HYG Options History — January 2023

In January 2023, HYG traded between $73.78 and $76.66. ATM implied volatility averaged 10.9%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.5% (HV 20d: 10.4%). Max pain ranged from $74.00 to $75.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 3.25.

Notable Days

  • 2023-01-11: Highest Volume — 741,839 contracts
  • 2023-01-26: Largest IV drop — 11.5% change
  • 2023-01-03: Highest IV Rank — 47.7%
  • 2023-01-03: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.88$73.78$76.66$73.78$76.31
Max Pain$74.80$74.00$75.00$74.00$75.00
ATM IV10.9%8.6%13.2%13.2%9.2%
Expected Move3.1%2.7%3.7%3.7%2.8%
HV 20d10.4%7.8%11.9%10.3%8.1%
HV 60d12.5%11.8%13.0%13.0%11.9%
IV Rank28.7%9.5%47.7%47.7%13.1%
IV Percentile24.0%2.4%54.4%54.4%4.8%
Term Structure-0.2%-0.7%0.3%-0.4%-0.0%
VWIV11.5%9.0%13.8%13.8%11.0%
Skew 25d2.1%0.8%2.6%2.6%1.9%
Skew 10d3.8%1.3%4.8%4.8%3.2%
Call IV 25d9.9%8.4%12.3%12.3%8.4%
Put IV 25d12.0%9.6%14.9%14.9%10.3%
Bid-Ask Spread %16.523.0181.903.4562.27
Gamma HHI0.130.080.280.100.12
Net GEX-90.8M-812.6M996.0M-654.3M-304.3M
Net DEX-67.5M-3.47B3.29B3.29B1.44B
Net VEX-24.7M-27.6M-21.5M-26.5M-25.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.250.809.959.954.25
Total Volume475,199.1194,854741,839463,501690,396
Total OI6,506,664.255,172,9937,856,4215,172,9936,931,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$73.78$74.0013.2%3.7%10.3%47.7%13.8%2.6%-0.4%-654.3M3.29B-26.5M9.953.4542,320421,1811,282,2213,890,772
2023-01-04$74.50$74.0013.0%3.6%10.6%46.1%12.9%2.5%-0.4%-433.9M1.73B-25.4M2.263.5184,543190,6981,301,0774,109,446
2023-01-05$74.47$74.0013.0%3.7%10.5%46.5%11.7%2.4%-0.6%-369.3M1.50B-24.8M0.804.68184,618148,5331,368,0254,204,560
2023-01-06$75.65$74.0012.3%3.4%11.8%40.6%13.3%2.3%-0.1%112.0M-1.41B-22.4M4.273.67140,181598,1181,472,6924,242,266
2023-01-09$75.75$75.0012.5%3.5%11.8%41.8%13.4%2.3%-0.3%9.3M-1.13B-23.1M3.103.94114,376354,2081,488,9374,577,980
2023-01-10$75.75$75.0012.3%3.4%11.8%40.6%12.3%2.3%-0.4%-8.1M-949.0M-23.8M2.2646.68201,993456,0241,574,0494,782,599
2023-01-11$76.16$75.0012.1%3.5%11.9%39.3%12.2%2.3%0.1%78.9M-1.65B-24.1M1.463.16301,201440,6381,593,3454,971,146
2023-01-12$76.63$75.0010.8%3.0%11.6%31.8%12.5%2.0%-0.2%485.4M-3.24B-24.1M2.673.04110,378294,2201,763,7075,221,501
2023-01-13$76.66$75.009.9%2.8%11.6%26.6%11.4%1.8%-0.1%455.0M-3.47B-21.5M3.314.0572,605240,1431,764,6775,404,501
2023-01-17$76.45$75.0010.6%3.1%10.9%27.9%11.2%2.4%-0.6%341.4M-2.57B-22.6M9.803.4333,275326,0281,765,7955,494,447
2023-01-18$76.50$75.0010.9%3.1%10.7%29.2%10.4%2.2%-0.7%279.1M-2.37B-23.2M2.083.06129,043269,0051,789,8915,700,365
2023-01-19$76.06$75.0010.6%3.1%10.7%26.2%11.2%2.4%-0.3%-28.8M-807.7M-24.9M1.283.01228,168292,5581,886,1225,776,511
2023-01-20$76.03$75.0010.0%2.9%10.6%22.7%10.6%1.7%-0.2%996.0M-854.8M-26.0M2.744.33171,064469,3441,923,8735,932,548
2023-01-23$76.12$75.0010.3%3.0%10.4%20.6%10.7%2.1%0.2%-429.3M1.44B-25.6M1.858.51117,589217,0771,213,2294,534,829
2023-01-24$76.15$75.009.9%2.9%10.0%18.1%10.8%1.9%0.3%-356.4M1.18B-25.5M4.235.90101,738430,4471,291,2674,660,821
2023-01-25$76.22$75.009.7%2.9%10.0%16.8%10.2%2.1%0.2%-402.3M1.27B-26.8M1.045.13242,513252,6691,375,8024,896,588
2023-01-26$76.41$75.008.6%2.7%9.1%9.5%10.2%0.8%0.1%-282.3M758.1M-25.4M1.6412.6273,729121,1251,475,9225,028,158
2023-01-27$76.16$75.009.1%2.7%8.0%12.7%9.0%1.5%0.1%-491.1M1.38B-25.2M3.0264.02148,036447,4771,525,2055,077,829
2023-01-30$75.75$75.009.8%2.9%7.8%17.1%10.8%2.2%-0.2%-812.6M3.12B-27.6M3.0881.9085,085261,6381,581,1355,257,627
2023-01-31$76.31$75.009.2%2.8%8.1%13.1%11.0%1.9%-0.0%-304.3M1.44B-25.5M4.2562.27131,475558,9211,601,9975,329,823