HYG Options History — January 2021

In January 2021, HYG traded between $86.94 and $87.49. ATM implied volatility averaged 6.4%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 3.4% (HV 20d: 3.0%). Max pain ranged from $86.00 to $87.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 5.42.

Notable Days

  • 2021-01-12: Highest Volume — 547,867 contracts
  • 2021-01-27: Largest IV spike — 28.5% change
  • 2021-01-05: Highest IV Rank — 7.6%
  • 2021-01-04: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.20$86.94$87.49$87.17$86.95
Max Pain$86.84$86.00$87.00$86.00$87.00
ATM IV6.4%5.0%7.7%7.5%6.8%
Expected Move1.8%1.4%2.1%2.1%2.0%
HV 20d3.0%2.7%3.3%3.2%3.2%
HV 60d5.1%4.6%5.4%5.3%4.7%
IV Rank4.7%1.4%7.6%7.2%5.0%
IV Percentile14.0%4.8%25.0%23.8%15.9%
Term Structure-0.1%-1.8%0.6%0.2%-1.5%
VWIV7.7%5.8%9.7%9.7%7.7%
Skew 25d3.3%2.5%4.3%4.0%3.8%
Skew 10d6.9%4.9%9.1%8.8%9.1%
Call IV 25d5.6%4.6%6.7%6.3%6.1%
Put IV 25d8.9%7.1%10.6%10.3%9.9%
Bid-Ask Spread %12.276.6254.937.5211.49
Gamma HHI0.140.120.170.120.15
Net GEX-409.9M-1.38B3.5M-217.9M-1.38B
Net DEX125.1M-1.59B2.71B-886.0M2.71B
Net VEX-18.2M-21.8M-15.5M-19.1M-21.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.421.3015.428.962.14
Total Volume279,02987,052547,867204,779462,685
Total OI4,853,257.9474,137,5555,911,3564,265,1815,241,102

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$87.17$86.007.5%2.1%3.2%7.2%9.7%4.0%0.2%-217.9M-886.0M-19.1M8.967.5220,562184,217928,1653,337,016
2021-01-05$87.08$86.007.7%2.1%3.0%7.6%8.7%4.3%-0.1%-298.2M-354.7M-20.5M13.656.6215,820215,971929,4203,442,847
2021-01-06$87.05$86.007.4%2.1%2.9%7.0%9.4%3.9%-0.1%-304.1M-336.3M-20.1M6.278.1053,970338,126937,7723,615,352
2021-01-07$87.27$87.006.2%1.9%3.0%4.6%8.4%2.9%-0.1%-25.3M-1.36B-17.1M15.428.279,152141,121988,4643,780,004
2021-01-08$87.33$87.006.3%1.9%2.8%4.7%7.9%3.6%0.0%3.5M-1.59B-16.4M1.308.85112,473146,499995,7193,907,100
2021-01-11$86.94$87.007.1%2.0%3.3%6.5%8.8%3.1%0.0%-442.2M380.4M-19.4M5.799.0954,807317,4901,021,2633,968,616
2021-01-12$87.02$87.006.9%2.0%3.2%6.0%8.3%3.2%-0.0%-357.1M-120.0M-17.8M4.318.86103,253444,6141,063,2124,154,959
2021-01-13$87.24$87.006.7%1.9%3.3%5.6%8.5%3.4%-0.1%-257.2M-743.0M-17.8M4.619.0960,634279,4351,081,2234,497,914
2021-01-14$87.26$87.006.1%1.9%3.2%4.4%8.0%3.2%0.6%-204.5M-896.1M-17.1M2.8310.7451,823146,9101,128,2124,620,281
2021-01-15$87.16$87.006.8%1.9%3.2%5.6%7.8%3.7%-0.1%-387.9M-695.7M-19.4M3.1210.4375,822236,8201,156,7864,754,570
2021-01-19$87.33$87.006.1%1.7%3.1%4.1%7.1%3.4%0.3%-345.4M503.9M-16.4M5.447.2950,580275,012889,0383,248,517
2021-01-20$87.44$87.005.7%1.6%3.1%3.1%6.4%3.0%0.4%-142.3M171.7M-16.3M1.527.8475,011113,886942,6033,442,820
2021-01-21$87.49$87.005.3%1.5%2.9%2.5%5.8%2.6%0.2%-268.1M343.0M-18.6M3.598.4046,480166,822973,9093,549,515
2021-01-22$87.30$87.005.0%1.4%3.1%1.4%6.3%2.6%0.4%-540.6M691.8M-17.0M7.237.0219,096138,053979,5783,599,295
2021-01-25$87.31$87.005.7%1.5%2.7%2.8%6.9%3.4%0.3%-542.6M995.3M-18.0M3.867.8330,447117,436965,8673,641,983
2021-01-26$87.26$87.005.4%1.5%2.7%2.2%6.8%2.5%-0.1%-502.9M485.9M-15.5M5.146.6914,18972,863982,9863,678,500
2021-01-27$86.98$87.006.9%1.9%2.9%5.3%7.2%3.2%-0.4%-846.7M1.90B-18.5M3.6034.0882,324296,771995,4683,743,387
2021-01-28$87.20$87.006.3%1.8%3.0%4.2%7.0%2.8%-1.8%-729.6M1.18B-18.5M4.1754.9363,931266,4461,059,8553,968,583
2021-01-29$86.95$87.006.8%2.0%3.2%5.0%7.7%3.8%-1.5%-1.38B2.71B-21.8M2.1411.49147,482315,2031,082,8254,158,277