HYG Options History — January 2022

In January 2022, HYG traded between $84.39 and $86.88. ATM implied volatility averaged 7.2%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 3.0% (HV 20d: 4.3%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 4.15.

Notable Days

  • 2022-01-28: Highest Volume — 959,388 contracts
  • 2022-01-05: Largest IV spike — 51.6% change
  • 2022-01-27: Highest IV Rank — 100.0%
  • 2022-01-28: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.70$84.39$86.88$86.88$84.57
Max Pain$87.00$86.00$88.00$87.00$86.00
ATM IV7.2%4.8%9.8%5.0%9.8%
Expected Move2.0%1.1%2.8%1.1%2.7%
HV 20d4.3%3.8%4.7%4.4%4.3%
HV 60d4.6%4.4%4.7%4.4%4.7%
IV Rank69.1%36.8%100.0%39.9%100.0%
IV Percentile83.8%46.4%100.0%51.6%100.0%
Term Structure-0.2%-2.1%1.2%-1.5%-1.1%
VWIV8.2%5.1%11.4%5.2%10.1%
Skew 25d3.5%1.8%5.5%2.7%3.9%
Skew 10d6.6%2.4%10.2%2.4%7.7%
Call IV 25d6.0%4.3%8.4%4.3%8.4%
Put IV 25d9.5%6.5%13.2%7.0%12.3%
Bid-Ask Spread %20.627.0044.8030.3617.77
Gamma HHI0.210.140.280.190.17
Net GEX-2.72B-3.53B-1.23B-1.32B-3.11B
Net DEX7.48B2.39B12.00B2.74B9.94B
Net VEX-18.1M-25.4M-11.2M-16.1M-22.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.151.966.595.185.09
Total Volume554,592.15227,776959,388528,601865,532
Total OI5,903,142.94,744,6636,889,3085,323,0625,953,817

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$86.88$87.005.0%1.1%4.4%39.9%5.2%2.7%-1.5%-1.32B2.74B-16.1M5.1830.3685,507443,094588,9594,734,103
2022-01-04$86.77$87.004.8%1.1%4.1%36.8%5.4%2.9%0.7%-1.23B2.39B-11.2M4.087.9274,599304,262635,0024,891,605
2022-01-05$86.24$87.007.3%1.6%4.1%70.4%5.1%3.6%-0.9%-2.09B5.10B-17.4M6.1916.6681,927507,237639,5864,953,131
2022-01-06$86.07$87.006.6%1.9%4.2%61.7%7.3%2.2%0.2%-2.81B7.32B-22.6M2.7540.05116,148319,581665,9895,171,678
2022-01-07$85.93$87.006.5%1.7%4.0%60.0%7.5%3.3%1.2%-2.89B7.13B-19.5M5.4315.9571,048385,906689,3475,255,938
2022-01-10$85.86$87.006.5%1.8%4.0%60.3%7.4%2.9%0.0%-3.24B7.69B-18.7M1.9610.3076,949150,827690,3335,378,210
2022-01-11$86.31$87.005.5%1.7%4.4%46.4%6.7%1.8%0.6%-2.79B5.22B-13.6M3.2212.0067,224216,361714,4065,396,425
2022-01-12$86.49$87.005.3%1.7%4.5%43.9%7.0%2.1%0.9%-2.45B4.72B-14.7M5.8023.0463,631368,809723,6595,410,811
2022-01-13$86.21$87.006.0%1.7%4.5%53.4%6.4%2.9%0.1%-2.76B6.02B-15.5M2.4511.6488,286216,251730,3155,412,072
2022-01-14$86.14$87.006.2%1.8%4.3%55.6%7.7%2.9%0.1%-2.66B5.94B-13.7M3.1115.7886,639269,504770,5875,494,420
2022-01-18$85.67$87.007.2%2.0%4.7%69.1%7.7%3.9%0.5%-3.47B8.68B-16.5M3.0935.00110,293340,834778,4715,638,868
2022-01-19$85.74$87.006.4%1.8%4.7%58.4%8.2%3.2%0.5%-3.53B8.06B-14.7M1.987.00178,104352,616800,3775,768,193
2022-01-20$85.50$87.008.7%2.6%4.5%89.7%9.4%4.5%-2.1%-3.42B10.01B-20.0M3.419.16122,906418,719849,9755,888,142
2022-01-21$85.42$88.008.6%2.6%4.2%89.0%9.2%4.3%-1.1%-2.99B9.60B-16.7M5.0534.14141,643715,047887,6036,001,705
2022-01-24$85.29$87.007.7%2.2%3.9%76.0%10.0%4.4%-0.2%-2.57B7.79B-17.4M5.347.74136,112726,915538,9644,205,699
2022-01-25$85.15$87.008.6%2.5%3.8%88.7%10.2%4.2%0.0%-2.52B8.14B-18.1M6.598.0891,780604,705599,4754,496,344
2022-01-26$84.88$87.008.5%2.6%3.9%87.9%10.1%4.3%-0.4%-2.46B9.71B-23.1M5.1244.80118,198604,647627,0864,763,331
2022-01-27$84.39$87.009.8%2.8%4.2%100.0%11.4%5.5%-0.3%-3.07B12.00B-25.2M3.7735.77127,997482,617663,7184,874,234
2022-01-28$84.49$87.009.4%2.8%4.3%94.9%11.3%4.1%-0.6%-3.04B11.44B-25.4M3.3829.29218,896740,492709,4405,070,840
2022-01-31$84.57$86.009.8%2.7%4.3%100.0%10.1%3.9%-1.1%-3.11B9.94B-22.5M5.0917.77142,222723,310655,3095,298,508