HYG Options History — February 2021

In February 2021, HYG traded between $86.67 and $87.78. ATM implied volatility averaged 5.7%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 2.5% (HV 20d: 3.2%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 6.32.

Notable Days

  • 2021-02-18: Highest Volume — 830,138 contracts
  • 2021-02-25: Largest IV spike — 55.1% change
  • 2021-02-25: Highest IV Rank — 9.0%
  • 2021-02-25: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.39$86.67$87.78$86.88$86.67
Max Pain$87.84$87.00$88.00$87.00$88.00
ATM IV5.7%4.2%8.6%7.4%8.1%
Expected Move1.6%1.2%2.6%2.0%2.3%
HV 20d3.2%2.9%4.1%3.1%4.0%
HV 60d3.3%2.9%4.4%4.4%3.4%
IV Rank3.0%0.0%9.0%6.3%7.9%
IV Percentile8.4%0.0%30.6%22.6%27.4%
Term Structure0.1%-0.9%1.2%0.7%0.3%
VWIV6.7%5.1%11.4%8.4%8.5%
Skew 25d2.7%1.9%4.2%4.2%3.9%
Skew 10d4.8%0.6%7.7%0.6%7.7%
Call IV 25d5.0%3.7%8.1%5.8%7.0%
Put IV 25d7.8%5.9%12.0%10.1%10.9%
Bid-Ask Spread %12.275.3668.959.6568.95
Gamma HHI0.190.120.290.120.16
Net GEX-495.7M-3.49B830.4M-830.2M-3.49B
Net DEX1.57B-914.1M7.38B3.34B7.38B
Net VEX-19.4M-30.3M-14.0M-26.8M-27.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.321.6228.644.633.51
Total Volume291,236.94764,329830,138380,868357,941
Total OI6,009,785.5265,382,9217,284,7165,382,9216,064,680

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$86.88$87.007.4%2.0%3.1%6.3%8.4%4.2%0.7%-830.2M3.34B-26.8M4.639.6567,705313,1631,111,4354,271,486
2021-02-02$87.19$87.006.9%1.7%3.4%5.2%6.7%3.1%0.1%-443.2M1.91B-22.6M1.985.3671,969142,6021,145,2544,505,778
2021-02-03$87.24$87.006.5%1.7%3.4%4.5%5.8%2.7%0.0%-395.5M1.57B-21.3M3.465.7275,606261,6691,190,9884,537,604
2021-02-04$87.40$88.005.6%1.8%3.4%2.7%6.2%2.6%-0.0%-41.2M730.0M-17.7M4.5212.7159,172267,7021,216,1964,550,631
2021-02-05$87.49$88.005.4%1.8%3.3%2.3%6.9%2.8%0.0%190.8M392.8M-18.7M3.6410.3541,490150,9891,257,6324,669,942
2021-02-08$87.72$88.005.4%1.4%3.4%2.3%6.3%2.3%-0.7%830.4M-603.1M-14.9M2.047.5328,06657,3801,259,6484,654,812
2021-02-09$87.65$88.005.3%1.3%3.0%2.1%6.4%1.9%-0.9%559.4M-325.9M-16.0M8.278.1616,099133,0741,282,0594,721,736
2021-02-10$87.59$88.005.2%1.3%3.0%1.8%7.5%2.4%-0.9%457.7M105.8M-16.5M28.647.264,455127,5941,293,3154,796,830
2021-02-11$87.62$88.004.7%1.2%2.9%0.9%5.2%2.3%-0.6%514.0M-216.1M-14.3M6.079.6939,204238,1571,293,8924,850,204
2021-02-12$87.78$88.004.2%1.2%2.9%0.0%7.3%2.1%0.2%748.4M-914.1M-14.8M8.337.646,89757,4321,319,7344,945,720
2021-02-16$87.58$88.004.4%1.2%3.0%0.4%6.1%2.6%1.2%352.3M-16.9M-14.0M4.757.4940,347191,5081,318,1254,991,178
2021-02-17$87.56$88.004.6%1.3%3.0%0.7%5.1%2.4%0.8%-2.3M395.8M-16.2M1.768.58135,616238,6341,339,2665,189,887
2021-02-18$87.51$88.004.9%1.3%2.9%1.3%6.0%3.0%1.1%-85.4M449.6M-16.7M5.837.37121,586708,5521,412,3885,301,702
2021-02-19$87.51$88.004.9%1.3%2.9%1.4%6.6%2.7%1.0%-108.3M1.29B-20.5M6.476.2929,095188,2421,464,8945,819,822
2021-02-22$87.30$88.005.7%1.6%3.0%2.9%6.2%2.4%0.0%-2.28B2.91B-20.2M1.628.60130,109210,417956,3454,465,109
2021-02-23$87.47$88.005.8%1.6%3.0%3.2%5.7%2.1%0.3%-1.13B2.03B-18.9M7.9811.7122,542179,775981,0414,527,359
2021-02-24$87.48$88.005.5%1.5%3.0%2.7%5.7%2.0%0.1%-1.43B2.39B-19.9M11.7612.3935,142413,373981,5424,588,228
2021-02-25$86.77$88.008.6%2.6%4.1%9.0%11.4%3.9%-0.5%-2.83B7.00B-30.3M4.9217.6362,584307,614999,0124,910,451
2021-02-26$86.67$88.008.1%2.3%4.0%7.9%8.5%3.9%0.3%-3.49B7.38B-27.4M3.5168.9579,395278,5461,023,1725,041,508