HYG Options History — November 2022

In November 2022, HYG traded between $71.83 and $75.60. ATM implied volatility averaged 13.7%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.3% (HV 20d: 15.0%). Max pain ranged from $74.00 to $76.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.60.

Notable Days

  • 2022-11-17: Highest Volume — 821,624 contracts
  • 2022-11-22: Largest IV drop — 11.3% change
  • 2022-11-01: Highest IV Rank — 68.1%
  • 2022-11-01: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.95$71.83$75.60$73.51$75.60
Max Pain$75.00$74.00$76.00$75.00$75.00
ATM IV13.7%11.3%16.6%16.6%11.4%
Expected Move4.1%3.4%5.0%5.0%3.8%
HV 20d15.0%11.7%17.2%12.5%16.0%
HV 60d14.2%13.1%15.0%13.5%14.8%
IV Rank51.8%38.1%68.1%68.1%38.6%
IV Percentile61.2%36.1%87.7%87.7%36.5%
Term Structure-0.1%-2.7%1.7%-0.6%-0.0%
VWIV14.7%11.8%18.1%18.1%13.5%
Skew 25d2.6%2.0%3.2%3.0%2.0%
Skew 10d4.5%3.5%5.8%5.3%3.9%
Call IV 25d12.5%10.3%15.1%15.1%10.3%
Put IV 25d15.2%12.3%18.1%18.1%12.3%
Bid-Ask Spread %44.584.1273.8848.1564.70
Gamma HHI0.090.080.140.080.09
Net GEX-321.8M-1.10B326.9M-573.4M241.9M
Net DEX3.22B-751.4M9.04B5.18B-751.4M
Net VEX-25.7M-30.3M-20.0M-30.3M-20.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.886.751.541.57
Total Volume465,488.57175,354821,624422,483181,989
Total OI7,418,6526,524,1528,769,7817,049,2456,951,916

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$73.51$75.0016.6%5.0%12.5%68.1%18.1%3.0%-0.6%-573.4M5.18B-30.3M1.5448.15166,042256,4411,642,5305,406,715
2022-11-02$73.06$76.0016.0%4.7%12.7%64.9%16.6%2.9%-0.3%-763.1M6.30B-30.2M0.9470.12233,981220,4461,705,0235,525,825
2022-11-03$72.41$75.0015.8%4.7%13.0%63.6%16.2%2.5%-0.4%-1.06B7.70B-30.0M2.7150.05129,446350,5021,798,9485,575,192
2022-11-04$72.90$75.0015.0%4.4%12.4%59.4%14.5%2.7%-0.4%-727.7M6.32B-28.8M1.0430.62196,078204,2281,822,2895,599,422
2022-11-07$72.87$75.0014.9%4.4%11.7%58.7%15.9%2.5%0.7%-733.8M6.05B-27.3M3.814.1290,366344,4841,809,4095,474,942
2022-11-08$72.92$74.0014.6%4.4%11.7%56.7%16.0%2.5%0.6%-723.5M5.90B-27.7M3.6855.98117,416432,1001,877,2635,556,156
2022-11-09$71.83$75.0015.6%4.7%13.0%62.0%16.3%3.1%0.7%-1.10B9.04B-29.2M3.2728.38132,850433,7941,936,6035,706,936
2022-11-10$74.17$75.0014.0%4.3%17.2%53.3%15.6%2.5%1.0%-181.6M2.30B-26.4M1.5549.01249,443385,9581,996,5645,787,036
2022-11-11$74.46$75.0014.1%4.3%17.1%53.6%14.5%2.7%1.7%63.4M1.56B-26.6M1.5754.62207,625325,9601,995,8645,827,480
2022-11-14$74.00$75.0014.3%4.2%16.7%54.9%16.3%2.9%-0.2%-318.9M2.89B-25.7M6.7555.9485,672577,9762,012,4395,832,929
2022-11-15$74.55$75.0013.9%4.0%16.8%52.6%14.6%3.2%0.2%-65.5M1.36B-25.7M3.4754.02169,468588,4362,065,6435,963,161
2022-11-16$74.42$75.0014.2%4.1%16.4%54.3%15.8%3.0%-1.0%-69.1M1.95B-25.0M1.8529.47231,515428,4402,105,9066,232,608
2022-11-17$74.07$75.0013.6%3.9%16.3%51.2%13.7%3.2%-0.3%-235.4M2.67B-26.2M2.9531.20207,992613,6322,245,3346,327,955
2022-11-18$74.19$75.0012.6%3.8%16.0%45.4%13.9%2.7%-2.7%-162.9M1.89B-26.2M2.4613.87173,078425,0002,289,6486,480,133
2022-11-21$74.20$75.0012.7%3.7%16.1%46.1%13.3%2.9%-0.6%-317.6M2.06B-24.1M3.2533.3270,500229,2501,562,6854,961,467
2022-11-22$74.76$75.0011.3%3.4%16.0%38.1%11.8%2.4%-0.5%-37.1M745.4M-21.6M0.8858.27182,061160,8571,580,3005,029,903
2022-11-23$75.25$75.0011.7%3.4%16.1%40.4%12.3%2.1%-0.6%162.4M-171.7M-20.9M2.0643.09133,164274,8961,606,6385,088,621
2022-11-25$75.03$75.0011.4%3.4%15.9%38.7%12.1%2.0%-0.4%326.9M528.6M-22.1M3.8128.2315,67559,6791,608,9175,156,207
2022-11-28$74.27$75.0012.3%4.0%16.1%43.5%13.8%2.1%-0.0%-287.6M2.26B-23.5M2.0373.8880,935164,2811,604,8385,153,106
2022-11-29$74.53$75.0012.3%4.1%15.3%43.5%14.5%2.7%0.1%-204.6M1.73B-22.9M3.3559.2556,029187,5751,630,6225,256,519
2022-11-30$75.60$75.0011.4%3.8%16.0%38.6%13.5%2.0%-0.0%241.9M-751.4M-20.0M1.5764.7070,901111,0881,652,4855,299,431