HYG Options History — April 2021

In April 2021, HYG traded between $87.02 and $87.47. ATM implied volatility averaged 5.0%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.4% (HV 20d: 3.6%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 6.70.

Notable Days

  • 2021-04-19: Highest Volume — 358,181 contracts
  • 2021-04-23: Largest IV drop — 21.2% change
  • 2021-04-05: Highest IV Rank — 6.4%
  • 2021-04-22: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.24$87.02$87.47$87.03$87.42
Max Pain$87.21$87.00$88.00$88.00$87.50
ATM IV5.0%4.2%6.0%5.8%4.6%
Expected Move1.4%1.1%1.6%1.5%1.2%
HV 20d3.6%2.3%5.5%5.5%2.3%
HV 60d4.3%4.2%4.4%4.4%4.2%
IV Rank3.3%0.0%6.4%5.0%2.3%
IV Percentile4.1%0.0%10.3%8.3%2.8%
Term Structure0.1%-0.4%0.6%0.1%0.2%
VWIV6.6%5.2%10.8%6.6%6.6%
Skew 25d2.2%1.4%3.0%2.4%2.6%
Skew 10d5.5%3.9%8.0%3.9%7.1%
Call IV 25d4.2%3.3%5.1%5.1%3.4%
Put IV 25d6.4%5.6%7.5%7.5%6.0%
Bid-Ask Spread %26.1311.4165.8544.3111.41
Gamma HHI0.160.140.190.180.16
Net GEX-1.03B-1.54B-524.6M-1.54B-1.02B
Net DEX1.87B1.08B2.57B2.53B1.87B
Net VEX-15.8M-18.5M-12.8M-18.5M-17.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.701.6520.071.7120.07
Total Volume149,031.61966,719358,181110,951183,479
Total OI4,832,803.4763,861,2245,770,4045,247,2024,321,291

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$87.03$88.005.8%1.5%5.5%5.0%6.6%2.4%0.1%-1.54B2.53B-18.5M1.7144.3140,94970,002760,7274,486,475
2021-04-05$87.08$87.006.0%1.5%5.4%6.4%6.8%2.2%-0.1%-1.33B2.47B-18.5M1.7056.8142,48972,374785,3534,446,752
2021-04-06$87.22$87.005.4%1.5%4.5%4.3%6.6%2.1%0.1%-1.21B1.75B-15.5M2.4622.6031,49177,320810,9494,489,567
2021-04-07$87.26$87.004.4%1.5%4.5%0.7%6.1%1.4%-0.3%-1.24B1.89B-16.7M2.4640.7971,636176,315827,2244,560,469
2021-04-08$87.26$87.004.6%1.4%4.3%1.6%7.4%2.3%0.2%-924.5M1.83B-16.7M4.9165.8516,14579,349871,1274,584,845
2021-04-09$87.17$87.005.2%1.4%4.3%4.6%6.9%1.9%-0.0%-1.14B2.22B-16.7M11.6820.6012,636147,558881,8474,611,044
2021-04-12$87.10$87.005.2%1.5%4.2%4.5%10.8%2.1%-0.4%-1.30B2.28B-15.2M11.5914.938,38997,261882,8984,621,458
2021-04-13$87.14$87.005.2%1.5%4.2%4.6%8.3%2.1%-0.1%-1.04B1.95B-14.0M2.1343.5965,045138,814890,1454,677,479
2021-04-14$87.12$87.005.3%1.5%4.1%4.8%6.3%2.3%0.1%-1.08B2.57B-16.2M8.2014.0114,513118,948921,4294,715,233
2021-04-15$87.47$87.004.7%1.4%4.2%2.2%5.7%2.4%0.5%-524.6M1.32B-14.5M2.5232.0338,81697,716927,3084,765,952
2021-04-16$87.33$87.004.7%1.4%3.0%2.1%5.7%2.1%0.6%-786.9M1.77B-17.1M1.6523.9054,99290,809945,5014,824,903
2021-04-19$87.16$87.005.3%1.5%2.9%4.7%6.6%2.4%0.1%-680.9M1.08B-12.8M11.2219.9329,314328,867654,0823,207,142
2021-04-20$87.02$87.005.3%1.5%2.9%5.1%6.3%2.5%0.2%-1.24B2.00B-16.0M2.7619.3962,143171,227662,2793,411,157
2021-04-21$87.23$87.005.3%1.5%2.9%4.8%6.1%2.1%-0.1%-755.9M1.29B-13.5M4.7116.6511,67555,044656,9523,461,916
2021-04-22$87.20$87.505.4%1.6%2.9%5.9%5.2%2.2%-0.2%-872.0M1.69B-15.3M7.5815.838,16561,881669,2013,368,241
2021-04-23$87.34$87.504.3%1.2%2.9%0.2%6.7%1.6%0.4%-1.03B1.64B-15.5M18.1517.643,59665,271670,0463,402,033
2021-04-26$87.33$87.504.5%1.3%2.8%1.4%6.0%2.1%0.3%-963.7M2.05B-16.2M2.5414.8226,31066,896664,0933,436,321
2021-04-27$87.28$87.504.8%1.3%2.8%3.3%6.2%3.0%0.2%-1.11B1.84B-16.2M10.0617.2523,450235,897683,3283,461,524
2021-04-28$87.40$87.504.2%1.1%2.7%0.0%6.2%2.2%0.0%-877.8M1.72B-15.3M7.6424.9913,217100,991691,4673,500,460
2021-04-29$87.45$87.504.3%1.1%2.4%1.1%5.3%2.4%-0.1%-867.4M1.60B-15.0M4.9111.5020,08298,592693,7083,584,947
2021-04-30$87.42$87.504.6%1.2%2.3%2.3%6.6%2.6%0.2%-1.02B1.87B-17.2M20.0711.418,707174,772699,5383,621,753