HYG Options History — December 2021

In December 2021, HYG traded between $85.44 and $87.27. ATM implied volatility averaged 6.0%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.7% (HV 20d: 5.3%). Max pain ranged from $87.00 to $95.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.05.

Notable Days

2021-12-15: Highest Volume — 540,533 contracts
2021-12-07: Largest IV drop — 24.3% change
2021-12-01: Highest IV Rank — 100.0%
2021-12-01: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.64	$85.44	$87.27	$85.44	$87.06
Max Pain	$88.09	$87.00	$95.00	$95.00	$87.00
ATM IV	6.0%	4.4%	9.4%	9.4%	4.7%
Expected Move	1.7%	1.1%	2.7%	2.7%	1.2%
HV 20d	5.3%	4.3%	5.8%	4.4%	4.3%
HV 60d	4.3%	3.7%	4.5%	3.7%	4.4%
IV Rank	53.4%	31.6%	100.0%	100.0%	35.4%
IV Percentile	66.4%	29.0%	100.0%	100.0%	41.3%
Term Structure	0.1%	-1.2%	0.7%	-1.2%	-0.5%
VWIV	7.7%	4.8%	11.9%	11.9%	4.8%
Skew 25d	3.4%	2.1%	6.8%	6.8%	3.1%
Skew 10d	5.7%	-4.6%	12.8%	12.8%	-4.6%
Call IV 25d	4.8%	3.1%	6.6%	5.9%	3.1%
Put IV 25d	8.2%	5.9%	12.7%	12.7%	6.3%
Bid-Ask Spread %	38.31	5.51	61.62	36.87	32.52
Gamma HHI	0.19	0.17	0.23	0.17	0.18
Net GEX	-1.88B	-3.08B	-564.9M	-2.92B	-971.8M
Net DEX	4.38B	1.00B	10.01B	10.01B	2.15B
Net VEX	-18.6M	-28.4M	-11.6M	-28.4M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.05	1.61	5.20	2.32	2.23
Total Volume	338,434.955	202,325	540,533	324,397	202,325
Total OI	5,640,601.364	4,813,256	6,375,596	5,416,707	5,430,490

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-12-01	$85.44	$95.00	9.4%	2.7%	4.4%	100.0%	11.9%	6.8%	-1.2%	-2.92B	10.01B	-28.4M	2.32	36.87	97,715	226,682	536,077	4,880,630
2021-12-02	$86.00	$95.00	8.1%	2.4%	5.0%	81.6%	10.6%	3.7%	-0.4%	-2.92B	7.53B	-24.3M	4.56	25.50	83,472	380,701	584,336	4,975,772
2021-12-03	$85.92	$95.00	8.4%	2.6%	4.9%	86.4%	10.2%	6.8%	0.6%	-3.08B	8.03B	-26.0M	2.10	40.66	136,663	287,241	612,864	5,135,408
2021-12-06	$86.37	$87.00	7.1%	2.4%	5.1%	68.9%	11.2%	4.4%	0.3%	-2.49B	6.22B	-22.2M	2.36	59.59	71,073	167,854	629,943	5,183,104
2021-12-07	$86.87	$87.00	5.4%	1.6%	5.6%	45.1%	8.2%	2.8%	0.3%	-2.29B	4.71B	-19.1M	3.13	55.48	119,029	372,285	653,345	5,265,579
2021-12-08	$86.84	$87.00	5.3%	1.6%	5.5%	44.0%	8.5%	3.1%	0.3%	-2.36B	3.97B	-16.6M	1.62	57.87	97,954	159,081	675,161	5,271,630
2021-12-09	$86.53	$87.00	5.8%	1.6%	5.4%	50.6%	8.0%	3.0%	0.4%	-2.32B	4.98B	-18.9M	1.82	60.40	97,328	176,913	682,395	5,331,037
2021-12-10	$86.58	$87.00	5.5%	1.4%	5.4%	46.5%	8.2%	2.5%	0.2%	-2.86B	4.80B	-17.0M	2.23	61.62	84,475	188,521	690,026	5,383,794
2021-12-13	$86.70	$87.00	6.1%	1.6%	5.4%	54.7%	7.5%	3.3%	-0.4%	-2.42B	4.41B	-17.1M	1.61	60.71	88,559	142,495	666,758	5,436,704
2021-12-14	$86.53	$87.00	6.3%	1.6%	5.4%	57.2%	9.2%	3.9%	-0.6%	-2.65B	5.56B	-18.9M	3.60	50.49	108,118	389,188	672,251	5,459,215
2021-12-15	$86.79	$87.00	5.5%	1.6%	5.5%	46.8%	8.4%	2.1%	0.3%	-2.32B	4.96B	-20.5M	4.75	58.15	93,946	446,587	712,422	5,644,433
2021-12-16	$86.48	$87.00	6.6%	2.0%	5.7%	61.3%	8.3%	3.7%	0.7%	-1.81B	5.48B	-20.8M	3.21	59.64	120,312	385,870	665,350	5,555,868
2021-12-17	$86.39	$87.00	6.6%	2.0%	5.7%	62.0%	7.8%	3.9%	0.6%	-1.83B	5.53B	-20.7M	2.32	60.65	133,566	309,518	694,563	5,681,033
2021-12-20	$86.26	$87.00	6.5%	1.8%	5.7%	60.2%	7.9%	4.3%	0.2%	-1.74B	4.68B	-20.3M	2.49	49.92	86,294	215,018	519,406	4,293,850
2021-12-21	$86.60	$87.00	6.2%	1.8%	5.7%	55.2%	7.4%	3.2%	0.5%	-1.51B	3.33B	-17.8M	2.97	7.48	76,008	225,407	566,153	4,421,794
2021-12-22	$86.90	$87.00	5.1%	1.5%	5.7%	40.8%	6.6%	2.8%	0.4%	-1.10B	2.23B	-15.2M	4.00	5.51	53,313	213,116	579,421	4,450,280
2021-12-23	$87.19	$87.00	4.9%	1.4%	5.8%	38.3%	5.3%	2.5%	0.4%	-798.3M	1.39B	-14.1M	4.35	5.78	52,388	228,050	592,113	4,521,442
2021-12-27	$87.27	$87.00	4.4%	1.1%	5.3%	31.6%	4.9%	2.8%	0.3%	-564.9M	1.00B	-11.6M	4.06	8.34	54,248	220,191	582,619	4,551,151
2021-12-28	$87.21	$87.00	4.9%	1.3%	5.2%	37.8%	5.0%	2.5%	-0.4%	-622.9M	1.34B	-13.4M	5.20	13.56	49,243	255,962	590,071	4,622,463
2021-12-29	$87.10	$87.00	4.7%	1.3%	5.0%	34.8%	5.0%	2.3%	0.3%	-886.8M	1.79B	-14.9M	2.89	16.83	73,781	213,299	594,519	4,719,955
2021-12-30	$87.00	$87.00	4.7%	1.2%	4.8%	35.1%	4.8%	2.2%	0.6%	-859.5M	2.25B	-16.3M	3.27	15.25	61,367	200,413	617,201	4,760,604
2021-12-31	$87.06	$87.00	4.7%	1.2%	4.3%	35.4%	4.8%	3.1%	-0.5%	-971.8M	2.15B	-15.8M	2.23	32.52	62,603	139,722	610,493	4,819,997