HYG Options History — March 2023 In March 2023, HYG traded between $73.12 and $75.50. ATM implied volatility averaged 12.3%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.7% (HV 20d: 10.7%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 4.33.
Notable Days 2023-03-15 : Highest Volume — 1,091,916 contracts2023-03-16 : Largest IV drop — 16.9% change2023-03-13 : Highest IV Rank — 50.6%2023-03-15 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $73.88 $73.12 $75.50 $73.93 $75.50 Max Pain $75.07 $75.00 $76.00 $76.00 $75.00 ATM IV 12.3% 10.3% 15.4% 12.3% 10.3% Expected Move 3.5% 2.9% 4.1% 3.7% 2.9% HV 20d 10.7% 9.3% 11.6% 11.4% 10.2% HV 60d 10.1% 9.7% 10.3% 10.1% 10.1% IV Rank 29.3% 11.9% 50.6% 29.4% 11.9% IV Percentile 39.6% 9.9% 77.8% 42.1% 9.9% Term Structure -0.2% -2.3% 0.4% -0.1% 0.4% VWIV 12.9% 10.5% 15.6% 14.4% 10.5% Skew 25d 3.4% 2.5% 5.0% 3.2% 2.5% Skew 10d 6.2% 4.3% 9.1% 6.0% 4.3% Call IV 25d 10.9% 9.3% 12.9% 10.8% 9.3% Put IV 25d 14.3% 11.8% 17.7% 14.0% 11.8% Bid-Ask Spread % 9.18 3.51 46.51 5.04 4.20 Gamma HHI 0.13 0.11 0.16 0.13 0.13 Net GEX -1.78B -2.47B -244.9M -1.83B -244.9M Net DEX 8.27B -974.2M 13.63B 10.37B -974.2M Net VEX -37.2M -46.1M -24.2M -40.7M -24.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.33 0.69 10.69 5.37 0.69 Total Volume 423,164.174 148,574 1,091,916 335,227 345,196 Total OI 7,920,864.435 6,714,474 9,209,220 7,813,479 7,685,069
Daily Data (23 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 2023-03-01 $73.93 $76.00 12.3% 3.7% 11.4% 29.4% 14.4% 3.2% -0.1% -1.83B 10.37B -40.7M 5.37 5.04 52,641 282,586 1,591,545 6,221,934 2023-03-02 $73.97 $75.50 12.0% 3.6% 11.0% 26.9% 13.2% 3.3% 0.4% -1.89B 9.08B -39.3M 5.90 5.80 93,154 549,723 1,627,665 6,142,279 2023-03-03 $74.72 $75.00 11.4% 3.3% 11.6% 23.0% 11.5% 2.7% 0.0% -1.40B 5.91B -38.6M 1.75 4.77 110,073 193,114 1,672,249 6,290,631 2023-03-06 $74.70 $75.00 11.6% 3.1% 11.1% 23.9% 12.0% 2.7% -0.4% -1.43B 5.87B -37.6M 4.04 16.69 85,589 345,815 1,703,573 6,424,573 2023-03-07 $74.22 $75.00 12.1% 3.3% 11.2% 28.0% 12.8% 2.9% -2.3% -1.81B 8.10B -39.4M 3.95 15.54 95,225 376,474 1,744,090 6,577,300 2023-03-08 $73.81 $75.00 12.2% 3.3% 11.2% 28.5% 12.2% 2.8% -0.3% -2.19B 10.37B -41.0M 3.97 3.51 94,536 375,421 1,780,925 6,691,350 2023-03-09 $73.43 $75.00 13.8% 3.9% 11.2% 39.7% 13.6% 3.7% -0.5% -2.31B 12.26B -44.9M 7.84 4.77 43,429 340,361 1,831,726 6,858,976 2023-03-10 $73.32 $75.00 14.1% 3.9% 11.0% 41.9% 14.3% 3.3% -0.5% -2.43B 13.15B -46.1M 7.26 8.52 85,313 619,745 1,855,581 6,957,182 2023-03-13 $73.16 $75.00 15.4% 4.1% 10.8% 50.6% 15.5% 5.0% -1.0% -2.32B 13.63B -44.6M 10.69 6.66 49,417 528,195 1,834,466 6,909,544 2023-03-14 $73.47 $75.00 12.8% 3.6% 10.8% 33.0% 13.4% 4.1% -0.3% -2.46B 11.73B -39.9M 4.87 3.84 74,373 362,550 1,865,050 7,025,957 2023-03-15 $73.25 $75.00 14.9% 4.1% 10.8% 47.1% 15.6% 4.7% -0.6% -2.47B 13.18B -43.7M 8.52 7.47 114,736 977,180 1,886,262 7,058,588 2023-03-16 $73.85 $75.00 12.4% 3.4% 11.3% 29.6% 14.0% 4.0% -0.6% -2.27B 9.56B -39.2M 4.56 4.14 89,921 409,957 1,977,273 7,219,187 2023-03-17 $73.41 $75.00 14.3% 4.1% 11.2% 42.8% 14.7% 4.8% -0.4% -2.07B 11.30B -40.8M 6.34 17.20 39,312 249,202 2,007,829 7,201,391 2023-03-20 $73.12 $75.00 13.0% 3.7% 11.2% 34.0% 14.5% 3.8% 0.0% -1.73B 9.28B -38.2M 2.24 6.31 78,381 175,890 1,134,578 5,579,896 2023-03-21 $74.06 $75.00 11.9% 3.4% 10.6% 26.1% 13.2% 3.3% -0.1% -1.45B 5.84B -34.4M 4.43 6.16 49,164 217,873 1,190,066 5,657,711 2023-03-22 $74.28 $75.00 11.0% 3.2% 10.5% 20.1% 11.4% 3.2% 0.2% -1.33B 4.86B -33.0M 2.33 46.51 56,667 131,860 1,224,522 5,700,370 2023-03-23 $73.70 $75.00 12.5% 3.6% 9.9% 30.8% 13.2% 3.6% 0.1% -1.69B 7.29B -36.2M 3.12 5.00 100,336 313,277 1,259,353 5,815,337 2023-03-24 $73.62 $75.00 12.4% 3.5% 9.6% 29.5% 13.2% 3.3% 0.2% -1.74B 7.71B -36.7M 5.09 17.00 24,409 124,165 1,295,998 5,935,995 2023-03-27 $73.50 $75.00 11.6% 3.3% 9.3% 24.2% 11.5% 3.3% 0.2% -1.78B 7.70B -32.6M 2.41 4.96 66,526 160,375 1,230,796 5,792,899 2023-03-28 $73.38 $75.00 11.0% 3.1% 9.3% 20.3% 11.4% 3.1% 0.3% -1.92B 7.90B -31.1M 1.74 4.29 110,873 192,398 1,270,073 5,791,756 2023-03-29 $74.27 $75.00 10.4% 3.0% 9.9% 15.9% 11.1% 2.6% 0.3% -1.30B 3.93B -27.1M 1.22 5.07 218,136 266,776 1,352,703 5,884,479 2023-03-30 $74.68 $75.00 10.6% 3.0% 10.1% 17.6% 10.6% 2.9% 0.4% -882.6M 2.24B -27.0M 1.25 7.66 205,695 256,737 1,487,140 5,934,015 2023-03-31 $75.50 $75.00 10.3% 2.9% 10.2% 11.9% 10.5% 2.5% 0.4% -244.9M -974.2M -24.2M 0.69 4.20 203,724 141,472 1,622,444 6,062,625
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