HYG Options History — June 2022

In June 2022, HYG traded between $73.13 and $79.11. ATM implied volatility averaged 15.2%, placing in the 70.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 1.2% (HV 20d: 16.4%). Max pain ranged from $79.00 to $84.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 4.34.

Notable Days

  • 2022-06-13: Highest Volume — 1,842,461 contracts
  • 2022-06-13: Largest IV spike — 39.4% change
  • 2022-06-13: Highest IV Rank — 100.0%
  • 2022-06-13: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.54$73.13$79.11$79.00$73.62
Max Pain$80.10$79.00$84.00$84.00$80.00
ATM IV15.2%10.8%22.5%11.7%16.8%
Expected Move4.3%3.1%6.3%3.2%4.8%
HV 20d16.4%10.5%20.4%13.9%18.6%
HV 60d13.3%11.6%14.6%11.9%14.4%
IV Rank70.1%55.4%100.0%61.4%72.3%
IV Percentile93.3%79.0%100.0%86.9%97.2%
Term Structure-0.3%-1.1%0.5%-0.4%-0.3%
VWIV16.0%11.6%22.1%13.9%15.8%
Skew 25d4.0%1.6%9.3%3.3%3.6%
Skew 10d7.1%4.6%10.6%5.9%6.6%
Call IV 25d13.8%9.2%19.4%10.2%15.7%
Put IV 25d17.7%12.3%24.9%13.5%19.3%
Bid-Ask Spread %38.473.4565.9730.4928.18
Gamma HHI0.110.100.120.100.11
Net GEX-1.93B-2.44B-1.37B-1.37B-1.69B
Net DEX16.60B8.03B28.39B8.03B16.01B
Net VEX-36.1M-44.3M-29.4M-29.9M-33.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.341.028.816.483.79
Total Volume747,299.762213,1581,842,4611,293,624605,689
Total OI7,525,119.9056,218,2478,854,6307,022,8676,858,761

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$79.00$84.0011.7%3.2%13.9%61.4%13.9%3.3%-0.4%-1.37B8.03B-29.9M6.4830.49172,9511,120,6731,134,6285,888,239
2022-06-02$79.11$80.0011.3%3.1%13.0%58.8%13.1%3.3%-0.4%-1.42B8.37B-29.4M3.5260.95100,303353,4051,191,0836,216,528
2022-06-03$78.61$80.0011.4%3.1%10.8%59.3%13.3%3.0%-0.3%-1.75B10.24B-31.6M6.3844.25133,630852,2331,206,9966,325,436
2022-06-06$78.05$80.0011.3%3.2%10.9%59.1%11.6%3.1%0.1%-2.21B12.43B-32.7M2.9658.7384,432249,5521,196,3196,801,092
2022-06-07$78.18$79.0010.8%3.1%10.5%55.4%12.0%3.0%0.1%-2.16B11.98B-32.5M3.9959.6486,924346,5461,214,5166,845,233
2022-06-08$77.52$79.0011.5%3.1%11.0%59.9%12.1%2.7%-0.6%-2.40B13.70B-32.6M1.8165.44221,603402,0511,255,3476,884,451
2022-06-09$76.82$80.0013.0%3.7%11.4%69.8%13.1%1.6%-0.3%-2.43B16.96B-38.5M1.9365.97369,569712,5881,345,8146,944,175
2022-06-10$75.66$80.0016.1%4.4%12.6%89.5%16.4%9.3%-1.1%-2.44B21.23B-41.7M8.8165.10135,0311,190,1041,507,6426,918,422
2022-06-13$73.13$80.0022.5%6.3%17.2%100.0%22.1%5.5%-0.7%-2.02B28.39B-43.9M7.8855.17207,5771,634,8841,407,4246,960,533
2022-06-14$73.54$80.0020.3%5.7%17.5%89.3%21.4%4.9%-0.1%-2.06B26.50B-44.3M6.0248.37146,838883,5591,501,4606,964,831
2022-06-15$75.20$80.0017.2%4.9%19.5%73.9%18.2%4.5%-0.8%-2.29B22.32B-44.3M2.3745.64263,033622,4191,563,5317,248,897
2022-06-16$73.82$80.0019.4%5.6%20.4%84.9%20.9%5.6%-0.3%-2.10B25.74B-43.3M5.555.11130,586724,2921,705,4267,149,204
2022-06-17$74.33$80.0017.8%5.2%20.4%77.3%18.7%4.7%-1.0%-1.92B23.22B-40.6M1.7434.52224,578389,7821,726,8037,011,977
2022-06-21$73.99$80.0017.1%5.0%20.4%73.7%18.7%4.2%-0.0%-1.60B15.43B-37.8M6.3231.1365,021410,6611,018,4605,199,787
2022-06-22$73.96$80.0016.1%4.6%20.3%68.5%16.8%4.0%0.1%-1.71B15.73B-37.4M4.814.54104,976504,7351,053,2825,387,993
2022-06-23$74.51$80.0015.5%4.5%20.4%66.0%16.0%3.6%0.1%-1.69B14.20B-35.5M2.4026.8562,644150,5141,064,1815,301,449
2022-06-24$75.02$80.0014.8%4.1%19.9%62.1%15.3%3.2%0.5%-1.71B12.69B-33.5M1.0231.84189,166192,3571,088,5775,370,849
2022-06-27$74.75$80.0014.8%4.1%18.8%62.2%15.4%3.2%0.0%-1.84B13.31B-31.9M4.9438.7657,315283,0851,187,4875,345,990
2022-06-28$73.89$80.0014.9%4.2%18.6%63.0%15.7%3.6%0.0%-1.82B15.75B-31.8M3.553.7284,686300,7691,179,4215,320,158
2022-06-29$73.60$80.0015.5%4.4%18.5%65.9%15.9%3.3%0.2%-1.83B16.33B-31.7M4.933.45155,533767,0011,201,1195,333,997
2022-06-30$73.62$80.0016.8%4.8%18.6%72.3%15.8%3.6%-0.3%-1.69B16.01B-33.5M3.7928.18126,370479,3191,335,9245,522,837