HYG Options History — December 2022

In December 2022, HYG traded between $72.82 and $76.00. ATM implied volatility averaged 12.3%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.6% (HV 20d: 11.6%). Max pain ranged from $74.00 to $76.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.80.

Notable Days

2022-12-01: Highest Volume — 539,484 contracts
2022-12-13: Largest IV drop — 17.0% change
2022-12-12: Highest IV Rank — 54.7%
2022-12-02: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.64	$72.82	$76.00	$75.60	$73.59
Max Pain	$74.76	$74.00	$76.00	$76.00	$74.00
ATM IV	12.3%	11.0%	14.3%	11.6%	12.9%
Expected Move	3.5%	3.1%	4.0%	3.8%	3.7%
HV 20d	11.6%	9.3%	15.8%	15.8%	10.2%
HV 60d	13.9%	13.0%	14.6%	14.6%	13.0%
IV Rank	43.4%	36.7%	54.7%	39.8%	46.5%
IV Percentile	44.0%	25.8%	65.9%	38.9%	51.6%
Term Structure	0.3%	-0.8%	1.6%	-0.3%	0.7%
VWIV	12.7%	11.5%	13.9%	13.1%	13.6%
Skew 25d	2.5%	2.0%	3.9%	2.6%	2.0%
Skew 10d	4.6%	3.8%	7.0%	4.6%	3.8%
Call IV 25d	10.9%	9.7%	11.8%	10.2%	11.4%
Put IV 25d	13.4%	12.1%	14.5%	12.8%	13.4%
Bid-Ask Spread %	18.64	3.41	69.03	60.92	6.62
Gamma HHI	0.09	0.08	0.10	0.09	0.10
Net GEX	-290.8M	-1.08B	473.3M	215.6M	-720.2M
Net DEX	2.34B	-733.1M	5.82B	54.2M	3.91B
Net VEX	-26.4M	-28.7M	-21.3M	-24.2M	-27.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.80	0.48	7.85	1.95	2.88
Total Volume	286,161.238	138,001	539,484	539,484	149,383
Total OI	6,333,301.952	4,428,017	7,719,245	6,963,399	5,427,085

Daily Data (21 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
2022-12-01	$75.60	$76.00	11.6%	3.8%	15.8%	39.8%	13.1%	2.6%	-0.3%	215.6M	54.2M	-24.2M	1.95	60.92	183,132	356,352	1,600,969	5,362,430
2022-12-02	$75.47	$76.00	11.6%	4.0%	15.4%	39.7%	13.9%	2.5%	0.0%	200.8M	728.9M	-25.7M	2.05	69.03	84,000	172,326	1,552,881	5,518,605
2022-12-05	$74.85	$74.00	12.2%	3.5%	15.7%	43.3%	13.6%	2.9%	1.6%	-186.8M	2.32B	-26.8M	5.78	33.39	30,285	175,120	1,591,498	5,548,349
2022-12-06	$74.59	$75.00	13.3%	3.6%	15.8%	48.9%	13.8%	2.6%	0.0%	-317.2M	3.00B	-27.4M	5.50	24.29	36,152	198,776	1,602,948	5,574,208
2022-12-07	$75.00	$75.00	12.8%	3.7%	15.8%	46.6%	13.6%	2.6%	0.2%	-141.6M	2.16B	-27.3M	1.71	16.06	59,236	101,036	1,592,562	5,664,536
2022-12-08	$75.00	$75.00	12.5%	3.6%	14.6%	44.7%	13.3%	2.7%	0.4%	-170.3M	2.16B	-26.7M	1.91	21.52	70,302	134,363	1,620,188	5,679,610
2022-12-09	$75.12	$75.00	12.5%	3.6%	9.4%	44.8%	11.7%	2.4%	0.3%	-59.1M	1.73B	-26.0M	0.81	19.48	105,074	84,774	1,665,532	5,691,263
2022-12-12	$75.28	$75.00	14.3%	3.7%	9.4%	54.7%	13.2%	2.5%	-0.8%	37.8M	1.21B	-24.7M	0.91	30.54	173,660	158,607	1,715,556	5,702,181
2022-12-13	$76.00	$75.00	11.8%	3.4%	9.5%	41.2%	12.2%	2.4%	-0.2%	473.3M	-733.1M	-21.8M	1.85	16.89	145,794	269,274	1,735,461	5,793,222
2022-12-14	$75.81	$75.00	13.3%	3.2%	9.3%	49.2%	12.1%	3.9%	0.8%	400.5M	372.2M	-21.3M	0.48	34.46	218,634	105,472	1,750,873	5,907,485
2022-12-15	$75.00	$75.00	12.4%	3.6%	10.2%	44.0%	13.3%	2.5%	0.0%	-268.1M	3.26B	-27.2M	2.30	3.41	105,198	242,297	1,687,099	6,032,146
2022-12-16	$74.63	$75.00	11.8%	3.3%	10.2%	40.7%	12.3%	2.5%	-0.6%	-509.7M	2.76B	-26.9M	4.53	4.48	50,292	227,712	1,719,355	5,950,927
2022-12-19	$74.23	$75.00	11.5%	3.3%	10.4%	39.1%	12.0%	2.2%	0.3%	-470.7M	2.57B	-26.4M	1.92	10.93	111,083	213,314	1,076,905	3,351,112
2022-12-20	$74.09	$75.00	11.8%	3.4%	10.4%	40.9%	12.1%	2.5%	0.1%	-518.4M	2.89B	-27.4M	1.83	3.95	179,158	327,880	1,124,975	3,412,643
2022-12-21	$74.63	$75.00	11.1%	3.2%	10.4%	36.9%	12.4%	2.2%	0.3%	-318.5M	1.73B	-27.1M	7.85	4.36	28,417	223,211	1,161,336	3,601,452
2022-12-22	$74.15	$74.00	11.7%	3.3%	10.3%	40.1%	11.7%	2.1%	0.2%	-558.1M	2.79B	-27.9M	3.92	5.18	53,987	211,724	1,144,220	3,696,073
2022-12-23	$74.38	$74.00	11.0%	3.1%	10.4%	36.7%	11.6%	2.1%	0.3%	-508.7M	2.42B	-27.9M	3.74	5.62	29,084	108,917	1,173,177	3,859,662
2022-12-27	$73.63	$74.00	12.1%	3.4%	10.4%	42.6%	11.5%	2.4%	0.9%	-790.0M	3.84B	-27.5M	1.07	8.62	97,869	104,421	1,171,713	3,921,053
2022-12-28	$72.82	$74.00	13.0%	3.7%	10.9%	46.6%	12.6%	2.4%	0.4%	-1.08B	5.82B	-28.7M	2.87	6.57	100,698	288,852	1,248,653	3,974,433
2022-12-29	$73.55	$74.00	12.7%	3.6%	10.2%	45.1%	12.7%	2.6%	0.7%	-819.6M	4.17B	-28.3M	2.85	5.18	76,314	217,206	1,295,587	4,099,378
2022-12-30	$73.59	$74.00	12.9%	3.7%	10.2%	46.5%	13.6%	2.0%	0.7%	-720.2M	3.91B	-27.8M	2.88	6.62	38,529	110,854	1,320,228	4,106,857