HYG Options History — November 2020

In November 2020, HYG traded between $83.63 and $86.42. ATM implied volatility averaged 8.6%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.2% (HV 20d: 7.4%). Max pain ranged from $85.00 to $86.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 4.90.

Notable Days

  • 2020-11-10: Highest Volume — 628,330 contracts
  • 2020-11-04: Largest IV drop — 29.0% change
  • 2020-11-02: Highest IV Rank — 21.0%
  • 2020-11-02: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.69$83.63$86.42$83.63$86.31
Max Pain$85.65$85.00$86.00$85.00$86.00
ATM IV8.6%6.0%13.7%13.7%6.0%
Expected Move2.5%1.7%4.3%4.3%1.7%
HV 20d7.4%5.4%8.1%5.4%6.8%
HV 60d6.7%6.0%6.8%6.0%6.6%
IV Rank10.8%5.6%21.0%21.0%5.6%
IV Percentile34.1%21.4%69.4%69.4%21.4%
Term Structure-0.3%-1.6%0.7%-0.5%0.7%
VWIV10.5%7.4%17.7%17.7%7.4%
Skew 25d3.2%0.8%5.9%5.9%0.8%
Skew 10d6.1%1.2%10.7%10.7%1.2%
Call IV 25d7.4%6.0%10.8%10.8%6.0%
Put IV 25d10.6%6.8%16.7%16.7%6.8%
Bid-Ask Spread %4.252.086.262.083.75
Gamma HHI0.140.100.300.100.14
Net GEX-412.3M-1.13B536.8M-1.13B-569.8M
Net DEX141.5M-1.41B5.28B5.28B-392.3M
Net VEX-18.9M-26.4M-16.0M-26.4M-16.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.900.7811.987.114.66
Total Volume328,033.989,395628,330259,326165,158
Total OI5,259,851.854,213,9436,191,5164,561,4824,657,670

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$83.63$85.0013.7%4.3%5.4%21.0%17.7%5.9%-0.5%-1.13B5.28B-26.4M7.112.0831,962227,364783,2173,778,265
2020-11-03$84.35$85.0012.2%4.0%6.3%17.9%16.5%4.5%-0.5%-857.4M3.28B-22.8M6.192.9079,437491,725783,2173,778,265
2020-11-04$85.17$85.008.6%2.7%7.2%10.9%10.2%3.4%-0.7%-404.2M459.8M-17.9M2.112.93151,437319,625864,5794,230,409
2020-11-05$85.60$85.009.5%2.4%7.3%12.6%11.1%4.2%-0.4%-206.9M-459.4M-19.9M11.983.3234,264410,586950,0414,338,177
2020-11-06$85.33$85.008.7%2.6%7.4%10.9%10.9%3.2%-0.2%-643.7M923.8M-21.4M3.342.4165,566218,949935,9994,560,868
2020-11-09$86.08$85.008.1%2.4%7.8%9.8%9.7%3.6%0.2%-310.7M-776.8M-18.2M3.603.8578,262281,374903,7084,488,807
2020-11-10$85.90$85.007.8%2.3%7.7%9.2%10.9%3.5%0.0%-269.9M-913.4M-16.2M10.942.9752,641575,689915,8244,548,847
2020-11-11$85.70$86.009.0%2.3%7.7%11.5%9.9%4.1%-1.6%-465.9M120.9M-19.6M0.784.43116,03790,271920,3964,656,244
2020-11-12$85.23$86.0010.9%3.2%8.0%15.4%13.1%4.9%0.4%-972.0M2.30B-25.9M5.094.1370,620359,2621,024,3154,653,554
2020-11-13$85.51$86.008.8%2.4%8.0%11.3%11.4%3.3%-1.0%-565.6M462.4M-21.3M5.104.3534,618176,6121,027,7044,820,194
2020-11-16$85.92$86.007.7%2.2%8.0%9.0%10.7%3.4%-0.2%-59.8M-916.1M-17.1M11.635.4627,926324,792985,6884,728,512
2020-11-17$86.02$86.008.0%2.3%8.0%9.6%10.7%2.9%-0.2%-235.3M-1.13B-17.2M1.124.68101,156113,790997,7724,973,152
2020-11-18$85.87$86.007.3%2.1%8.0%8.3%9.0%2.9%-0.5%144.9M-1.12B-16.2M2.586.0285,652220,8481,052,1474,890,350
2020-11-19$86.12$86.008.7%2.5%8.0%11.0%10.0%2.8%0.2%-97.6M-1.41B-16.9M3.115.2371,063221,1401,071,1285,037,793
2020-11-20$85.94$86.008.3%2.4%8.1%10.1%9.9%3.4%-0.1%536.8M-699.5M-18.3M3.924.82112,860442,8221,074,1145,117,402
2020-11-23$86.12$86.007.6%2.2%7.6%8.8%8.6%2.5%-0.1%-731.0M63.8M-16.9M3.826.2635,333135,056794,4453,419,498
2020-11-24$86.26$86.007.0%2.1%7.6%7.5%7.4%1.8%-0.4%-389.0M-471.1M-16.0M1.625.7081,464132,058825,7323,486,932
2020-11-25$86.35$86.007.1%2.1%6.7%7.8%7.7%1.9%-0.3%-458.5M-821.9M-16.6M4.895.1156,707277,157888,5613,573,118
2020-11-27$86.42$86.006.7%1.9%6.7%7.0%7.4%1.3%-0.3%-561.0M-951.8M-16.8M4.414.6316,53872,857926,4673,733,926
2020-11-30$86.31$86.006.0%1.7%6.8%5.6%7.4%0.8%0.7%-569.8M-392.3M-16.3M4.663.7529,205135,953908,0553,749,615