HYG Options History — October 2022

In October 2022, HYG traded between $71.35 and $74.58. ATM implied volatility averaged 17.3%, placing in the 72.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.5% (HV 20d: 14.8%). Max pain ranged from $75.00 to $77.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2022-10-19: Highest Volume — 775,592 contracts
  • 2022-10-07: Largest IV spike — 6.9% change
  • 2022-10-11: Highest IV Rank — 86.6%
  • 2022-10-10: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.60$71.35$74.58$72.04$73.57
Max Pain$76.57$75.00$77.00$77.00$75.00
ATM IV17.3%15.0%19.9%17.2%16.1%
Expected Move4.9%4.4%5.6%4.9%4.8%
HV 20d14.8%13.2%16.2%14.5%14.2%
HV 60d13.1%12.7%13.5%12.7%13.5%
IV Rank72.4%59.3%86.6%72.0%65.2%
IV Percentile91.5%76.6%99.2%96.0%84.5%
Term Structure-0.1%-1.2%1.2%0.0%-0.4%
VWIV17.9%15.8%20.4%17.5%17.0%
Skew 25d3.0%-2.2%4.8%4.3%2.6%
Skew 10d5.8%1.8%8.6%7.9%4.3%
Call IV 25d16.3%14.2%22.5%15.5%15.1%
Put IV 25d19.3%16.4%22.4%19.8%17.7%
Bid-Ask Spread %59.8048.0981.4848.0964.57
Gamma HHI0.100.090.170.090.10
Net GEX-1.10B-1.54B-273.2M-1.37B-619.7M
Net DEX10.52B1.92B15.58B13.03B4.69B
Net VEX-30.7M-36.0M-24.1M-34.5M-26.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.884.441.233.46
Total Volume522,488.143347,979775,592347,979362,619
Total OI7,552,678.3816,297,8248,725,9387,099,9396,929,799

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$72.04$77.0017.2%4.9%14.5%72.0%17.5%4.3%0.0%-1.37B13.03B-34.5M1.2348.09155,729192,2501,227,5635,872,376
2022-10-04$73.41$77.0016.4%4.6%16.2%68.0%17.2%4.2%-0.1%-1.10B9.57B-32.5M1.6355.02176,706287,4641,313,9075,944,284
2022-10-05$73.29$77.0016.7%4.7%15.4%69.8%18.3%4.6%-0.0%-1.12B10.20B-33.7M2.1956.74169,972372,2771,362,7045,989,273
2022-10-06$73.04$77.0017.7%4.9%15.3%75.1%17.4%4.5%-0.6%-1.18B10.96B-33.5M2.0162.36153,526309,2381,391,0616,043,893
2022-10-07$72.14$77.0019.0%5.3%15.6%81.5%19.0%4.5%-0.4%-1.46B14.04B-36.0M4.4464.13110,782492,2661,462,5046,186,084
2022-10-10$71.35$77.0019.5%5.6%15.7%84.3%19.9%4.8%0.0%-1.51B15.58B-35.2M4.0549.25119,558484,4451,446,5386,180,404
2022-10-11$71.51$77.0019.9%5.4%14.4%86.6%19.7%1.8%0.3%-1.54B15.13B-34.9M2.5264.82165,426416,7651,494,1196,322,589
2022-10-12$71.71$76.0019.9%5.5%14.5%86.3%20.1%4.4%-1.0%-1.45B14.59B-35.5M2.4148.28110,784266,4711,578,2166,447,181
2022-10-13$71.79$76.0018.6%4.9%14.4%79.8%16.9%-2.2%1.2%-1.53B14.01B-32.0M1.5881.48182,885288,7901,605,7476,512,800
2022-10-14$71.45$77.0018.7%5.4%14.4%80.3%20.4%4.0%-0.1%-1.54B15.04B-33.1M2.5366.08167,148422,9611,655,3046,522,129
2022-10-17$72.47$77.0018.0%5.2%15.3%76.5%18.4%3.5%-1.2%-1.33B12.02B-29.9M1.6371.13217,542355,3411,653,1876,496,117
2022-10-18$72.83$77.0017.0%4.8%15.2%71.1%17.4%3.5%-0.4%-1.18B10.92B-29.7M1.4766.26181,304265,7641,721,6476,666,039
2022-10-19$72.16$77.0017.4%5.0%15.5%73.2%17.9%3.4%-0.5%-1.41B13.02B-30.6M3.6152.76168,311607,2811,755,3206,719,004
2022-10-20$71.76$77.0016.9%4.9%15.5%70.4%17.5%3.2%-0.6%-1.37B14.21B-30.7M1.5966.52216,596344,6611,803,8526,848,327
2022-10-21$72.47$77.0017.1%5.0%15.3%71.0%17.8%2.9%-1.0%-273.2M11.72B-29.3M1.5566.55202,413313,2521,855,2276,870,711
2022-10-24$72.57$77.0016.2%4.9%14.5%66.2%17.6%2.5%0.9%-884.9M6.72B-27.4M2.8952.26136,078393,4181,192,1035,105,721
2022-10-25$73.22$76.0015.6%4.6%14.6%62.5%16.6%1.8%0.5%-699.5M5.30B-25.8M2.7152.96137,856374,2271,260,2605,174,348
2022-10-26$73.33$76.0015.0%4.4%13.3%59.4%15.8%2.0%0.5%-669.8M4.95B-24.8M0.8857.83257,248226,1881,287,0065,176,805
2022-10-27$74.01$76.0015.0%4.5%13.2%59.3%15.8%2.2%0.4%-486.7M3.26B-24.1M1.3052.15203,717264,7331,442,0125,216,513
2022-10-28$74.58$75.0015.6%4.6%13.2%62.9%17.0%1.5%0.3%-281.3M1.92B-24.8M1.7556.66253,549444,7101,548,6145,324,958
2022-10-31$73.57$75.0016.1%4.8%14.2%65.2%17.0%2.6%-0.4%-619.7M4.69B-26.1M3.4664.5781,291281,3281,628,7375,301,062