HYG Options History — February 2023

In February 2023, HYG traded between $73.38 and $77.16. ATM implied volatility averaged 10.3%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.4% (HV 20d: 8.9%). Max pain ranged from $76.00 to $77.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 2.99.

Notable Days

  • 2023-02-17: Highest Volume — 838,587 contracts
  • 2023-02-14: Largest IV drop — 12.5% change
  • 2023-02-24: Highest IV Rank — 26.6%
  • 2023-02-24: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.14$73.38$77.16$76.82$74.53
Max Pain$76.53$76.00$77.00$76.00$76.00
ATM IV10.3%9.1%11.9%9.1%11.1%
Expected Move3.0%2.6%3.5%2.6%3.1%
HV 20d8.9%7.5%11.7%8.3%11.6%
HV 60d10.4%9.6%12.0%11.7%10.0%
IV Rank16.0%8.3%26.6%12.4%21.0%
IV Percentile14.5%3.6%35.7%4.0%21.4%
Term Structure-0.1%-1.7%0.8%0.2%-0.3%
VWIV11.0%10.0%12.4%10.7%10.4%
Skew 25d3.0%2.3%4.2%2.3%2.9%
Skew 10d5.9%4.5%11.8%4.5%5.1%
Call IV 25d9.1%7.6%10.4%7.9%9.9%
Put IV 25d12.1%10.2%14.6%10.2%12.8%
Bid-Ask Spread %63.5011.5686.3677.8914.17
Gamma HHI0.130.110.160.140.15
Net GEX-1.49B-2.78B319.3M120.5M-1.96B
Net DEX6.79B-584.4M12.22B955.3M7.63B
Net VEX-34.3M-37.9M-31.5M-31.5M-31.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.991.045.883.682.00
Total Volume494,979.789149,371838,587501,139525,039
Total OI7,485,783.6846,617,2658,177,1047,242,4777,549,502

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$76.82$76.009.1%2.6%8.3%12.4%10.7%2.3%0.2%120.5M955.3M-31.5M3.6877.89107,140393,9991,579,3145,663,163
2023-02-02$77.16$76.009.1%2.6%7.8%12.4%10.0%2.6%-0.1%319.3M-584.4M-32.4M1.0413.77282,485294,5281,621,6315,630,285
2023-02-03$76.34$76.009.1%2.7%9.0%12.4%10.3%2.9%-0.1%-149.7M2.02B-35.3M2.0681.5965,408134,8841,683,7115,728,858
2023-02-06$75.93$77.0010.0%2.7%7.5%13.8%10.6%2.6%-0.5%-691.8M3.77B-35.4M1.6811.5655,78693,5851,597,2095,755,328
2023-02-07$76.19$77.009.5%2.8%7.5%10.5%10.0%2.6%0.2%-489.8M2.66B-33.1M4.5380.5845,893207,7091,610,5685,780,894
2023-02-08$75.90$77.009.8%2.8%7.7%12.2%10.7%2.8%0.1%-891.6M4.32B-35.2M1.6180.28179,968290,4291,617,8595,862,445
2023-02-09$75.37$76.0010.3%3.1%7.8%15.8%11.1%2.9%0.8%-1.43B6.55B-36.3M2.3666.8799,987235,7771,613,7915,947,383
2023-02-10$74.78$77.0010.8%3.1%7.8%19.5%11.8%3.1%0.1%-1.95B9.24B-37.9M4.1131.31161,418662,6461,581,5046,041,370
2023-02-13$75.07$77.0011.1%3.2%8.0%20.8%12.1%3.3%0.1%-1.78B7.95B-35.7M3.0866.39180,932558,1351,585,5586,144,698
2023-02-14$75.02$76.009.7%2.8%8.0%11.2%10.9%3.1%0.2%-2.17B8.31B-35.4M2.2476.45202,762454,9501,622,8816,327,898
2023-02-15$74.84$77.009.3%2.7%8.0%8.3%10.5%2.7%0.5%-2.43B8.85B-33.6M2.5961.98115,750300,0371,604,2066,348,488
2023-02-16$74.34$77.009.7%2.8%8.0%11.2%10.4%2.8%-1.7%-2.78B10.96B-34.0M5.2075.8575,252391,1171,707,8096,401,163
2023-02-17$74.59$77.009.8%2.8%8.2%11.8%10.9%2.9%0.5%-2.30B9.69B-33.6M4.3164.75157,918680,6691,717,5096,459,595
2023-02-21$73.38$77.0010.5%3.4%9.8%16.9%12.4%4.2%-0.5%-2.16B12.22B-34.4M3.7386.36141,275527,4911,164,8255,452,440
2023-02-22$73.81$77.0011.5%3.3%10.1%23.4%11.8%3.3%-0.5%-2.12B10.87B-34.5M1.9475.53203,193394,7011,289,5565,599,028
2023-02-23$74.72$76.0011.2%3.2%11.2%21.5%11.3%3.0%-0.2%-1.78B7.05B-33.3M2.2479.09147,228330,4871,437,7185,754,316
2023-02-24$74.19$76.0011.9%3.5%11.4%26.6%12.4%3.3%-0.4%-1.84B9.34B-35.9M5.8883.7454,688321,6771,476,7175,844,388
2023-02-27$74.66$76.0011.4%3.3%11.7%22.6%11.2%2.8%-0.1%-1.81B7.30B-32.4M2.5378.3093,325236,3481,512,1615,914,121
2023-02-28$74.53$76.0011.1%3.1%11.6%21.0%10.4%2.9%-0.3%-1.96B7.63B-31.9M2.0014.17175,287349,7521,535,4706,014,032