HYG Options History — March 2021 In March 2021, HYG traded between $85.76 and $87.15. ATM implied volatility averaged 7.4%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 2.1% (HV 20d: 5.3%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 7.72.
Notable Days 2021-03-01 : Highest Volume — 683,037 contracts2021-03-08 : Largest IV spike — 26.3% change2021-03-08 : Highest IV Rank — 10.3%2021-03-18 : Largest Expected Move — 2.5%Monthly Statistics Metric Avg Min Max Open Close Price $86.54 $85.76 $87.15 $87.08 $87.15 Max Pain $87.13 $87.00 $88.00 $88.00 $87.00 ATM IV 7.4% 5.5% 9.3% 7.3% 5.7% Expected Move 2.1% 1.3% 2.5% 2.1% 1.4% HV 20d 5.3% 4.1% 6.4% 4.2% 5.7% HV 60d 4.0% 3.5% 4.4% 3.5% 4.4% IV Rank 7.1% 4.0% 10.3% 6.3% 4.6% IV Percentile 23.7% 5.2% 40.1% 21.4% 7.1% Term Structure -0.3% -2.1% 1.2% 0.2% 0.2% VWIV 8.8% 5.8% 11.1% 8.5% 6.6% Skew 25d 3.6% 1.7% 5.7% 2.3% 2.3% Skew 10d 7.4% 3.4% 13.8% 3.4% 5.4% Call IV 25d 6.3% 5.2% 7.4% 6.4% 5.5% Put IV 25d 9.9% 6.9% 13.0% 8.7% 7.8% Bid-Ask Spread % 33.58 9.73 68.07 38.68 30.50 Gamma HHI 0.18 0.13 0.27 0.14 0.22 Net GEX -2.83B -4.36B -1.62B -2.23B -1.62B Net DEX 7.18B 2.43B 12.97B 5.44B 2.43B Net VEX -26.1M -33.8M -17.1M -29.0M -17.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.72 1.22 27.66 11.42 2.95 Total Volume 292,754.739 133,620 683,037 683,037 271,049 Total OI 6,213,625.957 5,012,072 7,564,611 6,178,721 5,283,514
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2021-03-01 $87.08 $88.00 7.3% 2.1% 4.2% 6.3% 8.5% 2.3% 0.2% -2.23B 5.44B -29.0M 11.42 38.68 55,016 628,021 1,033,889 5,144,832 2021-03-02 $86.99 $88.00 7.2% 2.0% 4.2% 6.2% 7.9% 3.5% -0.1% -2.06B 5.79B -28.1M 2.63 10.73 48,625 128,088 1,071,690 5,189,770 2021-03-03 $86.76 $88.00 7.1% 2.0% 4.1% 5.9% 8.8% 4.5% -0.3% -2.44B 7.71B -31.7M 1.22 9.73 99,203 121,123 1,071,064 5,207,637 2021-03-04 $86.47 $87.00 8.9% 2.3% 4.3% 9.6% 10.4% 5.0% -0.6% -2.87B 8.86B -31.9M 27.66 68.07 11,661 322,562 1,048,903 5,301,076 2021-03-05 $86.72 $87.00 7.3% 1.9% 4.3% 6.4% 10.3% 2.9% -0.1% -3.20B 7.23B -27.3M 18.19 33.93 19,689 358,085 1,064,469 5,458,479 2021-03-08 $86.03 $87.00 9.3% 2.4% 5.1% 10.3% 11.1% 5.7% -0.9% -3.01B 10.87B -33.6M 5.84 52.27 69,361 405,311 1,050,602 5,454,456 2021-03-09 $86.09 $87.00 8.8% 2.4% 4.9% 9.3% 9.7% 4.4% -0.6% -3.05B 11.14B -33.8M 2.15 39.12 66,238 142,402 1,101,214 5,615,141 2021-03-10 $86.44 $87.00 7.7% 2.3% 5.2% 7.2% 9.1% 4.0% 0.4% -3.23B 9.29B -28.5M 6.99 63.01 36,037 251,991 1,118,666 5,678,575 2021-03-11 $86.69 $87.00 8.0% 2.0% 5.4% 7.8% 10.0% 4.5% -1.6% -2.93B 7.65B -27.1M 9.42 59.38 22,217 209,249 1,138,378 5,702,703 2021-03-12 $86.49 $87.00 7.3% 2.2% 5.4% 6.4% 9.6% 3.4% 0.6% -3.67B 8.40B -27.6M 4.25 14.22 44,043 187,381 1,167,037 5,797,101 2021-03-15 $86.47 $87.00 7.4% 2.1% 5.4% 6.5% 8.5% 3.7% 0.0% -3.45B 8.21B -24.7M 12.47 25.09 19,279 240,482 1,185,415 5,823,672 2021-03-16 $86.26 $87.00 7.8% 2.2% 5.4% 7.3% 9.6% 4.6% -0.4% -3.21B 9.76B -26.8M 4.54 15.25 63,032 285,867 1,187,271 5,889,437 2021-03-17 $86.42 $87.00 8.5% 2.4% 5.4% 8.8% 9.7% 4.2% -2.1% -3.19B 8.98B -28.5M 3.42 44.44 59,000 201,643 1,216,676 6,082,164 2021-03-18 $85.76 $87.00 8.8% 2.5% 6.0% 9.5% 10.1% 4.9% 1.2% -3.83B 12.97B -32.7M 6.95 20.34 55,588 386,500 1,222,243 6,195,899 2021-03-19 $86.12 $87.00 8.3% 2.4% 6.3% 8.4% 9.5% 3.6% -0.8% -4.36B 9.84B -26.3M 3.49 20.54 58,515 204,109 1,250,301 6,314,310 2021-03-22 $86.38 $87.00 6.9% 2.0% 6.4% 5.6% 9.1% 3.6% -0.1% -2.60B 5.17B -23.1M 3.24 19.97 43,530 141,228 669,486 4,342,586 2021-03-23 $86.34 $87.00 7.3% 2.1% 6.3% 6.3% 9.1% 2.6% -0.8% -2.75B 5.51B -22.3M 21.32 67.94 26,516 565,446 705,036 4,377,318 2021-03-24 $86.56 $87.00 7.5% 2.1% 6.4% 9.6% 7.5% 3.3% -0.3% -2.47B 4.64B -21.0M 2.88 57.84 44,128 126,972 707,082 4,311,269 2021-03-25 $86.60 $87.00 6.6% 1.9% 5.7% 7.3% 6.8% 2.7% -0.4% -2.42B 3.95B -19.1M 14.58 18.73 11,845 172,654 751,440 4,382,608 2021-03-26 $86.83 $87.00 5.9% 1.6% 5.8% 5.5% 6.7% 3.7% -0.0% -2.27B 3.74B -19.8M 2.01 21.07 65,991 132,673 754,431 4,424,602 2021-03-29 $86.94 $87.00 5.5% 1.6% 5.6% 4.0% 5.8% 1.7% -0.5% -1.81B 4.19B -22.6M 3.97 21.53 26,882 106,738 773,316 4,412,330 2021-03-30 $86.81 $87.00 5.9% 1.3% 5.6% 5.5% 6.9% 2.7% -0.1% -2.34B 3.35B -17.8M 6.01 20.06 28,160 169,229 774,275 4,461,034 2021-03-31 $87.15 $87.00 5.7% 1.4% 5.7% 4.6% 6.6% 2.3% 0.2% -1.62B 2.43B -17.1M 2.95 30.50 68,602 202,447 785,585 4,497,929
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