HYG Options History — September 2020

In September 2020, HYG traded between $82.94 and $85.38. ATM implied volatility averaged 10.2%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 4.3% (HV 20d: 5.9%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 4.14.

Notable Days

  • 2020-09-23: Highest Volume — 376,389 contracts
  • 2020-09-03: Largest IV spike — 20.7% change
  • 2020-09-24: Highest IV Rank — 17.9%
  • 2020-09-24: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.17$82.94$85.38$85.17$83.92
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV10.2%8.1%12.1%9.2%10.7%
Expected Move2.9%2.3%3.5%2.3%2.9%
HV 20d5.9%4.6%7.5%4.6%7.5%
HV 60d6.6%6.0%8.2%8.2%6.0%
IV Rank14.0%9.8%17.9%12.0%15.0%
IV Percentile56.0%44.8%63.1%52.8%58.3%
Term Structure0.2%-1.0%1.1%-0.2%0.9%
VWIV11.7%8.4%15.2%9.1%12.5%
Skew 25d4.3%3.4%5.8%4.7%4.7%
Skew 10d9.0%6.8%13.0%10.9%9.5%
Call IV 25d8.9%7.3%10.6%7.8%9.5%
Put IV 25d13.3%10.9%15.7%12.5%14.3%
Bid-Ask Spread %7.243.8116.653.816.74
Gamma HHI0.110.100.200.110.11
Net GEX-909.9M-2.14B-293.2M-336.6M-1.26B
Net DEX3.26B734.8M6.20B1.17B3.30B
Net VEX-19.6M-25.0M-16.2M-18.2M-18.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.141.1214.854.091.56
Total Volume183,646.66745,396376,389237,09483,699
Total OI3,918,091.3333,325,7844,269,0553,594,0274,063,789

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$85.17$85.009.2%2.3%4.6%12.0%9.1%4.7%-0.2%-336.6M1.17B-18.2M4.093.8146,621190,473639,7152,954,312
2020-09-02$85.38$85.008.7%2.3%4.6%11.0%8.4%3.7%-0.1%-293.2M734.8M-16.7M4.284.7212,21752,268643,3443,089,209
2020-09-03$84.77$85.0010.5%2.9%5.2%14.6%12.2%4.7%-0.3%-609.6M2.31B-20.8M4.4014.2833,470147,185653,6293,113,135
2020-09-04$84.74$85.0011.3%3.0%5.1%16.1%14.3%5.6%-0.5%-612.4M2.49B-21.9M4.4016.6524,886109,474657,0173,169,051
2020-09-08$84.08$85.0012.0%3.4%5.8%17.7%13.6%5.8%-0.1%-816.5M3.84B-22.5M2.529.0336,21991,328647,3403,196,242
2020-09-09$84.60$85.0010.5%2.8%6.0%14.5%11.2%4.3%-1.0%-630.5M2.64B-21.3M2.4911.4553,813134,025671,9083,267,622
2020-09-10$84.47$85.0010.2%3.0%6.0%13.9%9.6%4.4%0.6%-703.8M2.98B-20.6M1.129.0348,02553,906688,2993,281,172
2020-09-11$84.38$85.0010.0%2.9%5.9%13.6%10.6%4.3%0.6%-742.7M2.91B-19.1M2.526.8661,149154,066704,1783,287,296
2020-09-14$84.41$85.009.4%2.7%5.7%12.5%10.9%3.7%-0.5%-697.6M2.55B-16.7M3.677.499,71935,677733,6383,386,223
2020-09-15$84.55$85.008.2%2.3%5.2%9.9%11.0%3.8%0.8%-665.2M2.53B-17.4M5.116.3319,719100,689747,4173,414,292
2020-09-16$84.69$85.008.1%2.3%5.2%9.8%10.5%3.6%0.9%-624.5M2.30B-16.7M2.735.7041,534113,343750,4233,448,575
2020-09-17$84.51$85.008.1%2.3%5.2%9.8%8.9%3.6%1.1%-741.1M2.52B-16.2M4.054.9840,176162,521762,3563,474,858
2020-09-18$84.37$85.008.9%2.6%5.1%11.4%9.3%3.4%-0.5%-831.4M2.69B-16.2M1.715.5787,015148,734752,2273,516,828
2020-09-21$83.55$85.0010.5%3.0%6.1%14.6%12.4%4.3%0.1%-988.0M3.80B-17.9M5.694.7340,035227,847694,2992,631,485
2020-09-22$83.87$85.009.8%2.8%6.1%13.3%12.1%3.6%0.1%-1.03B3.32B-17.7M4.865.2949,842242,101691,7432,794,318
2020-09-23$83.12$85.0011.6%3.4%6.7%16.8%12.2%4.3%-0.0%-1.20B4.88B-20.5M8.955.4237,822338,567726,6442,916,055
2020-09-24$83.02$85.0012.1%3.5%6.7%17.9%15.2%4.6%0.1%-1.41B5.88B-23.6M3.766.6073,893278,162752,5813,191,838
2020-09-25$82.94$85.0011.6%3.3%6.7%16.8%13.5%3.9%0.3%-2.14B6.20B-25.0M14.856.6417,827264,664779,3973,293,718
2020-09-28$83.51$85.0011.7%3.3%7.3%16.9%14.8%5.2%1.0%-1.36B4.68B-22.3M2.325.2128,03264,970735,1943,297,098
2020-09-29$83.51$85.0011.4%3.2%7.3%16.4%12.8%5.1%1.1%-1.41B4.65B-21.4M1.955.4834,20666,661728,5033,332,950
2020-09-30$83.92$85.0010.7%2.9%7.5%15.0%12.5%4.7%0.9%-1.26B3.30B-18.2M1.566.7432,67751,022739,4973,324,292