HYG Options History — March 2022

In March 2022, HYG traded between $80.05 and $83.32. ATM implied volatility averaged 11.5%, placing in the 66.0% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.4% (HV 20d: 10.1%). Max pain ranged from $83.00 to $87.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 4.48.

Notable Days

2022-03-14: Highest Volume — 1,452,649 contracts
2022-03-07: Largest IV spike — 52.4% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-08: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.96	$80.05	$83.32	$83.01	$82.44
Max Pain	$84.43	$83.00	$87.00	$87.00	$83.00
ATM IV	11.5%	8.1%	17.8%	12.2%	9.1%
Expected Move	3.2%	2.4%	4.3%	3.6%	2.8%
HV 20d	10.1%	8.1%	12.1%	8.2%	12.1%
HV 60d	7.3%	5.9%	8.7%	6.0%	8.7%
IV Rank	66.0%	38.5%	100.0%	100.0%	44.5%
IV Percentile	94.3%	80.6%	100.0%	100.0%	84.9%
Term Structure	-0.4%	-7.5%	4.8%	-1.0%	0.4%
VWIV	12.7%	9.4%	16.7%	13.0%	10.5%
Skew 25d	5.0%	2.2%	9.0%	6.2%	3.2%
Skew 10d	9.4%	4.4%	15.1%	11.3%	5.6%
Call IV 25d	9.4%	7.6%	11.6%	9.3%	8.1%
Put IV 25d	14.4%	9.7%	19.0%	15.6%	11.3%
Bid-Ask Spread %	45.74	3.57	72.65	16.00	66.86
Gamma HHI	0.16	0.13	0.21	0.13	0.18
Net GEX	-2.38B	-3.28B	-1.01B	-2.48B	-1.67B
Net DEX	12.13B	3.69B	23.18B	12.36B	5.32B
Net VEX	-27.0M	-35.4M	-15.7M	-35.1M	-19.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.48	1.94	9.82	2.38	1.94
Total Volume	540,681.826	209,442	1,452,649	435,337	403,580
Total OI	6,911,688.913	5,506,171	8,281,857	6,848,399	6,160,757

Daily Data (23 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
2022-03-01	$83.01	$87.00	12.2%	3.6%	8.2%	100.0%	13.0%	6.2%	-1.0%	-2.48B	12.36B	-35.1M	2.38	16.00	128,715	306,622	829,258	6,019,141
2022-03-02	$83.32	$86.00	10.3%	2.8%	8.3%	81.3%	12.2%	4.5%	-0.2%	-2.45B	10.30B	-28.2M	8.32	3.80	64,633	537,927	892,403	6,035,738
2022-03-03	$83.11	$86.00	12.0%	3.0%	8.3%	98.2%	12.0%	5.9%	-1.2%	-2.42B	11.31B	-30.9M	9.82	4.11	62,231	611,082	931,058	6,173,111
2022-03-04	$82.56	$87.00	11.7%	3.2%	8.1%	94.2%	13.3%	5.0%	0.2%	-2.86B	13.92B	-33.1M	6.98	4.73	63,172	441,181	945,031	6,239,652
2022-03-07	$81.83	$86.00	17.8%	4.3%	8.4%	100.0%	16.7%	9.0%	-7.5%	-2.73B	16.75B	-35.1M	7.78	3.57	79,191	615,787	922,320	6,230,481
2022-03-08	$81.60	$86.00	14.4%	4.3%	8.4%	78.3%	15.8%	7.1%	-2.2%	-2.98B	17.81B	-35.4M	5.70	4.32	113,186	645,655	942,819	6,451,493
2022-03-09	$82.28	$86.00	11.6%	3.4%	9.1%	60.6%	16.6%	5.4%	0.3%	-3.02B	14.89B	-31.1M	3.33	46.33	100,609	335,231	959,272	6,602,437
2022-03-10	$81.50	$86.00	13.3%	4.0%	9.3%	71.8%	16.4%	6.8%	-0.4%	-3.28B	18.55B	-35.3M	5.12	7.27	82,847	423,804	1,007,816	6,690,983
2022-03-11	$80.89	$86.00	13.8%	4.1%	8.6%	74.9%	13.9%	6.9%	-2.5%	-3.04B	20.51B	-34.1M	2.97	49.32	119,897	356,336	1,024,246	6,786,911
2022-03-14	$80.05	$85.00	14.3%	3.8%	9.1%	78.1%	13.3%	5.9%	2.1%	-3.11B	23.18B	-32.0M	6.50	58.44	193,709	1,258,940	1,001,041	6,735,179
2022-03-15	$80.63	$84.00	12.3%	3.3%	9.6%	65.4%	13.6%	5.2%	0.3%	-3.20B	20.13B	-29.7M	5.82	64.15	133,942	779,660	1,127,729	6,803,554
2022-03-16	$81.57	$84.00	10.9%	2.9%	10.6%	56.0%	11.0%	5.2%	0.5%	-3.03B	15.54B	-24.0M	2.20	63.58	215,755	475,247	1,172,035	6,774,359
2022-03-17	$82.15	$83.00	10.6%	2.8%	10.7%	54.2%	13.1%	4.6%	-1.0%	-2.65B	12.40B	-22.9M	3.54	33.73	141,430	500,497	1,231,815	6,907,064
2022-03-18	$82.44	$83.00	10.7%	3.0%	10.7%	54.7%	12.3%	4.7%	-0.8%	-1.26B	11.16B	-22.5M	4.15	67.18	157,858	654,924	1,255,783	7,026,074
2022-03-21	$81.58	$83.00	12.6%	2.9%	11.3%	67.3%	11.3%	5.8%	-3.1%	-1.93B	8.56B	-27.0M	3.70	64.30	79,286	293,539	606,588	4,899,583
2022-03-22	$82.03	$83.00	10.1%	2.8%	11.5%	51.4%	11.3%	3.1%	0.0%	-1.84B	6.76B	-21.2M	3.00	69.89	82,056	246,514	638,645	5,031,569
2022-03-23	$81.81	$83.00	10.5%	2.9%	11.5%	53.9%	12.7%	4.8%	-0.1%	-1.93B	7.87B	-24.4M	3.10	69.75	75,069	232,713	703,217	5,037,617
2022-03-24	$81.89	$83.00	9.4%	2.7%	11.3%	46.5%	9.4%	3.7%	0.1%	-2.11B	7.17B	-22.9M	2.26	70.67	82,055	185,774	854,840	5,164,264
2022-03-25	$81.33	$83.00	11.9%	3.0%	11.2%	62.8%	11.4%	4.0%	4.8%	-2.51B	9.19B	-25.8M	2.01	72.65	92,466	185,485	896,918	5,231,237
2022-03-28	$81.79	$83.00	9.1%	2.6%	11.4%	44.5%	10.9%	3.6%	0.5%	-1.85B	6.92B	-19.1M	7.31	69.79	25,196	184,246	853,235	5,087,265
2022-03-29	$82.83	$83.00	8.1%	2.4%	12.1%	38.5%	10.5%	2.2%	0.3%	-1.01B	3.69B	-15.7M	2.07	69.81	130,001	268,704	869,210	5,139,525
2022-03-30	$82.51	$83.00	8.7%	2.4%	12.1%	42.1%	10.0%	2.9%	0.3%	-1.41B	4.59B	-16.5M	3.06	71.87	66,174	202,756	910,466	5,165,106
2022-03-31	$82.44	$83.00	9.1%	2.8%	12.1%	44.5%	10.5%	3.2%	0.4%	-1.67B	5.32B	-19.2M	1.94	66.86	137,052	266,528	918,947	5,241,810