%	20.3%	13.0%
IV Percentile	63.6%	57.9%	69.8%	69.4%	57.9%
Term Structure	0.3%	-0.6%	0.7%	0.4%	0.2%
VWIV	13.1%	8.9%	16.8%	13.2%	8.9%
Skew 25d	3.6%	2.6%	4.7%	4.5%	2.6%
Skew 10d	6.6%	4.4%	8.9%	8.7%	4.9%
Call IV 25d	10.2%	8.4%	11.8%	11.6%	8.7%
Put IV 25d	13.8%	11.0%	16.2%	16.1%	11.4%
Bid-Ask Spread %	7.28	4.46	13.45	6.50	7.92
Gamma HHI	0.10	0.08	0.11	0.10	0.09
Net GEX	-443.5M	-759.4M	-165.3M	-759.4M	-165.3M
Net DEX	1.72B	-325.1M	4.56B	4.56B	-325.1M
Net VEX	-14.0M	-20.4M	-9.2M	-20.4M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.43	0.89	16.32	2.52	0.89
Total Volume	134,512.455	47,600	336,670	78,647	129,055
Total OI	3,113,549.227	2,469,002	3,651,498	3,296,033	2,953,183

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
2020-07-01	$81.76	$84.00	13.3%	3.7%	12.8%	20.3%	13.2%	4.5%	0.4%	-759.4M	4.56B	-20.4M	2.52	6.50	22,366	56,281	672,503	2,623,530
2020-07-02	$82.12	$84.00	13.1%	3.5%	12.9%	19.7%	14.0%	4.2%	0.3%	-692.1M	3.93B	-19.8M	2.65	6.49	40,496	107,187	687,997	2,651,923
2020-07-06	$82.70	$83.00	13.1%	3.6%	12.3%	19.8%	15.7%	4.0%	0.1%	-526.3M	2.80B	-17.3M	6.85	13.45	42,894	293,776	698,889	2,609,168
2020-07-07	$82.34	$83.00	13.4%	3.9%	12.3%	20.3%	16.8%	4.1%	0.1%	-548.6M	3.29B	-18.6M	16.32	7.10	9,440	154,097	703,644	2,607,629
2020-07-08	$82.42	$83.00	13.3%	3.9%	12.0%	20.3%	16.2%	4.6%	0.0%	-615.3M	3.40B	-18.7M	13.32	7.35	5,127	68,293	714,041	2,691,021
2020-07-09	$82.15	$83.00	13.7%	3.9%	12.1%	20.9%	15.3%	4.4%	-0.1%	-607.7M	3.67B	-18.2M	3.40	7.39	32,399	110,034	712,647	2,662,330
2020-07-10	$82.35	$83.00	13.2%	3.9%	8.7%	20.0%	16.4%	4.5%	-0.1%	-537.6M	3.31B	-17.7M	2.25	4.59	23,172	52,225	726,291	2,680,792
2020-07-13	$82.20	$83.00	13.3%	3.8%	8.4%	20.3%	15.0%	4.7%	-0.2%	-595.8M	3.57B	-17.4M	5.97	5.03	20,404	121,716	721,214	2,660,754
2020-07-14	$82.62	$83.00	12.6%	3.4%	8.1%	18.8%	15.8%	4.5%	-0.6%	-526.8M	3.02B	-16.3M	3.96	6.53	30,045	119,016	731,153	2,719,981
2020-07-15	$83.20	$83.00	11.9%	3.4%	8.3%	17.4%	13.9%	4.3%	-0.1%	-481.2M	2.13B	-14.9M	3.06	5.49	71,029	217,367	731,331	2,812,766
2020-07-16	$83.26	$83.00	11.5%	3.4%	8.3%	16.6%	12.6%	3.9%	0.7%	-447.7M	1.92B	-14.8M	1.51	5.99	23,297	35,224	753,471	2,880,989
2020-07-17	$83.49	$83.00	10.9%	3.3%	8.3%	15.5%	14.6%	3.3%	0.7%	-379.0M	1.27B	-13.5M	9.97	4.46	13,017	129,801	754,954	2,896,544
2020-07-20	$84.01	$83.00	10.1%	2.9%	8.5%	13.8%	10.1%	2.7%	0.5%	-308.3M	573.5M	-11.0M	5.93	7.00	16,641	98,604	389,822	2,079,180
2020-07-21	$84.41	$83.00	9.6%	2.8%	8.6%	12.8%	11.6%	2.6%	0.5%	-333.2M	165.5M	-10.2M	9.38	6.69	16,722	156,775	401,218	2,122,283
2020-07-22	$84.55	$83.50	9.1%	2.6%	8.6%	11.8%	12.0%	2.6%	0.6%	-268.7M	6.3M	-9.8M	12.60	9.14	3,742	47,165	416,885	2,215,079
2020-07-23	$84.41	$83.50	9.9%	2.8%	7.6%	13.4%	11.6%	2.9%	0.5%	-397.2M	268.9M	-10.5M	13.75	9.67	11,060	152,029	414,579	2,247,019
2020-07-24	$84.66	$83.50	10.2%	2.9%	7.5%	14.0%	11.3%	2.6%	0.5%	-355.7M	51.3M	-9.8M	2.27	8.93	21,413	48,658	417,112	2,319,015
2020-07-27	$84.76	$83.50	9.9%	2.7%	6.7%	13.5%	9.9%	2.9%	0.5%	-305.7M	88.4M	-9.7M	6.86	8.17	20,000	137,261	418,079	2,332,409
2020-07-28	$84.56	$83.50	10.4%	2.9%	6.0%	14.4%	10.8%	2.8%	0.6%	-370.4M	452.0M	-11.1M	10.44	8.34	11,173	116,616	430,642	2,406,709
2020-07-29	$85.09	$83.50	10.0%	2.8%	5.5%	13.6%	12.0%	3.1%	0.4%	-317.0M	-138.0M	-9.4M	5.98	7.23	18,055	108,002	441,978	2,456,723
2020-07-30	$85.26	$84.00	10.1%	2.7%	5.5%	13.8%	9.4%	3.2%	0.3%	-219.1M	-271.0M	-9.2M	1.52	6.75	18,871	28,729	443,113	2,487,493
2020-07-31	$85.35	$84.00	9.7%	2.4%	5.5%	13.0%	8.9%	2.6%	0.2%	-165.3M	-325.1M	-9.2M	0.89	7.92	68,279	60,776	449,589	2,503,594