HYG Options History — May 2021

In May 2021, HYG traded between $86.62 and $87.31. ATM implied volatility averaged 5.0%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 2.0% (HV 20d: 2.9%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 4.74.

Notable Days

  • 2021-05-19: Highest Volume — 517,230 contracts
  • 2021-05-25: Largest IV spike — 32.9% change
  • 2021-05-12: Highest IV Rank — 19.8%
  • 2021-05-12: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.10$86.62$87.31$87.24$87.27
Max Pain$87.25$87.00$88.00$88.00$88.00
ATM IV5.0%3.0%6.9%5.4%3.2%
Expected Move1.4%0.6%1.7%1.5%0.6%
HV 20d2.9%2.4%3.5%2.4%3.5%
HV 60d4.2%3.9%4.5%4.2%3.9%
IV Rank7.4%0.0%19.8%7.5%1.0%
IV Percentile9.6%0.0%30.2%12.7%0.4%
Term Structure0.1%-1.3%1.3%0.0%1.3%
VWIV6.5%3.6%9.4%4.8%3.6%
Skew 25d2.5%1.3%3.8%2.6%1.5%
Skew 10d5.7%2.4%8.5%5.4%2.7%
Call IV 25d4.2%3.3%5.2%4.3%3.3%
Put IV 25d6.7%4.7%8.9%7.0%4.7%
Bid-Ask Spread %12.946.9733.368.0933.36
Gamma HHI0.180.150.220.170.22
Net GEX-1.47B-2.77B-642.1M-1.11B-642.1M
Net DEX3.03B1.80B6.21B1.99B1.80B
Net VEX-16.8M-21.1M-11.9M-15.9M-11.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.741.2214.415.121.97
Total Volume203,302.1563,477517,230183,60087,319
Total OI5,097,205.74,439,9446,122,4404,439,9444,787,790

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$87.24$88.005.4%1.5%2.4%7.5%4.8%2.6%0.0%-1.11B1.99B-15.9M5.128.0929,999153,601674,6343,765,310
2021-05-04$87.12$88.005.8%1.6%2.4%9.5%5.5%3.2%-0.1%-1.30B2.53B-16.5M4.729.1128,381134,099691,2773,843,836
2021-05-05$87.24$88.005.5%1.4%2.5%8.1%7.0%3.6%-0.1%-1.34B2.22B-16.7M6.308.7038,946245,340705,8373,845,997
2021-05-06$87.20$87.005.3%1.5%2.5%7.7%6.8%2.9%0.0%-1.05B1.80B-14.1M6.459.6923,055148,743740,0053,991,498
2021-05-07$87.31$87.004.0%1.4%2.5%0.0%9.4%2.4%-0.0%-1.17B2.11B-18.6M6.059.4727,405165,858767,9534,138,605
2021-05-10$87.23$87.005.1%1.5%2.5%7.4%6.3%2.3%0.2%-1.44B2.44B-16.6M3.037.2415,73847,739786,1044,192,714
2021-05-11$87.03$87.005.7%1.7%2.6%11.8%7.5%2.8%0.1%-1.51B2.89B-15.8M9.356.9739,849372,390799,5914,218,068
2021-05-12$86.69$87.006.9%1.7%3.0%19.8%8.4%3.8%-0.9%-1.85B4.78B-20.1M5.9111.4024,321143,829834,5794,402,388
2021-05-13$86.91$87.005.9%1.7%2.7%13.3%8.7%3.3%0.0%-2.05B4.22B-20.7M8.529.9134,694295,653871,3234,543,193
2021-05-14$87.16$87.005.2%1.5%2.9%8.1%7.0%2.3%-0.1%-1.66B2.45B-16.4M2.6812.3755,938149,854903,1184,709,836
2021-05-17$87.06$87.005.4%1.5%2.8%9.5%5.6%2.4%0.1%-2.00B3.10B-16.0M2.938.6350,621148,150921,2694,694,712
2021-05-18$86.98$87.005.3%1.5%2.8%9.1%8.3%2.5%-0.1%-2.12B3.89B-18.5M2.1016.5872,353151,804936,3294,794,393
2021-05-19$86.62$87.005.5%1.6%3.0%10.2%6.8%3.0%0.5%-2.77B6.21B-21.1M2.9910.45129,670387,560963,1084,840,370
2021-05-20$86.97$87.005.2%1.5%3.4%8.2%6.8%2.2%-0.2%-2.06B4.66B-20.4M2.5815.4651,028131,5331,011,1285,002,173
2021-05-21$87.01$87.004.4%1.3%3.3%2.7%6.1%1.9%0.2%-1.75B3.79B-16.1M2.5829.7662,049160,1271,041,1435,081,297
2021-05-24$87.26$87.003.5%0.9%3.5%0.0%4.6%1.9%0.4%-930.2M2.15B-15.4M2.5914.9040,128103,940763,0143,740,519
2021-05-25$87.19$87.004.6%1.2%3.5%7.7%5.4%2.1%0.3%-1.01B2.63B-15.2M3.3312.1430,709102,290775,2533,791,342
2021-05-26$87.22$87.004.3%1.1%3.5%5.6%6.1%1.3%-1.3%-910.2M2.50B-13.9M1.2212.4233,50240,886820,8543,843,064
2021-05-27$87.26$88.003.0%0.8%3.5%0.0%5.7%1.3%1.2%-774.1M2.42B-15.2M14.4112.116,938100,004846,1533,864,337
2021-05-28$87.27$88.003.2%0.6%3.5%1.0%3.6%1.5%1.3%-642.1M1.80B-11.9M1.9733.3629,44757,872851,3913,936,399