HYG Options History — August 2022

In August 2022, HYG traded between $74.62 and $78.90. ATM implied volatility averaged 13.2%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.6% (HV 20d: 11.6%). Max pain ranged from $78.00 to $80.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 3.74.

Notable Days

2022-08-31: Highest Volume — 629,631 contracts
2022-08-22: Largest IV spike — 11.4% change
2022-08-30: Highest IV Rank — 66.3%
2022-08-31: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.30	$74.62	$78.90	$77.87	$74.62
Max Pain	$79.57	$78.00	$80.00	$80.00	$79.00
ATM IV	13.2%	11.7%	15.6%	13.4%	15.1%
Expected Move	3.7%	3.3%	4.2%	3.6%	4.2%
HV 20d	11.6%	10.6%	12.3%	11.5%	11.8%
HV 60d	14.7%	14.4%	15.0%	15.0%	14.8%
IV Rank	54.5%	47.0%	66.3%	55.3%	64.1%
IV Percentile	79.9%	69.0%	93.3%	81.3%	90.9%
Term Structure	-0.1%	-0.5%	0.7%	-0.4%	-0.1%
VWIV	13.8%	11.9%	15.8%	13.2%	14.7%
Skew 25d	3.7%	3.1%	4.2%	3.8%	3.9%
Skew 10d	7.0%	5.9%	8.6%	7.1%	7.2%
Call IV 25d	11.8%	10.4%	13.7%	11.9%	13.7%
Put IV 25d	15.5%	13.6%	17.8%	15.7%	17.5%
Bid-Ask Spread %	36.69	3.61	62.85	54.78	46.85
Gamma HHI	0.11	0.08	0.30	0.08	0.12
Net GEX	-958.7M	-1.98B	-420.3M	-639.2M	-1.76B
Net DEX	6.18B	2.27B	13.18B	4.08B	13.18B
Net VEX	-27.3M	-30.8M	-24.0M	-28.8M	-29.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.74	1.02	12.74	1.53	2.11
Total Volume	373,284.391	146,950	629,631	429,163	629,631
Total OI	7,359,447.87	6,170,874	8,413,438	6,992,688	7,169,292

