HYG Options History — July 2022

In July 2022, HYG traded between $73.79 and $78.23. ATM implied volatility averaged 14.8%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.4% (HV 20d: 14.4%). Max pain ranged from $77.00 to $80.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 3.18.

Notable Days

2022-07-11: Highest Volume — 1,009,550 contracts
2022-07-28: Largest IV drop — 10.9% change
2022-07-01: Highest IV Rank — 75.2%
2022-07-01: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.63	$73.79	$78.23	$74.01	$78.23
Max Pain	$78.80	$77.00	$80.00	$80.00	$79.00
ATM IV	14.8%	12.1%	17.4%	17.4%	12.2%
Expected Move	4.1%	3.3%	4.9%	4.9%	3.4%
HV 20d	14.4%	10.9%	19.6%	18.7%	11.2%
HV 60d	14.8%	14.3%	15.3%	14.4%	15.2%
IV Rank	62.2%	49.0%	75.2%	75.2%	49.6%
IV Percentile	88.7%	76.2%	98.0%	98.0%	76.2%
Term Structure	-0.0%	-0.9%	0.7%	-0.2%	0.0%
VWIV	15.7%	11.3%	19.2%	17.1%	11.3%
Skew 25d	4.0%	2.7%	5.4%	4.6%	3.0%
Skew 10d	7.2%	5.1%	9.7%	9.2%	9.7%
Call IV 25d	13.2%	11.2%	15.7%	15.7%	11.3%
Put IV 25d	17.2%	13.9%	20.5%	20.3%	14.3%
Bid-Ask Spread %	54.52	3.19	72.51	3.19	69.19
Gamma HHI	0.10	0.08	0.12	0.10	0.11
Net GEX	-1.06B	-1.62B	-234.5M	-1.55B	-365.4M
Net DEX	8.76B	1.06B	15.45B	14.86B	1.06B
Net VEX	-31.5M	-40.3M	-21.2M	-40.3M	-21.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.18	1.17	7.20	3.75	1.28
Total Volume	570,904.05	250,428	1,009,550	481,878	757,766
Total OI	7,213,654.1	6,209,106	8,580,985	7,050,701	7,140,103

Daily Data (20 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
2022-07-01	$74.01	$80.00	17.4%	4.9%	18.7%	75.2%	17.1%	4.6%	-0.2%	-1.55B	14.86B	-40.3M	3.75	3.19	101,421	380,457	1,425,901	5,624,800
2022-07-05	$73.89	$78.00	17.3%	4.7%	18.7%	74.9%	18.2%	5.4%	-0.3%	-1.57B	15.29B	-35.8M	2.72	64.29	87,913	238,779	1,400,354	5,691,200
2022-07-06	$73.79	$77.00	16.6%	4.5%	18.7%	71.2%	19.2%	4.3%	-0.5%	-1.62B	15.45B	-35.0M	7.20	46.43	96,367	694,194	1,434,251	5,778,072
2022-07-07	$74.87	$78.00	16.2%	4.4%	19.6%	69.3%	18.3%	4.6%	-0.2%	-1.52B	12.61B	-35.9M	2.35	70.08	156,307	367,434	1,488,009	6,119,561
2022-07-08	$74.91	$79.00	15.5%	4.2%	19.5%	65.7%	17.2%	4.5%	-0.2%	-1.53B	12.67B	-36.2M	3.35	67.64	183,624	616,035	1,564,379	6,157,367
2022-07-11	$74.52	$79.00	16.1%	4.3%	19.3%	68.7%	17.8%	4.0%	-0.9%	-1.50B	13.46B	-33.4M	5.77	15.10	149,147	860,403	1,645,074	6,268,361
2022-07-12	$74.68	$79.00	16.3%	4.4%	18.7%	69.5%	16.7%	4.3%	-0.9%	-1.49B	12.59B	-34.7M	1.57	39.59	195,110	307,123	1,632,206	6,456,482
2022-07-13	$74.75	$79.00	15.7%	4.2%	13.9%	66.9%	15.5%	4.2%	-0.8%	-1.51B	12.15B	-33.5M	3.10	42.62	221,369	687,333	1,665,473	6,487,715
2022-07-14	$74.38	$80.00	15.2%	4.3%	14.0%	64.1%	14.3%	4.5%	0.2%	-1.51B	13.54B	-34.0M	1.17	52.01	253,378	297,054	1,761,824	6,666,862
2022-07-15	$75.42	$79.00	14.1%	4.0%	12.5%	58.8%	14.0%	3.7%	-0.1%	-744.8M	9.70B	-31.5M	1.76	72.51	208,427	366,501	1,843,839	6,737,146
2022-07-18	$74.77	$79.00	14.2%	4.0%	10.9%	59.4%	15.3%	4.0%	0.3%	-997.3M	8.22B	-32.0M	2.02	63.11	83,045	167,383	1,194,938	5,014,168
2022-07-19	$75.74	$79.00	13.9%	4.0%	11.5%	57.9%	15.6%	3.8%	0.3%	-857.6M	6.24B	-30.7M	3.12	61.78	67,066	209,025	1,213,493	5,092,603
2022-07-20	$76.27	$79.00	14.0%	4.0%	11.5%	58.5%	14.9%	3.9%	0.2%	-698.1M	4.98B	-30.0M	3.04	60.99	130,623	397,715	1,233,767	5,162,141
2022-07-21	$76.97	$78.00	13.4%	3.8%	11.8%	55.6%	14.4%	3.8%	0.2%	-608.3M	3.50B	-27.3M	2.51	63.01	156,984	394,020	1,288,305	5,232,425
2022-07-22	$76.89	$78.00	13.4%	3.8%	11.7%	55.4%	15.4%	3.6%	0.5%	-610.4M	3.82B	-29.4M	4.85	35.87	124,484	603,147	1,332,676	5,315,887
2022-07-25	$76.86	$79.00	13.6%	3.8%	11.5%	56.5%	16.3%	3.9%	0.1%	-765.6M	4.37B	-28.0M	4.08	64.57	72,241	294,762	1,311,222	5,416,332
2022-07-26	$76.38	$79.00	14.7%	4.2%	11.7%	61.8%	16.5%	4.1%	0.1%	-969.3M	6.15B	-32.2M	3.75	64.06	55,878	209,646	1,349,585	5,436,140
2022-07-27	$77.24	$79.00	13.6%	3.8%	11.2%	56.3%	14.5%	3.4%	0.7%	-638.5M	3.41B	-26.8M	4.27	67.20	81,561	348,038	1,367,600	5,449,406
2022-07-28	$77.99	$79.00	12.1%	3.3%	11.3%	49.0%	12.0%	2.7%	0.5%	-234.5M	1.20B	-21.2M	1.90	67.11	274,943	521,378	1,367,792	5,505,623
2022-07-29	$78.23	$79.00	12.2%	3.4%	11.2%	49.6%	11.3%	3.0%	0.0%	-365.4M	1.06B	-21.8M	1.28	69.19	332,511	425,255	1,351,894	5,788,209