HYG Options History — February 2022

In February 2022, HYG traded between $82.53 and $84.87. ATM implied volatility averaged 9.7%, placing in the 85.2% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.4% (HV 20d: 6.3%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 4.37.

Notable Days

2022-02-11: Highest Volume — 890,680 contracts
2022-02-10: Largest IV spike — 33.8% change
2022-02-10: Highest IV Rank — 100.0%
2022-02-11: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.36	$82.53	$84.87	$84.70	$83.66
Max Pain	$87.00	$86.00	$88.00	$87.00	$87.00
ATM IV	9.7%	7.2%	11.9%	8.9%	11.0%
Expected Move	2.7%	1.6%	3.3%	2.4%	2.9%
HV 20d	6.3%	4.5%	7.8%	4.5%	7.8%
HV 60d	5.5%	4.6%	6.0%	4.7%	6.0%
IV Rank	85.2%	65.4%	100.0%	87.9%	91.5%
IV Percentile	96.5%	86.5%	100.0%	97.2%	98.4%
Term Structure	-0.4%	-2.9%	1.8%	0.0%	-2.2%
VWIV	11.1%	6.3%	13.8%	8.9%	11.1%
Skew 25d	4.8%	3.3%	7.6%	5.7%	4.1%
Skew 10d	8.6%	5.4%	14.1%	8.0%	9.7%
Call IV 25d	7.9%	6.2%	9.8%	6.2%	9.2%
Put IV 25d	12.7%	9.6%	16.9%	11.9%	13.3%
Bid-Ask Spread %	20.16	4.21	49.76	13.94	29.76
Gamma HHI	0.16	0.12	0.31	0.14	0.19
Net GEX	-3.28B	-4.75B	-2.50B	-2.70B	-2.75B
Net DEX	14.25B	7.89B	20.70B	9.91B	7.89B
Net VEX	-29.3M	-39.5M	-19.7M	-27.7M	-19.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.37	2.86	7.26	4.96	3.78
Total Volume	620,192.895	410,532	890,680	783,102	460,168
Total OI	7,111,636.526	6,208,821	8,140,791	6,208,821	6,740,031

Daily Data (19 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
2022-02-01	$84.70	$87.00	8.9%	2.4%	4.5%	87.9%	8.9%	5.7%	0.0%	-2.70B	9.91B	-27.7M	4.96	13.94	131,374	651,728	689,461	5,519,360
2022-02-02	$84.87	$87.00	7.2%	1.6%	4.6%	65.4%	6.3%	3.3%	0.2%	-2.71B	8.75B	-23.7M	3.98	4.21	112,775	448,737	753,065	5,581,096
2022-02-03	$84.18	$87.00	9.2%	2.5%	4.9%	92.0%	9.7%	4.5%	-1.0%	-3.15B	12.37B	-29.2M	3.50	7.97	172,612	604,959	801,142	5,776,755
2022-02-04	$83.70	$87.00	9.4%	2.5%	5.2%	93.9%	10.5%	4.0%	-0.7%	-3.25B	15.15B	-33.6M	5.15	13.35	127,443	656,521	876,319	5,987,218
2022-02-07	$83.76	$87.00	8.6%	2.6%	5.2%	84.0%	11.2%	3.6%	0.4%	-3.26B	14.16B	-29.9M	3.72	8.65	103,981	386,989	880,299	6,023,719
2022-02-08	$83.60	$87.00	9.6%	2.4%	5.2%	97.2%	12.0%	5.6%	-1.5%	-3.58B	14.79B	-30.3M	7.26	9.28	62,003	449,980	897,968	6,127,554
2022-02-09	$84.05	$87.00	8.0%	2.3%	5.3%	76.5%	10.0%	3.4%	0.2%	-3.36B	12.40B	-27.2M	2.95	7.91	114,637	337,799	908,720	6,260,145
2022-02-10	$82.99	$87.00	10.7%	3.0%	6.5%	100.0%	11.9%	6.0%	-0.5%	-3.60B	18.21B	-36.6M	3.81	12.81	124,842	476,232	962,709	6,438,664
2022-02-11	$82.53	$87.00	11.9%	3.3%	6.6%	100.0%	13.1%	7.6%	0.1%	-3.51B	20.70B	-39.5M	4.69	49.76	156,574	734,106	1,016,974	6,483,914
2022-02-14	$82.54	$87.00	11.0%	3.1%	6.6%	91.6%	13.8%	6.0%	1.8%	-3.34B	19.91B	-35.4M	4.60	45.37	98,127	451,448	1,039,632	6,542,799
2022-02-15	$82.60	$86.00	10.1%	2.8%	6.6%	81.9%	12.4%	4.7%	1.8%	-3.57B	19.22B	-33.5M	4.56	12.06	97,458	444,319	1,096,018	6,610,610
2022-02-16	$83.10	$87.00	9.2%	2.6%	7.1%	72.5%	9.5%	4.0%	-0.2%	-3.52B	16.18B	-25.6M	5.15	9.81	116,322	599,009	1,116,936	6,569,093
2022-02-17	$82.78	$87.00	9.5%	2.7%	7.1%	76.1%	12.2%	4.9%	-0.2%	-3.62B	18.15B	-30.4M	3.28	15.07	130,742	429,109	1,161,374	6,861,772
2022-02-18	$82.96	$87.00	9.7%	2.8%	7.2%	77.6%	11.9%	4.8%	-0.8%	-4.75B	17.19B	-28.0M	3.35	30.96	181,350	607,967	1,182,503	6,958,288
2022-02-22	$82.74	$87.00	11.2%	3.0%	7.3%	93.6%	12.5%	5.5%	-0.8%	-3.18B	13.26B	-30.9M	6.65	12.45	72,432	481,397	727,010	5,946,505
2022-02-23	$82.60	$87.00	11.2%	3.0%	7.3%	93.0%	11.7%	5.6%	-0.2%	-2.96B	13.51B	-30.5M	2.86	26.21	106,479	304,053	752,921	6,048,744
2022-02-24	$83.02	$88.00	9.3%	2.7%	7.6%	74.1%	11.5%	3.8%	-2.9%	-2.98B	10.85B	-22.7M	4.51	38.57	142,113	641,575	794,323	6,117,626
2022-02-25	$83.55	$87.00	9.0%	2.5%	7.8%	70.2%	11.0%	3.4%	-0.6%	-2.50B	8.20B	-22.2M	4.26	34.82	107,661	458,644	870,185	5,999,642
2022-02-28	$83.66	$87.00	11.0%	2.9%	7.8%	91.5%	11.1%	4.1%	-2.2%	-2.75B	7.89B	-19.7M	3.78	29.76	96,208	363,960	819,922	5,920,109