HYG Options History — September 2023

In September 2023, HYG traded between $73.48 and $74.94. ATM implied volatility averaged 7.0%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.1% (HV 20d: 5.9%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 5.11.

Notable Days

  • 2023-09-15: Highest Volume — 671,165 contracts
  • 2023-09-05: Largest IV spike — 14.2% change
  • 2023-09-27: Highest IV Rank — 16.2%
  • 2023-09-06: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.36$73.48$74.94$74.94$73.84
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV7.0%5.9%8.0%6.7%7.2%
Expected Move1.9%1.6%2.3%1.6%2.0%
HV 20d5.9%4.1%6.6%6.3%4.5%
HV 60d7.1%6.7%7.2%7.2%6.7%
IV Rank8.9%1.5%16.2%6.6%10.3%
IV Percentile11.5%1.2%27.0%6.7%15.5%
Term Structure-0.1%-0.8%0.3%0.3%0.3%
VWIV7.6%6.0%10.1%6.3%6.7%
Skew 25d2.1%1.7%2.7%2.0%1.8%
Skew 10d4.0%2.7%5.4%4.1%3.5%
Call IV 25d6.1%5.0%7.1%5.7%6.6%
Put IV 25d8.2%6.9%9.4%7.7%8.3%
Bid-Ask Spread %6.133.568.817.195.60
Gamma HHI0.160.140.210.140.18
Net GEX-1.60B-2.49B-546.5M-989.2M-2.45B
Net DEX4.12B1.57B7.73B2.88B5.43B
Net VEX-27.9M-33.0M-22.8M-32.6M-25.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.111.8814.963.013.07
Total Volume319,212.9182,131671,165182,131308,862
Total OI7,543,292.256,349,6158,689,9967,763,8857,362,296

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$74.94$75.006.7%1.6%6.3%6.6%6.3%2.0%0.3%-989.2M2.88B-32.6M3.017.1945,418136,7131,543,5236,220,362
2023-09-05$74.63$75.007.6%2.0%6.5%13.4%9.8%2.5%-0.2%-1.33B3.96B-31.5M2.605.3764,675168,1221,562,2706,245,150
2023-09-06$74.41$75.007.5%2.3%6.5%12.7%10.1%2.7%-0.3%-1.69B4.98B-33.0M1.886.6688,273166,1021,582,6706,298,907
2023-09-07$74.66$75.007.7%2.0%6.6%13.9%8.3%2.6%-0.2%-1.31B3.73B-30.5M5.946.7835,444210,5771,635,8616,297,742
2023-09-08$74.59$75.007.3%1.9%6.6%11.2%7.7%2.2%-0.4%-1.35B3.62B-30.2M4.438.7170,492312,1251,667,0166,349,437
2023-09-11$74.69$75.007.3%1.9%6.6%11.0%7.6%2.3%-0.4%-1.09B2.94B-29.3M7.666.3629,070222,7571,697,9426,443,732
2023-09-12$74.69$75.007.2%1.9%6.6%10.2%8.4%2.4%-0.7%-1.21B2.88B-27.0M9.564.5324,200231,4611,700,1236,618,412
2023-09-13$74.82$75.006.3%1.7%6.5%3.9%6.5%2.1%-0.4%-963.2M2.56B-26.3M2.817.0183,685235,0671,700,2936,682,816
2023-09-14$74.90$75.006.0%1.7%6.5%1.7%6.0%1.7%0.0%-546.5M1.57B-22.8M3.037.01120,787366,1811,738,2436,756,942
2023-09-15$74.69$75.005.9%1.6%6.1%1.5%7.2%2.1%-0.8%-1.19B3.31B-25.6M4.443.56123,464547,7011,714,2036,975,793
2023-09-18$74.65$75.006.1%1.7%6.1%2.9%6.7%1.9%0.2%-1.26B2.26B-25.3M14.966.0725,448380,8261,283,8675,065,748
2023-09-19$74.50$75.006.3%1.8%6.1%4.3%7.0%1.8%0.3%-1.48B2.91B-24.5M3.425.6350,688173,2801,298,9475,323,902
2023-09-20$74.44$75.006.4%1.8%6.1%4.8%6.7%1.7%0.0%-1.49B3.03B-24.4M2.555.5884,941216,2771,318,9155,422,349
2023-09-21$73.95$75.006.9%2.0%5.8%8.4%8.1%2.0%0.1%-2.12B5.65B-28.4M11.098.8126,499293,9381,346,3345,543,415
2023-09-22$74.06$75.006.8%2.0%5.3%7.8%7.5%1.9%0.1%-2.38B4.96B-26.6M3.704.9349,871184,3541,363,8745,628,319
2023-09-25$73.90$75.007.1%2.0%4.9%10.0%7.8%2.1%0.3%-2.02B5.55B-27.1M3.224.7352,567169,4181,337,8645,597,215
2023-09-26$73.62$75.008.0%2.3%4.8%15.8%8.1%2.3%0.2%-2.29B6.77B-28.8M5.414.8084,561457,3381,372,1905,673,626
2023-09-27$73.48$75.008.0%2.2%4.1%16.2%8.2%2.0%0.2%-2.49B7.73B-32.2M5.086.2248,923248,7371,416,7115,792,906
2023-09-28$73.81$75.007.2%2.0%4.6%10.7%7.0%1.8%0.3%-2.39B5.74B-26.2M4.337.1446,052199,3641,437,0095,848,921
2023-09-29$73.84$75.007.2%2.0%4.5%10.3%6.7%1.8%0.3%-2.45B5.43B-25.8M3.075.6075,959232,9031,439,6595,922,637