HYG Options History — November 2021

In November 2021, HYG traded between $85.59 and $87.50. ATM implied volatility averaged 5.4%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.5% (HV 20d: 3.9%). 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 8 of 21 days. Put/call ratio averaged 4.29.

Notable Days

  • 2021-11-04: Highest Volume — 821,764 contracts
  • 2021-11-26: Largest IV spike — 66.4% change
  • 2021-11-26: Highest IV Rank — 99.6%
  • 2021-11-30: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.65$85.59$87.50$86.57$85.70
Max Pain$91.90$87.00$95.00$95.00$95.00
ATM IV5.4%4.1%9.3%6.1%8.2%
Expected Move1.5%1.2%2.3%1.5%2.3%
HV 20d3.9%3.6%4.6%3.7%4.5%
HV 60d3.3%3.1%3.7%3.1%3.7%
IV Rank41.0%22.2%99.6%34.8%85.2%
IV Percentile50.4%19.4%99.6%67.5%96.0%
Term Structure-0.4%-3.5%1.1%-0.4%-1.1%
VWIV7.2%5.0%10.5%6.7%8.8%
Skew 25d3.1%1.1%11.2%3.2%6.2%
Skew 10d6.0%2.5%9.8%6.4%5.8%
Call IV 25d4.4%3.5%5.9%5.0%5.9%
Put IV 25d7.5%4.7%16.5%8.2%12.1%
Bid-Ask Spread %35.617.3690.679.4719.60
Gamma HHI0.230.180.290.250.26
Net GEX-3.36B-4.30B-2.20B-3.16B-3.50B
Net DEX6.06B3.15B9.80B6.64B7.66B
Net VEX-18.5M-28.3M-13.6M-19.6M-18.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.291.7916.933.694.30
Total Volume373,627.333217,128821,764307,097340,114
Total OI5,714,056.3334,883,7166,713,3064,920,4575,357,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$86.57$95.006.1%1.5%3.7%34.8%6.7%3.2%-0.4%-3.16B6.64B-19.6M3.699.4765,449241,648547,7014,372,756
2021-11-02$86.74$95.005.2%1.5%3.8%27.2%5.0%1.9%-0.5%-3.18B5.96B-18.8M1.7920.2784,730151,468560,8994,506,370
2021-11-03$86.96$95.004.5%1.2%3.9%23.8%6.4%1.6%-0.2%-2.83B4.30B-14.4M7.277.3659,667434,034583,4404,552,524
2021-11-04$87.14$87.004.7%1.5%4.0%29.4%7.3%1.5%-1.4%-2.70B4.12B-15.9M16.9356.9045,829775,935599,6044,929,181
2021-11-05$87.50$87.004.1%1.5%4.0%22.2%7.2%1.1%0.3%-2.47B3.15B-15.3M3.5146.5687,602307,205598,1735,326,484
2021-11-08$87.37$88.004.4%1.4%3.9%26.3%5.4%2.3%1.1%-2.20B3.43B-13.6M1.9576.4984,272163,954602,1295,328,493
2021-11-09$87.42$88.004.4%1.5%3.9%25.9%6.9%2.3%0.7%-2.62B3.80B-16.4M1.9974.0872,649144,479610,9265,352,095
2021-11-10$86.95$88.006.1%1.7%4.3%45.3%7.7%3.9%-0.8%-2.93B5.37B-17.7M2.5723.7573,873189,627630,7565,385,081
2021-11-11$86.86$88.005.6%1.6%3.8%40.1%8.7%2.7%-0.7%-3.43B6.28B-20.5M3.3731.2359,698200,900647,5065,450,118
2021-11-12$86.87$88.005.2%1.5%3.7%35.4%6.7%2.3%0.0%-3.58B5.89B-19.7M2.0125.8078,680158,382654,1115,476,500
2021-11-15$86.77$88.004.7%1.4%3.7%36.5%5.8%2.1%-1.1%-4.03B6.21B-17.3M4.0013.8957,566230,078661,8655,507,541
2021-11-16$86.81$88.004.6%1.3%3.7%34.2%6.6%1.7%-0.2%-4.11B6.46B-18.5M2.3612.4364,754152,913672,1795,627,504
2021-11-17$86.73$95.004.7%1.3%3.7%35.5%7.9%2.5%0.8%-4.25B6.73B-18.0M3.6428.6492,264335,562675,5235,702,892
2021-11-18$86.64$95.004.4%1.2%3.6%32.0%7.2%3.6%0.6%-4.24B7.49B-21.2M3.3823.77142,974483,358678,8115,856,187
2021-11-19$86.62$95.004.8%1.4%3.6%37.0%8.0%2.2%0.6%-3.83B6.91B-19.6M4.1441.83108,409448,290726,7375,986,569
2021-11-22$86.33$95.004.7%1.4%3.7%36.1%6.6%3.9%-0.5%-2.99B5.95B-17.6M4.3173.5564,331277,461486,7124,397,004
2021-11-23$86.08$95.005.9%1.5%3.8%53.5%6.4%3.2%-1.4%-3.53B6.93B-18.3M2.7624.3182,433227,378507,8684,584,371
2021-11-24$86.06$95.005.6%1.5%3.8%48.2%6.8%3.0%-0.1%-4.30B7.09B-19.0M5.3416.7275,633404,164512,5294,673,865
2021-11-26$85.59$95.009.3%1.7%4.1%99.6%10.5%11.2%-3.5%-2.98B9.80B-28.3M7.6790.6759,463455,915536,0374,828,588
2021-11-29$86.01$95.005.9%1.7%4.6%53.6%8.1%3.4%0.2%-3.77B7.17B-19.9M3.1630.4563,293199,740519,8634,780,021
2021-11-30$85.70$95.008.2%2.3%4.5%85.2%8.8%6.2%-1.1%-3.50B7.66B-18.3M4.3019.6064,206275,908532,5974,825,073