HYG Options History — July 2021

In July 2021, HYG traded between $86.99 and $88.06. ATM implied volatility averaged 4.1%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 1.3% (HV 20d: 2.8%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 9.25.

Notable Days

  • 2021-07-13: Highest Volume — 733,090 contracts
  • 2021-07-19: Largest IV spike — 52.1% change
  • 2021-07-19: Highest IV Rank — 34.6%
  • 2021-07-19: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.80$86.99$88.06$87.88$87.87
Max Pain$91.29$87.00$95.00$95.00$95.00
ATM IV4.1%3.2%6.6%3.6%3.5%
Expected Move1.2%0.9%1.9%0.9%1.0%
HV 20d2.8%1.5%4.2%1.5%4.2%
HV 60d2.9%2.5%3.2%2.6%3.2%
IV Rank12.2%3.9%34.6%8.2%7.0%
IV Percentile10.0%2.4%42.5%3.2%4.4%
Term Structure0.2%-0.8%1.5%-0.1%0.5%
VWIV6.1%3.1%8.6%4.2%6.2%
Skew 25d2.2%1.4%4.1%2.0%1.9%
Skew 10d4.5%2.7%9.3%4.0%6.5%
Call IV 25d3.7%2.9%5.3%3.1%3.7%
Put IV 25d5.8%4.9%9.4%5.0%5.6%
Bid-Ask Spread %31.9212.9471.9812.9433.30
Gamma HHI0.170.150.190.190.18
Net GEX-1.75B-2.35B-851.9M-851.9M-1.54B
Net DEX3.82B2.22B5.49B2.22B3.84B
Net VEX-17.3M-23.9M-11.5M-11.5M-17.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.251.1237.177.884.13
Total Volume243,656.38160,521733,090356,833229,682
Total OI5,319,427.6194,404,5995,945,8384,404,5995,871,776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$87.88$95.003.6%0.9%1.5%8.2%4.2%2.0%-0.1%-851.9M2.22B-11.5M7.8812.9440,166316,667444,1833,960,416
2021-07-02$88.06$95.003.6%0.9%1.5%8.1%3.6%2.0%0.2%-1.21B2.40B-12.1M37.1721.944,231157,287458,0384,125,457
2021-07-06$88.06$88.004.0%1.2%1.5%11.6%7.3%1.4%-0.1%-1.12B2.76B-14.6M8.0923.4445,154365,214461,0344,169,981
2021-07-07$88.03$87.003.9%1.2%1.5%10.5%6.8%1.8%-0.0%-1.43B2.86B-14.0M21.7222.4810,601230,235474,2534,407,312
2021-07-08$87.83$88.004.6%1.3%1.8%17.0%7.5%2.5%0.2%-1.57B2.98B-13.0M6.2328.5920,830129,739483,7194,557,143
2021-07-09$87.97$88.004.1%1.3%1.8%12.1%5.7%2.0%0.0%-1.45B3.82B-18.6M1.1241.0360,26167,399496,3724,633,117
2021-07-12$87.94$88.004.1%1.2%1.8%11.9%6.5%1.7%0.1%-1.46B3.98B-17.9M6.0428.6434,597209,039535,4714,676,061
2021-07-13$87.81$88.004.0%1.2%1.9%11.5%7.6%2.4%-0.0%-1.92B3.66B-14.7M6.5823.3396,765636,325542,6584,797,444
2021-07-14$87.83$88.003.6%1.1%1.9%8.0%5.5%1.9%0.3%-2.19B3.89B-15.4M16.6840.087,893131,634571,2385,234,257
2021-07-15$87.81$88.003.5%1.1%1.8%6.7%6.4%2.0%0.4%-1.95B4.85B-19.2M6.0026.628,64851,873605,4605,340,378
2021-07-16$87.67$88.004.3%1.1%1.9%14.4%6.9%1.7%-0.8%-2.13B4.54B-17.2M3.5771.9841,211147,209597,4845,332,331
2021-07-19$86.99$88.006.6%1.9%3.4%34.6%8.6%4.1%-0.1%-2.21B5.49B-21.8M8.2770.5553,435441,883472,5544,182,199
2021-07-20$87.51$88.004.9%1.4%4.0%19.2%8.0%2.5%-0.0%-2.35B5.18B-23.9M10.2429.1820,303207,959527,0854,570,729
2021-07-21$87.65$95.004.5%1.3%4.0%15.5%5.0%2.1%0.6%-2.33B3.89B-19.5M4.7336.5359,898283,595560,0684,665,482
2021-07-22$87.77$95.003.2%0.9%4.0%3.9%6.3%1.9%-0.1%-1.97B3.76B-17.9M7.8716.3629,312230,730596,3504,829,910
2021-07-23$87.95$95.003.5%1.0%4.1%6.9%5.8%1.9%0.2%-1.66B3.44B-18.3M7.8814.8018,199143,360611,9375,000,563
2021-07-26$87.83$95.003.8%1.1%4.1%9.7%6.9%2.3%0.6%-1.67B3.85B-17.2M17.0824.0110,168173,689601,8134,950,662
2021-07-27$87.70$95.005.4%1.3%4.1%23.5%5.8%2.6%0.3%-2.31B4.56B-20.9M2.7934.7033,82594,404613,3155,077,204
2021-07-28$87.78$95.003.5%1.6%4.1%7.1%3.1%3.5%0.9%-2.12B4.39B-18.9M5.5141.999,92454,704626,8525,199,921
2021-07-29$87.94$95.003.8%0.9%4.2%9.1%4.9%1.7%1.5%-1.34B3.92B-18.9M4.7027.7636,634172,102656,1775,189,576
2021-07-30$87.87$95.003.5%1.0%4.2%7.0%6.2%1.9%0.5%-1.54B3.84B-17.9M4.1333.3044,813184,869656,7125,215,064