HYG Options History — May 2022

In May 2022, HYG traded between $76.05 and $80.09. ATM implied volatility averaged 12.9%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.9% (HV 20d: 12.0%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.39.

Notable Days

  • 2022-05-10: Highest Volume — 1,059,881 contracts
  • 2022-05-05: Largest IV spike — 21.4% change
  • 2022-05-02: Highest IV Rank — 85.3%
  • 2022-05-02: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.61$76.05$80.09$78.11$79.52
Max Pain$83.38$82.00$85.00$83.00$84.00
ATM IV12.9%10.6%15.5%15.5%10.6%
Expected Move3.7%2.8%4.8%4.8%2.8%
HV 20d12.0%9.6%14.0%9.7%13.7%
HV 60d11.1%10.0%11.9%10.0%11.9%
IV Rank69.1%54.2%85.3%85.3%54.2%
IV Percentile92.1%78.6%99.6%99.6%78.6%
Term Structure0.2%-0.6%0.9%-0.6%-0.4%
VWIV13.9%10.3%17.5%17.5%10.3%
Skew 25d3.7%-1.1%5.5%5.1%2.0%
Skew 10d6.7%3.8%9.6%9.2%3.8%
Call IV 25d11.6%9.9%14.3%13.1%10.0%
Put IV 25d15.2%12.0%18.1%18.1%12.0%
Bid-Ask Spread %40.013.6870.084.5319.60
Gamma HHI0.120.100.170.100.15
Net GEX-2.04B-2.76B-763.6M-2.13B-975.4M
Net DEX15.06B3.50B21.28B15.97B5.32B
Net VEX-30.4M-37.3M-21.5M-37.3M-21.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.391.106.183.482.42
Total Volume628,673.286297,2621,059,881584,782761,763
Total OI7,257,994.9056,239,0788,273,7906,737,8216,990,838

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$78.11$83.0015.5%4.8%9.7%85.3%17.5%5.1%-0.6%-2.13B15.97B-37.3M3.484.53130,581454,201852,6725,885,149
2022-05-03$78.53$83.0013.9%4.2%9.6%75.6%15.0%4.6%-0.4%-2.11B14.39B-35.7M2.5440.2389,500227,097919,9725,924,329
2022-05-04$79.58$83.0012.2%3.3%10.5%64.5%13.0%3.2%-0.3%-1.82B10.63B-30.1M1.1024.01193,416212,713956,9125,993,633
2022-05-05$77.93$82.0014.8%4.2%12.5%81.2%15.3%5.5%0.8%-2.23B16.36B-37.1M3.7066.49132,679490,6071,043,9386,040,387
2022-05-06$77.55$82.0014.1%3.8%12.5%76.7%15.6%4.9%-0.3%-2.39B17.57B-35.6M6.1861.4068,406422,5571,125,4366,123,879
2022-05-09$76.95$82.0015.0%4.3%12.6%82.4%15.6%5.3%-0.0%-2.34B19.30B-36.8M4.5263.16122,076552,1281,063,0156,189,641
2022-05-10$77.17$82.0014.7%4.1%12.5%80.6%15.6%4.8%-0.2%-2.35B18.10B-35.8M3.0960.60259,306800,5751,118,5706,220,209
2022-05-11$76.86$82.0014.3%4.1%12.1%77.8%16.4%4.8%0.1%-2.35B19.39B-34.7M2.8161.92170,635479,6351,210,9676,332,906
2022-05-12$76.69$83.0014.4%4.0%11.6%78.9%15.8%4.3%-0.3%-2.53B20.09B-34.2M3.2360.59167,159539,7201,269,4706,461,908
2022-05-13$76.78$83.0012.9%3.7%11.6%68.8%13.4%3.6%0.2%-2.49B19.30B-31.5M1.4868.77152,979226,4211,308,2576,496,572
2022-05-16$76.65$84.0012.6%3.6%11.6%67.2%13.9%3.8%0.5%-2.56B19.47B-29.2M2.5365.48138,272349,5931,294,6666,504,962
2022-05-17$76.60$84.0011.5%3.3%11.6%60.1%12.8%3.6%0.5%-2.71B19.40B-26.5M4.4570.08111,989498,6651,335,8606,524,756
2022-05-18$76.05$84.0013.0%3.7%11.6%69.6%14.0%3.7%0.6%-2.76B21.28B-28.2M5.3836.07143,293771,1391,381,3246,549,919
2022-05-19$76.60$84.0011.6%3.3%12.0%60.6%12.6%3.9%0.6%-2.41B19.18B-28.3M5.154.0986,020442,9301,440,6226,732,019
2022-05-20$76.51$84.0011.7%3.3%12.0%61.5%13.5%3.5%0.4%-1.71B19.47B-29.9M5.913.68113,219669,4071,470,5816,803,209
2022-05-23$76.74$85.0011.9%3.4%11.8%62.4%12.9%3.1%0.4%-1.87B12.62B-27.0M2.168.8294,174203,088881,7495,357,329
2022-05-24$77.22$85.0011.6%3.4%12.1%60.8%11.8%2.9%0.7%-1.78B11.22B-26.1M2.424.14110,796267,994926,3295,435,259
2022-05-25$78.23$85.0012.0%3.4%13.0%63.1%12.1%2.6%0.7%-1.47B8.44B-25.3M1.2529.72376,752470,639975,2435,502,256
2022-05-26$79.44$84.0011.4%3.3%14.0%59.6%12.2%2.5%0.5%-1.13B5.19B-25.4M2.0430.18225,293459,0191,198,3915,622,572
2022-05-27$80.09$83.0011.4%3.1%13.7%59.2%11.6%-1.1%0.9%-763.6M3.50B-22.8M5.3856.62159,244856,4591,243,2545,708,933
2022-05-31$79.52$84.0010.6%2.8%13.7%54.2%10.3%2.0%-0.4%-975.4M5.32B-21.5M2.4219.60222,854538,9091,208,0915,782,747