HYG Options History — May 2023

In May 2023, HYG traded between $73.60 and $74.78. ATM implied volatility averaged 8.9%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.8% (HV 20d: 7.0%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 8.75.

Notable Days

  • 2023-05-10: Highest Volume — 900,964 contracts
  • 2023-05-24: Largest IV spike — 18.1% change
  • 2023-05-04: Highest IV Rank — 17.7%
  • 2023-05-04: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.33$73.60$74.78$74.62$74.20
Max Pain$75.14$75.00$76.00$76.00$75.00
ATM IV8.9%7.6%10.7%9.4%8.0%
Expected Move2.5%2.1%3.3%2.6%2.2%
HV 20d7.0%6.8%7.5%7.0%6.8%
HV 60d8.9%8.0%9.7%9.7%8.0%
IV Rank6.2%0.0%17.7%8.3%3.0%
IV Percentile5.1%0.0%17.5%6.0%1.2%
Term Structure0.0%-1.0%1.1%-0.2%0.0%
VWIV10.4%7.4%15.3%10.0%8.2%
Skew 25d3.6%2.7%4.3%3.2%2.7%
Skew 10d7.4%5.3%9.5%6.9%5.7%
Call IV 25d7.5%6.4%9.5%8.0%6.7%
Put IV 25d11.1%9.4%13.7%11.2%9.4%
Bid-Ask Spread %5.092.6512.272.835.59
Gamma HHI0.130.100.200.100.16
Net GEX-1.62B-2.35B-879.2M-983.5M-1.80B
Net DEX5.81B4.17B8.01B5.22B4.62B
Net VEX-29.3M-37.4M-19.5M-30.7M-19.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.751.2926.328.232.53
Total Volume388,576.909169,521900,964406,207301,232
Total OI7,422,315.8646,566,6128,613,6686,566,6126,981,510

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$74.62$76.009.4%2.6%7.0%8.3%10.0%3.2%-0.2%-983.5M5.22B-30.7M8.232.8343,989362,2181,396,7535,169,859
2023-05-02$74.68$76.0010.0%2.9%6.9%12.5%10.6%3.6%-0.3%-879.2M4.54B-30.7M9.353.0951,503481,3121,386,0725,308,762
2023-05-03$74.75$76.0010.3%2.9%6.8%15.1%11.3%3.6%-0.3%-989.0M4.84B-34.9M9.123.6742,118384,1921,398,2625,581,409
2023-05-04$74.30$75.0010.7%3.3%6.8%17.7%13.1%4.2%-0.3%-1.42B6.93B-37.4M8.776.7162,586548,7241,422,5045,728,905
2023-05-05$74.78$75.008.8%2.5%6.9%4.8%10.1%3.7%-0.2%-1.08B4.85B-32.5M6.916.9646,993324,8231,451,4025,917,919
2023-05-08$74.56$75.009.1%2.4%7.0%6.4%10.9%3.9%-1.0%-1.26B5.22B-30.8M7.0010.4840,339282,4361,447,2725,937,494
2023-05-09$74.35$75.008.9%2.7%6.9%5.2%12.0%3.4%0.7%-1.47B6.41B-33.4M26.324.6716,892444,5931,462,2405,935,150
2023-05-10$74.78$75.008.3%2.4%7.3%0.9%10.8%3.6%0.1%-1.11B4.60B-29.9M15.254.9655,429845,5351,477,2746,041,470
2023-05-11$74.69$75.008.8%2.4%6.8%4.7%11.3%3.5%-0.5%-1.23B5.15B-32.0M16.256.7423,549382,7241,515,5826,354,351
2023-05-12$74.38$75.008.9%2.7%6.9%5.2%15.3%3.6%1.1%-1.79B6.56B-32.3M19.823.9124,283481,2571,531,1296,455,938
2023-05-15$74.38$75.009.1%2.7%6.8%6.3%8.6%3.7%-0.8%-1.78B6.04B-31.4M2.823.5465,457184,7301,524,6516,603,907
2023-05-16$73.93$75.009.0%2.6%7.0%5.7%11.6%3.8%0.1%-2.22B7.95B-32.0M6.612.6560,647400,6291,556,7886,693,880
2023-05-17$74.12$75.008.7%2.5%7.1%3.7%10.1%4.0%0.1%-2.25B6.95B-29.4M7.894.5551,370405,5271,573,2886,798,193
2023-05-18$74.13$75.008.3%2.4%7.1%0.8%10.5%4.2%0.2%-2.28B6.80B-29.3M4.232.8668,046288,0951,622,9906,816,628
2023-05-19$74.18$75.007.6%2.2%7.0%0.0%8.1%3.1%0.3%-2.35B6.05B-24.7M1.293.68117,880152,1731,650,8466,962,822
2023-05-22$74.57$75.007.6%2.2%7.2%0.0%9.5%3.2%0.2%-1.48B4.28B-24.5M3.8312.2767,565258,8211,211,3395,501,593
2023-05-23$74.15$75.008.4%2.4%7.4%5.4%10.4%3.4%0.3%-1.77B5.67B-26.6M7.054.6321,069148,4521,249,8485,658,515
2023-05-24$73.69$75.009.9%2.9%7.5%15.6%11.7%4.3%0.2%-1.93B7.63B-29.1M8.625.3738,045328,0371,279,8445,705,586
2023-05-25$73.60$75.009.1%2.6%7.2%10.3%9.8%4.2%0.6%-2.10B8.01B-29.0M12.954.8915,710203,4881,292,2785,749,264
2023-05-26$74.09$75.008.2%2.2%7.5%3.9%8.1%3.0%0.1%-2.08B5.36B-24.4M3.574.3138,082135,7911,300,4615,746,871
2023-05-30$74.31$75.007.7%2.1%6.8%1.0%7.4%2.8%-0.1%-1.48B4.17B-19.5M4.073.6549,733202,6181,280,8675,609,233
2023-05-31$74.20$75.008.0%2.2%6.8%3.0%8.2%2.7%0.0%-1.80B4.62B-19.9M2.535.5985,258215,9741,328,0525,653,458