HYG Options History — October 2021

In October 2021, HYG traded between $86.52 and $87.40. ATM implied volatility averaged 4.8%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.4% (HV 20d: 3.4%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 11.07.

Notable Days

  • 2021-10-06: Highest Volume — 584,687 contracts
  • 2021-10-21: Largest IV spike — 29.6% change
  • 2021-10-05: Highest IV Rank — 33.3%
  • 2021-10-04: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.03$86.52$87.40$87.40$86.97
Max Pain$92.10$88.00$95.00$95.00$95.00
ATM IV4.8%3.5%6.0%4.8%4.5%
Expected Move1.3%1.0%1.7%1.4%1.1%
HV 20d3.4%2.8%3.9%2.8%3.5%
HV 60d3.2%2.9%3.5%3.4%3.0%
IV Rank22.6%11.7%33.3%22.5%20.7%
IV Percentile34.0%6.3%59.5%34.1%30.2%
Term Structure0.2%-1.0%1.4%0.0%0.9%
VWIV6.2%4.7%8.6%5.0%5.0%
Skew 25d2.5%1.1%4.4%3.0%1.7%
Skew 10d5.2%2.8%7.2%6.5%5.0%
Call IV 25d4.0%3.1%5.8%3.9%4.0%
Put IV 25d6.5%5.1%8.7%6.9%5.7%
Bid-Ask Spread %17.708.0739.1314.838.66
Gamma HHI0.220.160.300.160.24
Net GEX-2.67B-3.35B-1.62B-2.12B-3.35B
Net DEX4.92B2.53B7.24B3.67B5.97B
Net VEX-15.6M-19.3M-11.4M-12.0M-19.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.071.3347.496.184.89
Total Volume296,511.381105,900584,687253,715299,769
Total OI4,919,214.3333,916,9555,708,2274,817,9024,951,848

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$87.40$95.004.8%1.4%2.8%22.5%5.0%3.0%0.0%-2.12B3.67B-12.0M6.1814.8335,346218,369601,5444,216,358
2021-10-04$87.13$88.006.0%1.7%2.9%33.3%5.9%4.4%0.9%-2.25B4.85B-14.9M4.5613.1219,04086,860595,2254,255,406
2021-10-05$87.06$88.006.0%1.5%2.8%33.3%6.3%3.9%0.0%-2.64B5.18B-15.0M2.9011.6343,930127,530623,5554,440,366
2021-10-06$86.98$88.005.2%1.5%2.8%26.3%6.8%1.1%0.4%-2.77B5.46B-14.9M37.3716.8615,238569,449619,5204,370,131
2021-10-07$87.06$88.004.8%1.5%2.8%23.2%7.2%2.5%0.0%-2.59B4.99B-14.7M23.9239.1318,991454,192649,8444,424,035
2021-10-08$86.78$88.004.4%1.4%3.0%19.8%6.7%2.4%0.0%-2.93B6.07B-15.7M3.3019.4884,422278,727659,0734,578,707
2021-10-11$86.52$88.005.4%1.4%2.9%28.2%6.5%3.0%-0.8%-3.14B7.24B-15.4M8.4011.1018,931159,047671,6964,781,396
2021-10-12$86.63$88.005.6%1.4%3.0%29.4%6.2%3.8%-1.0%-3.35B6.68B-15.1M1.3322.2599,855133,280669,5664,828,015
2021-10-13$86.83$88.005.0%1.5%3.1%24.6%6.9%3.8%0.4%-3.35B5.74B-14.5M5.679.3346,925266,148694,8474,887,292
2021-10-14$87.33$90.004.6%1.6%3.9%21.0%8.6%3.5%1.2%-2.43B4.03B-15.4M13.5713.3612,119164,509698,6354,919,878
2021-10-15$87.17$95.004.8%1.4%3.9%23.0%7.6%2.7%0.5%-2.61B3.99B-14.4M30.868.078,674267,689713,9324,994,295
2021-10-18$87.16$95.004.8%1.4%3.8%22.9%5.2%2.2%0.2%-1.62B2.98B-13.4M1.9123.1937,22671,134488,9733,427,982
2021-10-19$87.24$95.004.5%1.3%3.8%20.6%6.3%1.8%0.1%-1.77B2.53B-11.4M47.4924.543,357159,421495,2463,549,898
2021-10-20$87.27$95.003.5%1.0%3.7%11.7%6.3%1.6%0.2%-2.16B3.44B-14.8M6.3128.3674,992473,044528,0993,730,645
2021-10-21$87.01$95.004.5%1.3%3.8%20.4%4.7%1.8%-0.1%-2.58B3.98B-16.4M4.1325.8876,589316,590541,5534,000,353
2021-10-22$86.87$95.004.2%1.2%3.8%18.0%4.9%1.8%-0.1%-2.92B5.25B-18.0M5.2521.9147,877251,435551,8254,104,665
2021-10-25$87.02$95.004.3%1.2%3.9%19.1%6.5%1.8%0.4%-2.93B5.54B-19.3M3.9524.2242,260166,753562,1964,164,806
2021-10-26$87.05$95.004.4%1.2%3.6%19.7%5.2%1.9%-0.2%-2.67B4.81B-16.8M6.4215.3237,491240,636562,8374,157,005
2021-10-27$87.01$95.004.3%1.2%3.5%18.6%5.2%1.9%1.4%-3.03B5.55B-18.6M3.899.3360,054233,708560,1974,180,008
2021-10-28$87.11$95.004.2%1.2%3.5%17.7%6.4%1.8%-0.6%-2.87B5.31B-17.7M10.1411.2345,338459,794575,4564,276,593
2021-10-29$86.97$95.004.5%1.1%3.5%20.7%5.0%1.7%0.9%-3.35B5.97B-19.3M4.898.6650,929248,840583,3374,368,511