HYG Options History — December 2020

In December 2020, HYG traded between $86.33 and $87.31. ATM implied volatility averaged 7.0%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 3.2% (HV 20d: 3.7%). Max pain ranged from $86.00 to $86.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 8.20.

Notable Days

  • 2020-12-09: Highest Volume — 556,786 contracts
  • 2020-12-09: Largest IV spike — 18.8% change
  • 2020-12-21: Highest IV Rank — 8.9%
  • 2020-12-21: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.77$86.33$87.31$86.33$87.31
Max Pain$86.00$86.00$86.00$86.00$86.00
ATM IV7.0%6.0%8.3%6.6%6.0%
Expected Move2.0%1.6%2.4%2.1%1.6%
HV 20d3.7%2.8%6.6%6.6%3.1%
HV 60d5.9%5.3%6.6%6.6%5.3%
IV Rank6.9%4.1%8.9%6.7%4.1%
IV Percentile21.2%13.1%29.8%21.8%13.1%
Term Structure0.3%-0.5%0.9%0.4%0.4%
VWIV9.0%6.5%11.9%8.7%8.7%
Skew 25d3.6%2.4%4.9%2.9%4.0%
Skew 10d7.5%4.6%11.1%5.6%5.1%
Call IV 25d5.9%4.7%6.9%5.9%4.7%
Put IV 25d9.5%8.0%11.8%8.8%8.7%
Bid-Ask Spread %4.222.535.455.334.24
Gamma HHI0.150.110.180.130.16
Net GEX-484.9M-1.19B65.3M-541.7M65.3M
Net DEX-343.7M-2.00B2.10B232.6M-2.00B
Net VEX-20.3M-26.5M-16.3M-19.9M-16.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.201.4733.404.0916.59
Total Volume213,03447,008556,786202,381117,391
Total OI4,960,677.8644,208,4385,837,8484,586,1614,603,596

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$86.33$86.006.6%2.1%6.6%6.7%8.7%2.9%0.4%-541.7M232.6M-19.9M4.095.3339,751162,630863,6343,722,527
2020-12-02$86.44$86.006.9%2.2%6.1%7.4%8.6%3.2%0.5%-486.0M-16.1M-20.0M13.104.3417,899234,540876,9293,771,643
2020-12-03$86.58$86.007.2%2.1%5.2%8.0%11.1%2.9%0.8%-583.1M-219.4M-20.7M2.325.45110,191255,645888,1723,836,242
2020-12-04$86.87$86.006.6%2.0%5.1%6.8%8.7%2.4%0.5%-135.8M-1.43B-19.6M2.754.9732,54689,615990,7463,998,555
2020-12-07$86.72$86.007.4%2.0%4.9%8.3%9.3%3.6%-0.4%-224.6M-1.20B-19.0M3.714.6037,394138,687983,8913,974,416
2020-12-08$86.83$86.006.4%1.9%3.9%6.4%7.6%3.2%0.0%-106.6M-1.45B-18.0M1.474.5518,99828,010990,9364,074,769
2020-12-09$86.60$86.007.6%2.0%4.0%8.8%8.4%3.8%-0.5%-461.9M-617.0M-19.8M13.305.3338,937517,849999,4724,093,982
2020-12-10$86.77$86.006.9%2.0%3.9%7.4%8.4%2.7%0.1%-578.1M-497.9M-20.1M6.274.7720,229126,9031,022,0594,479,493
2020-12-11$86.67$86.007.3%2.0%3.2%8.2%10.5%4.1%-0.3%-679.7M91.1M-21.7M33.404.269,090303,6011,033,6484,536,896
2020-12-14$86.67$86.007.3%2.0%3.1%8.2%10.0%3.6%0.5%-695.6M-88.9M-20.6M10.794.7728,879311,6661,020,1134,688,709
2020-12-15$86.94$86.006.8%1.9%2.9%7.1%8.3%3.1%0.2%-544.4M-749.6M-19.0M7.014.4224,587172,2731,029,5534,717,855
2020-12-16$86.83$86.006.8%1.9%2.9%7.1%8.2%3.1%-0.1%-743.9M-330.4M-19.2M3.725.2150,803188,8411,025,6684,765,367
2020-12-17$86.67$86.006.7%1.9%3.0%6.4%10.1%3.6%0.8%-757.9M734.6M-23.0M2.772.5344,582123,386925,0944,827,770
2020-12-18$86.63$86.007.1%2.0%2.8%6.7%8.6%3.7%0.7%-1.19B1.10B-23.9M7.784.1223,858185,611937,0984,900,750
2020-12-21$86.41$86.008.3%2.4%2.9%8.9%11.9%4.9%0.2%-1.01B2.10B-26.5M6.994.2323,490164,079805,6223,402,816
2020-12-22$86.49$86.008.1%2.3%2.8%8.3%11.2%4.6%0.2%-1.01B1.60B-24.9M3.042.8539,448119,749823,6573,449,562
2020-12-23$86.88$86.006.7%1.9%3.2%5.6%7.9%3.9%0.4%-602.4M-95.8M-21.2M2.083.0929,79962,110851,7553,475,872
2020-12-24$86.99$86.006.7%1.9%3.2%5.5%8.6%3.6%0.2%-127.3M-750.0M-20.1M20.083.593,34667,204889,5093,497,254
2020-12-28$87.09$86.006.5%1.8%3.2%5.2%6.5%3.5%0.5%-170.9M-970.3M-19.2M1.543.4548,90475,306879,4243,475,303
2020-12-29$87.12$86.006.7%1.8%3.1%5.5%7.6%4.3%0.9%-79.0M-1.39B-17.3M10.042.8731,855319,789903,5723,501,010
2020-12-30$87.20$86.006.8%1.9%3.1%5.7%8.4%3.8%-0.2%1.0M-1.62B-17.3M7.483.7629,145218,132933,5653,666,409
2020-12-31$87.31$86.006.0%1.6%3.1%4.1%8.7%4.0%0.4%65.3M-2.00B-16.3M16.594.246,672110,719945,3843,658,212