HYG Options History — September 2021

In September 2021, HYG traded between $87.45 and $88.12. ATM implied volatility averaged 3.9%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 1.4% (HV 20d: 2.6%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.95.

Notable Days

  • 2021-09-14: Highest Volume — 404,340 contracts
  • 2021-09-28: Largest IV spike — 119.0% change
  • 2021-09-20: Highest IV Rank — 25.6%
  • 2021-09-20: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.88$87.45$88.12$87.88$87.56
Max Pain$91.86$88.00$95.00$92.00$95.00
ATM IV3.9%2.1%5.6%3.5%4.6%
Expected Move1.1%0.6%1.7%0.8%1.3%
HV 20d2.6%2.1%2.8%2.8%2.7%
HV 60d3.2%3.2%3.4%3.2%3.4%
IV Rank11.7%0.0%25.6%7.3%21.2%
IV Percentile15.7%0.0%48.8%6.3%29.8%
Term Structure0.1%-0.9%1.2%0.1%0.0%
VWIV6.1%4.3%7.4%4.5%6.9%
Skew 25d2.7%1.2%4.9%2.3%2.5%
Skew 10d5.5%3.1%8.5%4.3%4.9%
Call IV 25d3.0%2.0%3.8%2.7%3.6%
Put IV 25d5.7%3.7%8.5%5.0%6.2%
Bid-Ask Spread %20.796.7367.3410.4117.18
Gamma HHI0.230.170.620.180.17
Net GEX-917.6M-2.92B4.09B-1.53B-2.92B
Net DEX3.00B1.85B4.34B2.58B4.34B
Net VEX-14.1M-19.0M-10.3M-15.7M-15.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.950.8561.748.594.04
Total Volume187,168.85758,651404,340246,551256,864
Total OI5,353,166.7143,809,0436,236,0815,838,3874,823,502

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$87.88$92.003.5%0.8%2.8%7.3%4.5%2.3%0.1%-1.53B2.58B-15.7M8.5910.4125,722220,829615,4495,222,938
2021-09-02$87.97$88.004.0%1.1%2.7%11.4%7.3%3.1%-0.0%-1.35B3.59B-19.0M6.2725.1129,013181,914594,5535,165,573
2021-09-03$88.01$88.004.0%1.2%2.7%11.3%7.0%3.5%0.1%-1000.0M3.14B-17.9M11.6635.8812,460145,317614,5785,217,426
2021-09-07$87.81$88.004.0%1.1%2.8%11.2%7.4%2.6%-0.1%-1.45B2.85B-12.9M61.7428.161,645101,566638,6725,228,182
2021-09-08$87.88$88.004.0%1.2%2.6%11.3%6.9%2.2%0.3%-1.28B3.78B-17.5M4.4118.9010,83947,812647,4145,297,222
2021-09-09$87.94$88.004.1%1.2%2.5%12.6%7.2%2.9%0.1%-1.26B3.78B-18.0M0.8518.8443,93837,267651,2135,387,030
2021-09-10$87.84$88.004.0%1.1%2.6%11.4%6.3%2.9%-0.3%-1.39B3.31B-15.0M3.0046.7635,919107,884651,3955,384,282
2021-09-13$88.01$88.003.6%1.0%2.6%8.1%6.4%2.0%-0.1%-1.02B3.06B-14.4M2.9967.3430,44790,991656,5555,353,461
2021-09-14$88.01$88.004.8%1.4%2.6%18.4%6.5%4.9%-0.9%-544.9M3.30B-15.1M3.1820.5396,791307,549675,6295,414,502
2021-09-15$88.12$88.003.9%1.1%2.5%10.5%6.4%2.7%0.4%194.5M2.51B-15.1M1.4317.7461,24987,328684,2615,426,168
2021-09-16$88.10$95.004.1%1.1%2.4%12.5%7.0%2.7%1.2%172.0M2.23B-14.5M8.7813.0512,860112,924687,4235,519,364
2021-09-17$88.01$95.004.3%1.2%2.4%14.0%4.3%2.5%0.6%4.09B1.85B-10.9M3.6732.0380,718296,560698,5645,537,517
2021-09-20$87.74$95.005.6%1.7%2.7%25.6%6.5%3.8%0.0%-1.17B2.19B-11.6M6.6414.5335,141233,293475,8423,333,201
2021-09-21$87.84$95.003.7%1.1%2.5%8.9%6.0%2.9%0.0%-834.7M2.23B-12.3M6.5812.4320,404134,348511,7223,562,543
2021-09-22$87.97$95.003.1%0.9%2.5%2.9%5.5%2.4%0.1%-929.2M2.42B-11.8M7.5011.4814,610109,502554,9093,890,780
2021-09-23$88.01$95.003.3%0.9%2.4%4.9%5.1%2.1%-0.1%-562.4M2.34B-11.4M10.9410.917,92686,671563,9763,980,074
2021-09-24$87.91$95.002.4%0.8%2.4%0.0%4.7%1.2%0.1%-179.7M2.65B-12.3M1.9211.15138,110264,778575,6004,054,231
2021-09-27$87.87$95.002.1%0.6%2.1%0.0%4.7%2.5%-0.2%-1.02B2.92B-10.3M3.4410.1035,535122,160548,1404,024,674
2021-09-28$87.45$95.004.6%1.4%2.6%21.2%5.4%3.1%-0.2%-2.54B4.11B-13.0M4.736.7337,272176,154593,4024,138,641
2021-09-29$87.62$95.004.6%1.3%2.8%21.1%5.3%2.3%-0.0%-2.74B3.83B-12.7M4.577.3614,03864,198609,2054,206,688
2021-09-30$87.56$95.004.6%1.3%2.7%21.2%6.9%2.5%0.0%-2.92B4.34B-15.3M4.0417.1850,947205,917603,8384,219,664