HYG Options History — July 2023

In July 2023, HYG traded between $73.78 and $75.72. ATM implied volatility averaged 7.1%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 0.5% (HV 20d: 7.7%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.96.

Notable Days

  • 2023-07-05: Highest Volume — 649,226 contracts
  • 2023-07-12: Largest IV drop — 15.0% change
  • 2023-07-10: Highest IV Rank — 21.2%
  • 2023-07-06: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.99$73.78$75.72$74.59$75.53
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV7.1%6.3%8.7%6.9%6.9%
Expected Move1.9%1.7%2.2%1.7%1.8%
HV 20d7.7%6.3%8.8%6.3%8.5%
HV 60d6.9%6.5%7.2%6.5%7.1%
IV Rank9.8%4.2%21.2%8.4%8.5%
IV Percentile6.3%3.6%15.5%4.0%7.5%
Term Structure-0.1%-1.6%0.9%-0.0%-0.4%
VWIV7.3%5.8%8.9%5.8%6.1%
Skew 25d1.7%0.9%2.5%2.0%0.9%
Skew 10d3.4%2.0%5.3%3.7%2.0%
Call IV 25d6.4%5.9%7.6%5.9%6.7%
Put IV 25d8.2%7.0%9.8%7.9%7.7%
Bid-Ask Spread %12.893.2578.983.254.46
Gamma HHI0.150.120.190.160.13
Net GEX-731.8M-1.86B187.6M-875.6M-51.6M
Net DEX2.04B-381.2M6.51B3.33B-132.7M
Net VEX-25.6M-30.7M-22.4M-26.8M-22.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.961.149.341.431.57
Total Volume338,310.723,823649,22623,823223,378
Total OI6,840,548.65,883,1707,720,6876,265,6836,917,277

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$74.59$75.006.9%1.7%6.3%8.4%5.8%2.0%-0.0%-875.6M3.33B-26.8M1.433.259,79114,0321,084,5545,181,129
2023-07-05$74.31$75.007.3%1.9%6.4%11.2%6.7%2.0%0.0%-1.24B4.56B-28.1M9.235.8363,459585,7671,087,2885,195,060
2023-07-06$73.78$75.008.2%2.2%6.8%17.4%8.4%2.2%-0.5%-1.79B6.51B-30.7M9.344.7123,437218,8301,099,5475,384,006
2023-07-07$73.94$75.007.9%2.2%6.6%15.6%8.9%2.5%-0.0%-1.86B6.20B-30.1M2.593.64122,876317,7361,116,8375,436,758
2023-07-10$74.22$75.008.7%2.2%6.3%21.2%8.5%2.5%-1.6%-1.47B5.12B-28.8M1.7911.5174,712133,8761,134,9945,494,510
2023-07-11$74.59$75.007.9%2.0%6.6%15.3%7.6%2.3%-1.0%-1.07B3.67B-28.1M2.595.2188,607229,9151,174,2115,584,111
2023-07-12$75.28$75.006.7%2.0%7.4%7.0%7.0%2.0%0.3%-211.6M623.4M-23.6M1.908.22137,982261,5171,237,4965,710,196
2023-07-13$75.72$75.007.0%1.8%7.6%8.6%7.6%2.0%-0.6%187.6M-381.2M-24.1M1.6964.79191,720324,4301,294,8805,753,600
2023-07-14$75.09$75.007.2%2.0%8.3%10.2%7.7%1.5%-0.4%-392.1M1.37B-25.5M2.0978.9872,146150,9681,325,0435,919,298
2023-07-17$75.28$75.007.1%2.0%8.1%9.5%8.6%2.1%-0.3%-269.6M472.5M-22.4M1.644.53126,632207,1831,387,2345,911,424
2023-07-18$75.43$75.007.4%2.1%8.1%11.5%7.4%1.9%-0.5%-153.0M46.1M-25.1M3.814.3377,541295,4051,498,6555,979,655
2023-07-19$75.53$75.006.5%1.9%8.1%5.5%7.0%1.8%0.9%-97.6M-207.0M-25.4M3.304.35100,317330,9051,525,8756,170,985
2023-07-20$75.16$75.006.9%2.0%8.2%8.4%7.5%1.7%0.2%-237.6M905.3M-24.9M3.365.0842,152141,7651,519,0936,164,078
2023-07-21$75.38$75.006.5%1.9%8.2%5.6%6.5%1.3%-0.2%-444.4M-246.7M-22.5M1.484.14113,101167,2831,541,3106,179,377
2023-07-24$75.30$75.006.7%1.9%8.1%6.5%7.4%1.5%0.6%-814.4M1.47B-23.7M2.007.37115,354230,764963,6284,919,542
2023-07-25$75.13$75.006.9%2.0%8.1%8.2%7.1%1.1%0.7%-980.3M2.39B-27.8M2.048.92132,616270,6951,057,2035,126,938
2023-07-26$75.47$75.006.3%1.8%8.2%4.2%6.2%1.3%0.6%-655.4M850.2M-23.0M3.406.9865,779223,4361,114,6185,238,123
2023-07-27$74.84$75.007.0%1.9%8.6%8.7%7.4%1.4%0.5%-1.45B3.32B-26.5M2.7717.16146,302405,6111,143,4665,423,415
2023-07-28$75.28$75.006.5%1.7%8.8%5.7%6.9%1.0%0.6%-760.6M994.1M-22.6M1.144.39153,504174,6901,261,4155,554,143
2023-07-31$75.53$75.006.9%1.8%8.5%8.5%6.1%0.9%-0.4%-51.6M-132.7M-22.5M1.574.4686,835136,5431,365,0755,552,202