HYG Options History — September 2022

In September 2022, HYG traded between $71.07 and $75.98. ATM implied volatility averaged 15.8%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.3% (HV 20d: 12.5%). Max pain ranged from $77.00 to $79.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.04.

Notable Days

  • 2022-09-16: Highest Volume — 947,013 contracts
  • 2022-09-13: Largest IV spike — 16.2% change
  • 2022-09-27: Highest IV Rank — 81.6%
  • 2022-09-27: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.68$71.07$75.98$74.26$71.48
Max Pain$78.00$77.00$79.00$79.00$78.00
ATM IV15.8%13.5%18.7%15.4%16.9%
Expected Move4.5%3.7%5.4%4.2%4.9%
HV 20d12.5%11.2%14.1%11.7%14.1%
HV 60d12.7%11.8%14.8%14.8%12.6%
IV Rank67.1%56.2%81.6%65.6%70.8%
IV Percentile90.8%77.0%98.8%91.3%94.8%
Term Structure-0.2%-1.1%0.4%0.1%0.3%
VWIV16.5%13.7%20.0%15.5%17.3%
Skew 25d3.6%1.7%4.5%3.9%3.8%
Skew 10d6.6%2.9%8.6%7.6%6.6%
Call IV 25d14.4%12.1%19.4%13.9%15.5%
Put IV 25d18.0%15.8%21.1%17.7%19.3%
Bid-Ask Spread %50.9124.4268.0240.7652.30
Gamma HHI0.120.090.290.120.10
Net GEX-1.58B-2.18B-1.15B-1.69B-1.71B
Net DEX12.62B8.18B16.04B14.29B15.22B
Net VEX-30.9M-34.1M-26.4M-34.1M-31.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.041.3515.802.222.98
Total Volume553,532.571203,965947,013622,448413,130
Total OI7,352,929.196,088,3478,583,9107,354,5667,350,720

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$74.26$79.0015.4%4.2%11.7%65.6%15.5%3.9%0.1%-1.69B14.29B-34.1M2.2240.76193,083429,3651,388,5385,966,028
2022-09-02$74.26$79.0015.0%4.1%11.8%63.2%15.4%3.8%0.1%-1.60B14.07B-32.9M1.4034.73119,133166,2001,517,3376,005,063
2022-09-06$74.18$78.0016.1%4.4%11.6%68.8%17.0%4.5%-0.4%-1.72B14.41B-32.3M4.1664.2274,958311,8491,538,2876,008,990
2022-09-07$75.14$78.0014.8%4.0%12.7%62.3%16.5%4.0%-0.3%-1.43B11.11B-29.8M6.1434.12101,204621,1141,565,1076,014,105
2022-09-08$75.42$78.0014.4%4.1%11.5%60.5%15.8%4.0%-0.3%-1.28B10.31B-30.3M7.5929.9349,705377,1001,587,8856,296,568
2022-09-09$75.78$78.0013.5%3.7%11.7%56.2%14.6%3.6%-0.3%-1.15B8.81B-28.7M1.4168.02145,279204,4131,606,3096,451,610
2022-09-12$75.98$78.0013.9%3.8%11.2%57.9%13.7%3.4%-0.5%-1.18B8.54B-26.4M1.3564.41214,774290,6811,530,2746,421,794
2022-09-13$74.43$78.0016.1%4.5%13.0%68.9%15.8%3.7%-0.9%-1.83B13.64B-29.5M2.9066.23156,564453,7471,561,6026,492,423
2022-09-14$74.46$78.0015.8%4.5%13.0%67.3%16.6%3.9%-0.1%-1.89B13.58B-28.8M2.4340.03173,238421,0501,611,8986,567,463
2022-09-15$73.97$78.0015.9%4.4%12.8%67.6%17.3%3.8%-0.8%-1.95B15.06B-29.6M15.8024.4240,502639,8161,690,4456,659,897
2022-09-16$74.08$78.0015.2%4.2%12.8%64.5%15.3%3.8%-0.5%-2.18B14.75B-30.0M3.6564.60203,827743,1861,711,6996,872,211
2022-09-19$74.44$78.0014.5%4.1%12.6%60.9%15.1%3.3%-0.1%-1.21B8.18B-28.6M3.6556.0264,124234,130845,4335,242,914
2022-09-20$73.74$78.0015.7%4.5%12.5%67.0%15.5%3.7%-0.0%-1.35B9.86B-30.9M1.8056.8572,882131,083878,0015,382,189
2022-09-21$73.51$78.0015.3%4.4%12.4%64.7%15.1%3.3%-0.2%-1.47B10.29B-29.9M2.4361.8971,393173,251909,6895,439,057
2022-09-22$73.27$78.0015.0%4.3%12.4%63.6%16.0%3.1%-0.2%-1.57B10.94B-30.0M4.3660.09132,065575,883967,6635,512,884
2022-09-23$72.30$78.0016.7%4.8%12.4%71.9%17.2%3.4%-0.4%-1.56B13.36B-32.9M8.0365.58102,642824,0531,055,4375,660,415
2022-09-26$71.37$78.0017.6%5.1%12.1%75.9%19.0%3.7%0.2%-1.60B15.41B-32.9M4.2056.14168,198706,5001,016,8485,765,725
2022-09-27$71.07$78.0018.7%5.4%12.1%81.6%20.0%1.7%-0.2%-1.57B16.04B-34.1M2.8760.27163,766469,3371,124,1405,911,526
2022-09-28$72.34$77.0017.1%5.0%14.0%71.8%19.1%4.2%0.4%-1.56B12.79B-32.8M2.7731.81201,993558,9581,147,7095,868,509
2022-09-29$71.77$77.0018.1%5.1%14.1%77.3%19.4%4.0%-1.1%-1.61B14.40B-33.6M2.6336.68118,433311,5751,279,3075,987,814
2022-09-30$71.48$78.0016.9%4.9%14.1%70.8%17.3%3.8%0.3%-1.71B15.22B-31.7M2.9852.30103,912309,2181,324,6776,026,043