HYG Options History — October 2020

In October 2020, HYG traded between $83.51 and $85.37. ATM implied volatility averaged 10.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 4.4% (HV 20d: 6.4%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 5.85.

Notable Days

  • 2020-10-30: Highest Volume — 378,465 contracts
  • 2020-10-26: Largest IV spike — 27.1% change
  • 2020-10-28: Highest IV Rank — 21.4%
  • 2020-10-28: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.44$83.51$85.37$83.74$83.88
Max Pain$84.41$83.00$85.00$85.00$85.00
ATM IV10.8%8.8%13.9%11.3%13.4%
Expected Move3.1%2.6%4.5%3.1%4.2%
HV 20d6.4%5.0%7.5%7.4%5.9%
HV 60d5.9%5.7%6.1%6.0%6.0%
IV Rank15.1%11.1%21.4%16.3%20.3%
IV Percentile54.5%42.1%70.2%59.5%67.9%
Term Structure-0.1%-0.6%1.1%0.9%-0.6%
VWIV13.0%9.4%17.7%12.5%17.7%
Skew 25d4.4%3.5%6.3%5.3%5.3%
Skew 10d8.7%6.6%12.1%11.3%10.0%
Call IV 25d9.2%7.6%12.0%9.1%11.7%
Put IV 25d13.7%11.2%18.3%14.4%17.0%
Bid-Ask Spread %3.201.547.113.952.94
Gamma HHI0.110.090.140.100.14
Net GEX-725.2M-1.78B215.0M-1.01B-1.78B
Net DEX2.40B-302.3M5.76B4.06B4.58B
Net VEX-18.6M-26.0M-13.5M-23.2M-22.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.851.0727.797.9927.79
Total Volume215,403.95572,991378,465136,262378,465
Total OI4,103,234.5453,399,7764,756,4144,056,9024,482,963

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$83.74$85.0011.3%3.1%7.4%16.3%12.5%5.3%0.9%-1.01B4.06B-23.2M7.993.9515,152121,110732,6423,324,260
2020-10-02$83.84$85.0010.7%2.7%7.1%14.9%9.4%4.9%1.1%-947.3M3.75B-21.7M1.075.6335,30337,688740,8973,340,018
2020-10-05$84.38$83.0010.1%3.2%7.5%13.9%12.9%4.9%0.2%-552.0M2.04B-17.9M3.507.1159,527208,473762,0333,266,235
2020-10-06$84.38$83.0010.2%3.2%7.0%13.9%11.7%4.3%0.2%-528.6M1.97B-17.9M3.926.7325,862101,264787,8053,349,880
2020-10-07$84.59$83.0010.1%2.8%6.7%13.7%13.5%4.2%0.1%-395.7M1.68B-17.9M5.022.6324,380122,306792,9333,414,287
2020-10-08$84.74$83.009.7%2.7%6.7%13.1%13.7%3.7%0.0%-283.8M1.12B-15.8M1.972.4476,413150,253798,6713,447,062
2020-10-09$84.92$84.008.8%2.6%6.7%11.1%11.2%3.5%0.1%-68.1M554.3M-14.7M5.822.2423,411136,343823,1823,487,236
2020-10-12$85.37$84.008.8%2.8%6.9%11.3%10.8%3.6%0.8%215.0M-302.3M-13.5M1.882.1036,50268,643801,2153,471,273
2020-10-13$85.01$84.009.4%2.7%7.1%12.4%10.6%3.6%0.1%-57.8M539.5M-14.1M3.753.6223,00386,367786,8863,527,269
2020-10-14$84.80$84.009.2%2.6%7.1%12.0%13.4%4.0%0.0%-364.4M1.42B-15.8M9.343.4425,399237,199817,1783,555,212
2020-10-15$84.74$84.009.7%2.6%7.1%12.9%10.6%3.7%-0.6%-499.9M1.62B-15.5M2.123.7596,275203,905825,9373,724,572
2020-10-16$84.56$85.009.6%2.6%7.1%12.8%12.6%3.9%-0.6%-661.3M2.28B-17.8M5.821.5436,693213,594892,9593,863,455
2020-10-19$84.35$85.0010.0%2.9%6.2%13.6%11.2%4.0%-0.6%-910.1M2.43B-18.1M4.193.1520,68286,587548,6832,851,093
2020-10-20$84.66$85.0010.6%3.0%6.2%14.9%12.9%3.8%-0.4%-834.1M1.82B-16.3M3.072.4072,340221,819550,9662,889,883
2020-10-21$84.63$85.0011.3%3.2%5.1%16.3%13.3%4.7%-0.5%-756.6M2.10B-18.2M6.162.6133,991209,316612,2022,966,973
2020-10-22$84.77$85.0010.3%3.0%5.0%14.1%12.4%4.0%-0.4%-808.7M1.65B-17.2M4.932.3723,324115,101631,5623,058,232
2020-10-23$84.78$85.0010.1%2.9%5.0%13.7%10.3%3.7%-0.3%-778.4M1.60B-17.0M1.212.07124,012150,351645,9403,127,088
2020-10-26$84.19$85.0012.8%3.8%5.3%19.2%14.9%5.0%0.1%-1.06B3.24B-21.4M9.722.3222,657220,233719,9783,176,967
2020-10-27$84.19$85.0013.0%3.9%5.3%19.5%15.8%5.5%-0.6%-1.10B3.57B-22.1M3.451.9681,005279,716743,6183,310,309
2020-10-28$83.51$85.0013.9%4.5%5.8%21.4%17.1%6.3%0.2%-1.35B5.76B-26.0M8.913.3321,637192,755804,6823,468,793
2020-10-29$83.63$85.0013.8%4.2%5.8%21.1%17.1%6.1%-0.3%-1.43B5.31B-23.8M7.062.1739,704280,127796,6913,551,440
2020-10-30$83.88$85.0013.4%4.2%5.9%20.3%17.7%5.3%-0.6%-1.78B4.58B-22.5M27.792.9413,144365,321815,0323,667,931