HYG Options History — June 2023

In June 2023, HYG traded between $74.12 and $75.18. ATM implied volatility averaged 7.0%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.8% (HV 20d: 6.2%). Max pain ranged from $74.00 to $75.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 6.65.

Notable Days

  • 2023-06-06: Highest Volume — 637,176 contracts
  • 2023-06-09: Largest IV drop — 17.2% change
  • 2023-06-08: Highest IV Rank — 11.6%
  • 2023-06-05: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.62$74.12$75.18$74.20$75.18
Max Pain$74.57$74.00$75.00$75.00$75.00
ATM IV7.0%5.7%9.3%8.2%5.9%
Expected Move1.9%1.5%2.3%2.3%1.5%
HV 20d6.2%5.2%6.8%6.7%6.1%
HV 60d7.4%6.4%8.0%7.9%6.5%
IV Rank2.0%0.0%11.6%4.2%1.1%
IV Percentile1.9%0.0%14.3%2.4%0.4%
Term Structure-0.0%-1.1%0.5%0.3%-0.1%
VWIV7.2%5.4%9.2%7.3%5.4%
Skew 25d1.6%0.5%3.0%3.0%0.5%
Skew 10d3.7%-1.2%6.9%6.9%6.0%
Call IV 25d6.3%5.3%7.8%6.4%5.9%
Put IV 25d7.9%6.5%9.4%9.4%6.5%
Bid-Ask Spread %9.672.9936.602.997.63
Gamma HHI0.150.120.180.120.18
Net GEX-977.6M-1.56B-650.5M-1.19B-650.5M
Net DEX2.72B861.0M4.90B4.90B861.0M
Net VEX-22.8M-25.8M-17.1M-25.6M-17.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.651.5627.482.164.68
Total Volume384,184.429184,727637,176423,224229,022
Total OI6,892,816.5715,224,8548,324,7347,007,3806,206,850

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$74.20$75.008.2%2.3%6.7%4.2%7.3%3.0%0.3%-1.19B4.90B-25.6M2.162.99134,033289,1911,351,5365,655,844
2023-06-02$74.69$75.007.6%2.2%6.8%0.4%7.2%1.7%0.5%-656.4M2.57B-23.4M1.565.09145,761226,9391,402,3125,749,750
2023-06-05$74.44$74.007.7%2.3%6.5%0.7%8.7%2.0%-0.2%-897.3M3.34B-22.8M6.826.6256,506385,5221,468,9445,746,165
2023-06-06$74.62$74.007.6%2.0%6.5%0.0%9.2%1.9%-0.1%-754.6M2.67B-23.8M19.079.3731,752605,4241,499,3035,777,893
2023-06-07$74.22$74.008.1%2.2%6.7%3.4%8.3%1.6%-0.2%-1.10B3.70B-25.0M27.487.1622,048605,8121,519,3776,026,019
2023-06-08$74.69$74.009.3%2.0%6.8%11.6%7.1%0.9%-1.1%-775.0M2.07B-23.3M1.9019.89160,383303,9881,529,3126,262,287
2023-06-09$74.73$74.007.7%2.0%6.8%0.8%8.5%1.4%-0.1%-691.5M2.34B-25.7M5.3711.0246,547249,8571,669,6796,324,285
2023-06-12$74.70$74.008.2%2.1%6.6%4.2%9.0%1.7%-0.7%-714.3M2.35B-25.8M9.976.4349,926497,6011,648,8986,311,168
2023-06-13$74.72$74.007.7%2.1%6.6%1.0%8.3%1.8%-0.4%-719.0M2.25B-23.6M5.728.7074,449425,7671,665,1216,432,338
2023-06-14$74.75$74.007.6%2.0%6.2%0.4%7.9%1.9%-0.4%-832.4M2.53B-24.8M5.548.3987,518485,2901,660,2126,521,692
2023-06-15$75.09$74.007.2%2.0%6.3%0.0%7.5%1.3%-0.4%-691.2M1.18B-23.8M4.357.8486,376375,5261,666,3106,626,601
2023-06-16$74.97$75.006.3%1.7%6.3%0.0%6.7%2.1%-0.1%-1.15B1.37B-20.5M2.256.9686,213194,3091,653,1996,671,535
2023-06-20$74.81$75.005.9%1.7%6.4%0.0%6.2%1.7%0.4%-840.3M2.17B-20.7M2.5821.3275,010193,201932,7654,292,089
2023-06-21$74.55$75.006.3%1.8%6.3%3.1%7.3%1.9%0.3%-1.09B3.33B-25.3M2.3736.60145,607345,269940,7054,437,940
2023-06-22$74.34$75.006.0%1.7%6.0%0.5%6.4%1.5%0.4%-1.44B3.73B-22.4M2.409.1868,495164,5891,010,4544,573,084
2023-06-23$74.12$75.006.3%1.8%5.7%2.5%6.6%1.5%0.2%-1.56B4.48B-24.1M5.776.6045,495262,3201,075,3514,647,789
2023-06-26$74.28$75.006.2%1.8%5.7%2.3%6.4%1.6%0.4%-1.44B3.78B-22.1M6.705.3124,003160,7241,058,2444,734,696
2023-06-27$74.47$75.006.1%1.7%5.2%1.2%6.1%1.3%0.5%-1.28B2.97B-20.1M6.095.7128,683174,5491,075,0824,838,693
2023-06-28$74.87$75.005.7%1.6%5.5%0.0%5.7%1.4%0.4%-842.1M1.94B-19.0M3.945.0855,898220,1151,076,3304,889,758
2023-06-29$74.65$75.006.3%1.6%5.6%3.9%6.1%1.1%0.3%-1.21B2.52B-20.2M13.015.1917,709230,4461,107,5085,012,030
2023-06-30$75.18$75.005.9%1.5%6.1%1.1%5.4%0.5%-0.1%-650.5M861.0M-17.1M4.687.6340,315188,7071,123,8155,083,035