HYG Options History — August 2020

In August 2020, HYG traded between $83.99 and $85.35. ATM implied volatility averaged 9.1%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 4.0% (HV 20d: 5.1%). Max pain ranged from $84.50 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 8.00.

Notable Days

  • 2020-08-25: Highest Volume — 375,383 contracts
  • 2020-08-20: Largest IV drop — 11.3% change
  • 2020-08-14: Highest IV Rank — 14.1%
  • 2020-08-13: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.88$83.99$85.35$85.06$85.06
Max Pain$84.93$84.50$85.00$84.50$85.00
ATM IV9.1%7.2%10.3%9.9%8.7%
Expected Move2.5%1.9%3.1%2.7%2.2%
HV 20d5.1%4.6%5.4%5.4%4.6%
HV 60d9.3%8.2%10.1%10.1%8.2%
IV Rank11.8%8.0%14.1%13.4%11.0%
IV Percentile54.3%47.6%60.3%57.9%50.8%
Term Structure0.3%-0.4%1.0%-0.2%0.0%
VWIV10.9%7.5%14.1%10.7%8.5%
Skew 25d3.3%2.2%4.2%3.6%2.6%
Skew 10d6.6%3.8%8.5%8.4%5.1%
Call IV 25d8.1%6.6%8.9%8.6%8.2%
Put IV 25d11.4%8.7%13.0%12.2%10.9%
Bid-Ask Spread %5.624.207.046.176.22
Gamma HHI0.110.080.150.080.14
Net GEX-332.3M-635.5M-89.5M-226.6M-546.4M
Net DEX860.5M45.0M2.15B522.2M841.6M
Net VEX-13.1M-15.6M-11.1M-12.4M-14.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.000.9553.362.577.32
Total Volume145,932.76230,748375,38360,671176,051
Total OI3,246,057.4292,750,3333,711,3512,910,8323,513,950

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$85.06$84.509.9%2.7%5.4%13.4%10.7%3.6%-0.2%-226.6M522.2M-12.4M2.576.1716,97343,698442,5722,468,260
2020-08-04$84.94$84.509.6%2.5%5.1%12.7%10.2%3.9%-0.0%-218.7M503.2M-12.2M6.254.6919,602122,528450,1082,498,062
2020-08-05$85.16$84.509.5%2.4%5.1%12.7%10.4%3.8%-0.2%-150.1M225.8M-11.2M5.794.6511,41366,080471,6602,582,706
2020-08-06$85.35$85.009.1%2.7%4.8%11.8%10.9%3.3%-0.1%-89.5M87.8M-11.4M2.936.5532,93196,331471,8712,593,185
2020-08-07$85.19$85.009.3%2.7%4.9%12.2%12.7%3.1%-0.0%-183.2M436.0M-12.9M2.676.7513,29035,419495,2462,653,358
2020-08-10$85.13$85.009.3%2.7%4.9%12.2%9.3%3.5%0.3%-196.0M569.5M-12.8M1.385.1712,94517,803486,4912,634,609
2020-08-11$84.66$85.009.9%2.7%5.3%13.3%13.2%3.9%-0.2%-294.6M1.15B-13.7M7.236.2815,677113,285484,8092,648,434
2020-08-12$84.62$85.0010.3%2.9%4.9%14.1%10.7%4.0%-0.4%-373.5M1.34B-14.6M1.897.0418,18534,459494,0162,743,388
2020-08-13$84.35$85.0010.2%3.1%5.1%14.0%13.0%4.2%0.9%-408.8M1.63B-15.5M3.245.9422,65573,308504,4822,777,165
2020-08-14$83.99$85.0010.3%3.0%5.3%14.1%13.6%4.1%0.6%-635.5M2.15B-15.6M12.705.9213,711174,116510,8682,839,574
2020-08-17$84.53$85.009.3%2.7%5.3%12.2%13.5%3.9%0.9%-393.4M1.30B-13.5M11.145.859,609107,056510,1302,908,454
2020-08-18$84.72$85.009.0%2.6%5.1%11.5%11.7%3.4%0.6%-324.4M1.00B-12.4M7.825.2021,414167,425504,5422,951,776
2020-08-19$84.49$85.009.8%2.8%5.2%13.1%14.1%3.8%-0.3%-466.6M1.82B-15.5M53.365.183,578190,929521,8933,017,865
2020-08-20$84.69$85.008.6%2.4%5.2%10.9%12.6%3.5%1.0%-433.0M1.27B-13.3M11.965.3414,030167,810526,6013,086,151
2020-08-21$84.73$85.008.7%2.4%5.1%11.1%9.3%3.0%0.9%-490.3M1.11B-12.6M7.925.5415,503122,729533,9393,177,412
2020-08-24$85.08$85.008.3%2.3%5.3%10.3%10.4%2.6%0.6%-409.4M732.6M-11.5M10.445.7210,727111,989408,5412,341,792
2020-08-25$85.20$85.007.9%2.1%5.3%9.4%7.5%2.7%0.5%-331.9M547.3M-11.1M0.955.33192,375183,008418,8332,421,034
2020-08-26$85.23$85.007.2%1.9%4.8%8.0%7.9%2.2%0.7%-151.6M45.0M-11.9M3.844.2037,557144,212601,7542,599,913
2020-08-27$85.12$85.007.9%2.1%4.7%9.4%9.8%2.5%0.7%-280.3M376.0M-12.8M2.835.0888,653251,203595,9012,704,840
2020-08-28$85.17$85.008.6%2.2%4.7%10.7%9.7%2.7%0.4%-374.6M416.6M-14.3M3.755.2619,85974,462647,8032,923,218
2020-08-31$85.06$85.008.7%2.2%4.6%11.0%8.5%2.6%0.0%-546.4M841.6M-14.4M7.326.2221,170154,881634,7562,879,194