HYG Options History — August 2021

In August 2021, HYG traded between $87.01 and $88.06. ATM implied volatility averaged 4.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.0% (HV 20d: 3.7%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 7.44.

Notable Days

  • 2021-08-31: Highest Volume — 485,507 contracts
  • 2021-08-04: Largest IV spike — 65.8% change
  • 2021-08-04: Highest IV Rank — 54.5%
  • 2021-08-05: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.46$87.01$88.06$87.42$88.01
Max Pain$89.68$88.00$95.00$95.00$91.00
ATM IV4.7%3.0%8.8%6.2%3.0%
Expected Move1.3%0.8%1.5%1.4%0.8%
HV 20d3.7%2.7%4.6%4.5%2.8%
HV 60d3.2%3.0%3.4%3.4%3.2%
IV Rank17.9%2.6%54.5%30.8%2.6%
IV Percentile22.2%1.2%76.6%43.3%1.2%
Term Structure0.1%-1.0%1.2%-0.2%0.1%
VWIV6.2%4.0%8.5%6.7%4.4%
Skew 25d2.2%1.6%3.0%2.1%1.6%
Skew 10d4.8%2.6%6.6%4.8%3.2%
Call IV 25d3.9%2.6%6.4%6.4%2.6%
Put IV 25d6.1%4.1%8.5%8.5%4.1%
Bid-Ask Spread %26.5911.4056.1811.4015.46
Gamma HHI0.190.160.290.180.29
Net GEX-2.62B-4.06B-38.2M-2.16B-38.2M
Net DEX4.47B2.43B5.81B4.05B2.43B
Net VEX-18.8M-22.6M-13.2M-20.2M-13.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.442.0519.525.675.71
Total Volume200,142.77342,070485,507165,225485,507
Total OI6,085,945.0455,295,7766,854,1935,763,6655,818,681

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$87.42$95.006.2%1.4%4.5%30.8%6.7%2.1%-0.2%-2.16B4.05B-20.2M5.6711.4024,771140,454578,5375,185,128
2021-08-03$87.44$95.005.3%1.2%4.5%23.2%4.5%2.6%-0.2%-2.37B3.84B-17.1M2.8636.9210,90031,170590,3935,297,103
2021-08-04$87.31$95.008.8%1.2%4.5%54.5%5.8%1.6%-0.3%-3.19B5.29B-22.6M9.4649.6615,649148,108604,1915,396,060
2021-08-05$87.44$88.004.5%1.5%4.5%15.4%7.0%2.0%1.0%-3.10B5.09B-22.4M19.5231.709,423183,924614,9855,459,246
2021-08-06$87.38$88.005.0%1.4%4.4%20.2%5.4%2.2%-0.9%-2.85B4.17B-16.4M12.3124.7111,853145,859626,0475,513,305
2021-08-09$87.24$88.006.0%1.4%4.4%29.3%6.1%2.7%-1.0%-3.05B4.66B-17.5M2.1922.2833,15572,578617,2155,491,610
2021-08-10$87.01$88.004.7%1.4%4.5%17.1%6.6%1.7%-0.0%-4.00B5.81B-19.5M2.0523.0586,930178,024628,1085,586,469
2021-08-11$87.12$88.004.7%1.4%4.5%17.9%6.9%1.8%-0.0%-3.83B5.67B-20.1M9.4321.2326,367248,588655,7575,630,606
2021-08-12$87.26$88.004.0%1.3%4.6%11.0%6.1%2.0%0.4%-3.35B5.10B-19.7M15.9917.2611,694186,935698,6605,670,427
2021-08-13$87.44$88.004.0%1.4%4.6%11.2%6.5%2.4%1.2%-2.79B4.39B-18.1M2.5613.1443,643111,515701,1745,787,172
2021-08-16$87.47$88.004.6%1.4%3.7%16.7%7.4%2.4%-0.6%-2.76B4.73B-18.9M2.2923.5376,154174,308697,2305,913,853
2021-08-17$87.33$88.004.9%1.4%3.0%18.9%6.7%1.9%-0.5%-3.71B4.24B-15.3M2.8434.7553,150151,194700,6805,895,816
2021-08-18$87.20$88.005.1%1.5%3.0%21.0%8.5%2.6%0.3%-3.91B5.37B-19.6M5.4819.1328,080153,928714,6475,920,119
2021-08-19$87.13$88.005.1%1.4%2.9%21.2%7.6%2.5%0.5%-4.06B5.67B-20.0M17.8619.116,131109,525722,6726,010,498
2021-08-20$87.27$89.004.7%1.4%2.9%17.1%5.9%2.4%0.0%-3.50B5.56B-20.8M3.1538.7026,47083,484747,9226,106,271
2021-08-23$87.53$89.004.5%1.3%3.1%15.8%7.3%2.3%0.7%-2.55B3.41B-17.5M4.9715.7627,350136,064538,2144,757,562
2021-08-24$87.67$89.004.1%1.3%3.1%12.2%6.4%1.6%-0.4%-1.60B4.16B-20.7M6.2421.6742,700266,323557,8474,802,768
2021-08-25$87.81$89.003.2%1.1%3.2%3.9%5.5%2.2%0.7%-1.14B4.39B-21.5M6.0817.5941,081249,705576,6424,842,304
2021-08-26$87.67$90.004.8%1.3%3.1%18.9%5.7%2.4%-0.6%-1.92B3.74B-18.7M5.5417.6117,38196,361611,2125,019,134
2021-08-27$87.95$91.003.7%1.3%3.3%8.9%4.0%2.1%0.4%-1.13B4.10B-20.4M5.3554.0652,709282,211636,2785,179,784
2021-08-30$88.06$92.003.4%1.0%2.7%5.7%4.8%3.0%0.8%-719.4M2.49B-13.9M16.1956.187,085114,700618,5425,169,922
2021-08-31$88.01$91.003.0%0.8%2.8%2.6%4.4%1.6%0.1%-38.2M2.43B-13.2M5.7115.4672,360413,147640,9185,177,763