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
2022-08-01	$77.87	$80.00	13.4%	3.6%	11.5%	55.3%	13.2%	3.8%	-0.4%	-639.2M	4.08B	-28.8M	1.53	54.78	169,721	259,442	1,220,020	5,772,668
2022-08-02	$77.56	$79.00	14.1%	3.8%	11.7%	58.7%	14.5%	4.0%	-0.2%	-722.7M	4.98B	-30.8M	2.51	4.89	120,154	301,283	1,290,176	5,813,265
2022-08-03	$78.21	$79.00	13.0%	3.4%	11.8%	53.5%	13.6%	3.6%	-0.4%	-499.6M	3.08B	-26.1M	1.77	24.94	129,538	229,763	1,283,170	5,881,651
2022-08-04	$78.35	$78.00	12.6%	3.6%	10.9%	51.5%	13.7%	3.5%	-0.5%	-453.8M	2.51B	-26.1M	2.79	5.12	108,925	303,441	1,344,100	5,950,080
2022-08-05	$78.03	$78.00	12.2%	3.5%	11.1%	49.8%	14.0%	3.3%	-0.4%	-542.5M	3.48B	-28.1M	3.73	58.82	103,040	383,860	1,378,290	6,057,398
2022-08-08	$78.19	$79.00	12.6%	3.5%	10.8%	51.5%	13.0%	3.3%	-0.0%	-651.3M	3.65B	-26.6M	1.93	16.96	119,419	230,732	1,350,230	6,191,925
2022-08-09	$77.58	$79.00	13.0%	3.5%	11.4%	53.5%	14.4%	3.6%	-0.5%	-877.2M	5.31B	-28.3M	8.23	62.85	34,602	284,648	1,366,112	6,219,623
2022-08-10	$78.67	$79.00	11.9%	3.3%	12.2%	48.2%	13.1%	3.2%	-0.3%	-453.6M	2.27B	-24.3M	2.28	10.50	132,173	301,667	1,374,826	6,387,602
2022-08-11	$78.23	$80.00	12.4%	3.5%	12.2%	50.7%	13.1%	3.5%	-0.2%	-699.1M	4.25B	-26.7M	4.47	51.50	73,064	326,825	1,439,054	6,484,255
2022-08-12	$78.90	$80.00	11.7%	3.4%	11.7%	47.0%	11.9%	3.5%	0.1%	-420.3M	2.45B	-24.9M	1.17	28.91	78,552	91,698	1,475,670	6,648,132
2022-08-15	$78.74	$80.00	11.9%	3.4%	11.1%	48.3%	13.1%	3.8%	0.7%	-501.7M	3.04B	-25.6M	2.76	48.95	67,902	187,495	1,472,215	6,574,626
2022-08-16	$78.42	$80.00	12.2%	3.5%	10.6%	49.6%	12.6%	3.1%	0.2%	-617.3M	3.83B	-24.0M	1.91	7.28	116,928	223,476	1,464,431	6,646,619
2022-08-17	$77.62	$80.00	12.6%	3.6%	11.2%	51.4%	12.9%	3.7%	0.2%	-876.4M	6.15B	-27.0M	2.41	62.37	67,967	163,547	1,524,312	6,683,635
2022-08-18	$77.78	$80.00	12.4%	3.6%	10.8%	50.6%	12.1%	3.6%	0.3%	-824.1M	5.91B	-26.0M	3.52	3.61	68,081	239,523	1,551,822	6,757,844
2022-08-19	$76.94	$80.00	13.1%	3.7%	11.6%	53.9%	14.6%	3.9%	0.6%	-1.98B	8.54B	-28.6M	3.19	51.67	102,112	326,013	1,583,755	6,829,683
2022-08-22	$76.10	$80.00	14.6%	4.1%	12.2%	61.2%	15.8%	4.2%	-0.2%	-1.25B	8.97B	-28.8M	8.43	24.05	29,661	250,134	1,077,402	5,093,472
2022-08-23	$76.31	$80.00	13.6%	3.9%	12.1%	56.3%	15.6%	4.1%	0.0%	-1.30B	8.38B	-27.4M	2.31	52.93	102,078	235,295	1,102,758	5,201,516
2022-08-24	$76.37	$80.00	13.8%	3.8%	11.3%	57.2%	13.5%	4.0%	-0.1%	-1.27B	8.51B	-27.5M	1.02	53.48	72,706	74,244	1,145,050	5,316,721
2022-08-25	$76.99	$80.00	13.0%	3.6%	11.1%	53.6%	12.9%	3.5%	-0.0%	-1.13B	6.80B	-25.4M	3.10	32.32	122,714	380,076	1,208,503	5,322,614
2022-08-26	$75.81	$80.00	14.0%	4.0%	12.2%	58.2%	14.7%	4.2%	-0.0%	-1.39B	10.10B	-29.3M	9.43	54.38	26,773	252,373	1,283,052	5,559,264
2022-08-29	$75.59	$80.00	15.0%	4.2%	12.2%	63.3%	15.3%	4.2%	0.1%	-1.53B	10.60B	-29.2M	12.74	30.11	33,048	420,870	1,220,221	5,639,147
2022-08-30	$74.99	$80.00	15.6%	4.2%	12.3%	66.3%	14.4%	4.1%	-0.4%	-1.66B	12.11B	-29.1M	2.78	56.69	161,419	448,928	1,243,204	5,667,896
2022-08-31	$74.62	$79.00	15.1%	4.2%	11.8%	64.1%	14.7%	3.9%	-0.1%	-1.76B	13.18B	-29.0M	2.11	46.85	202,240	427,391	1,343,959	5,825,333