HYG Options History — June 2021

In June 2021, HYG traded between $87.09 and $88.01. ATM implied volatility averaged 4.1%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 1.5% (HV 20d: 2.6%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 6.87.

Notable Days

  • 2021-06-14: Highest Volume — 467,287 contracts
  • 2021-06-16: Largest IV spike — 37.0% change
  • 2021-06-18: Highest IV Rank — 17.3%
  • 2021-06-18: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.54$87.09$88.01$87.09$88.01
Max Pain$90.09$87.00$95.00$88.00$95.00
ATM IV4.1%2.7%5.4%5.3%3.0%
Expected Move1.2%0.6%1.6%1.3%0.6%
HV 20d2.6%1.4%3.5%3.5%1.4%
HV 60d3.0%2.6%3.9%3.9%2.6%
IV Rank7.7%0.0%17.3%14.6%2.4%
IV Percentile5.7%0.0%21.8%13.1%1.6%
Term Structure0.1%-0.9%0.8%-0.1%0.1%
VWIV5.8%3.3%8.5%5.0%3.3%
Skew 25d2.2%1.2%3.4%3.4%2.3%
Skew 10d4.6%0.2%9.4%0.2%3.5%
Call IV 25d3.6%2.4%4.5%3.4%3.2%
Put IV 25d5.8%4.5%6.9%6.8%5.5%
Bid-Ask Spread %35.7512.3768.7248.9128.36
Gamma HHI0.170.140.240.170.24
Net GEX-741.3M-1.29B-157.5M-1.04B-299.0M
Net DEX2.03B1.04B3.26B2.74B1.95B
Net VEX-16.1M-20.0M-12.7M-17.4M-16.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.870.9020.883.080.90
Total Volume214,397.59139,023467,287109,033354,085
Total OI5,002,855.3184,000,4566,267,9204,723,7724,444,633

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$87.09$88.005.3%1.3%3.5%14.6%5.0%3.4%-0.1%-1.04B2.74B-17.4M3.0848.9126,73082,303793,7243,930,048
2021-06-02$87.22$88.004.7%1.4%3.5%11.1%4.7%1.3%0.4%-903.5M2.17B-15.7M11.6616.0223,604275,145815,2073,991,121
2021-06-03$87.10$87.005.3%1.5%3.5%14.6%8.0%2.6%-0.1%-1.22B3.26B-20.0M10.8246.3520,565222,510829,7654,159,481
2021-06-04$87.23$87.004.8%1.4%3.5%11.4%5.9%2.4%-0.1%-1.01B2.39B-16.6M16.4244.714,62375,898842,8364,307,490
2021-06-07$87.31$87.004.0%1.4%3.5%6.4%6.4%2.0%0.8%-929.1M2.18B-16.8M1.0712.4318,88220,141845,4934,298,298
2021-06-08$87.37$87.003.9%1.3%3.5%5.7%5.3%2.0%0.8%-571.3M1.65B-14.4M1.7112.3778,099133,678856,7174,304,571
2021-06-09$87.44$87.004.1%1.4%3.4%7.1%5.3%2.1%0.7%-566.1M1.22B-13.2M20.8814.8210,239213,831878,9244,389,333
2021-06-10$87.58$87.003.7%0.9%3.0%4.7%6.4%1.5%-0.6%-282.9M1.04B-13.2M2.3217.3139,16690,813879,0084,493,566
2021-06-11$87.60$87.003.9%1.0%2.9%5.6%5.2%1.8%-0.4%-369.9M1.04B-13.1M6.4214.6015,24797,960899,1414,546,210
2021-06-14$87.53$87.004.8%1.3%2.8%11.7%7.3%2.4%0.2%-767.0M2.10B-18.3M12.6963.8934,127433,160913,7144,604,630
2021-06-15$87.55$87.003.9%1.1%2.8%5.8%8.5%3.0%0.7%-968.6M1.90B-15.3M5.8015.4042,239245,055925,8924,900,197
2021-06-16$87.42$87.005.3%1.5%2.8%15.5%7.4%2.6%-0.8%-1.14B2.66B-17.3M3.0818.1695,708294,947946,8295,027,075
2021-06-17$87.47$88.004.8%1.4%2.3%11.9%5.5%2.5%-0.6%-899.7M1.53B-12.7M8.1246.2027,841226,124964,1665,123,653
2021-06-18$87.42$88.005.4%1.6%1.9%17.3%7.2%2.7%-0.9%-1.29B2.35B-16.5M5.7641.2254,175312,260974,1215,293,799
2021-06-21$87.56$95.004.4%1.3%1.9%9.9%7.2%2.0%0.3%-1.27B2.07B-16.7M4.5532.8639,791181,117557,8973,442,559
2021-06-22$87.65$95.003.7%1.1%1.7%4.9%5.7%1.8%0.4%-742.7M2.46B-17.3M9.4743.4617,223163,115590,8363,528,764
2021-06-23$87.69$95.003.7%1.1%1.7%5.2%6.0%1.7%0.3%-737.7M2.79B-19.8M3.2150.5356,433181,171611,5533,625,178
2021-06-24$87.83$95.003.1%0.9%1.7%0.3%4.3%1.2%0.3%-157.5M1.97B-16.7M4.2568.7221,97993,430616,6183,680,532
2021-06-25$87.90$95.002.7%0.8%1.7%0.0%4.7%2.8%0.6%-316.3M1.43B-14.6M9.3261.0312,389115,449633,8933,761,048
2021-06-28$87.92$95.003.0%0.8%1.7%1.8%3.8%2.4%-0.1%-592.2M1.59B-14.7M7.3626.158,96765,956618,2133,780,820
2021-06-29$87.98$95.003.0%0.8%1.5%1.8%3.7%2.0%0.1%-240.1M2.26B-17.4M2.1663.0460,333130,239616,8033,818,461
2021-06-30$88.01$95.003.0%0.6%1.4%2.4%3.3%2.3%0.1%-299.0M1.95B-16.3M0.9028.36186,465167,620588,8403,855,793