HYG Options History — October 2023

In October 2023, HYG traded between $71.84 and $73.25. ATM implied volatility averaged 9.0%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.7% (HV 20d: 7.3%). Max pain ranged from $73.00 to $75.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 3.42.

Notable Days

  • 2023-10-03: Highest Volume — 827,503 contracts
  • 2023-10-03: Largest IV spike — 28.2% change
  • 2023-10-03: Highest IV Rank — 37.5%
  • 2023-10-03: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.54$71.84$73.25$72.91$72.65
Max Pain$73.73$73.00$75.00$75.00$73.00
ATM IV9.0%8.0%11.1%8.6%9.0%
Expected Move2.5%2.3%3.2%2.4%2.4%
HV 20d7.3%5.8%8.1%6.0%5.8%
HV 60d6.9%6.3%7.4%7.2%6.4%
IV Rank26.0%18.8%37.5%20.4%30.3%
IV Percentile42.6%27.8%61.1%35.3%44.4%
Term Structure-0.0%-1.0%0.9%-0.3%-0.4%
VWIV9.3%8.0%11.4%8.9%8.7%
Skew 25d2.5%1.2%3.7%3.1%1.2%
Skew 10d4.7%2.4%7.1%6.3%2.4%
Call IV 25d8.0%7.3%9.5%7.9%8.5%
Put IV 25d10.5%8.9%13.3%10.9%9.7%
Bid-Ask Spread %3.752.615.714.182.78
Gamma HHI0.150.120.250.150.15
Net GEX-2.09B-2.79B-1.29B-2.34B-1.29B
Net DEX8.00B4.03B12.20B9.48B4.03B
Net VEX-33.7M-41.1M-27.8M-36.8M-28.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.420.439.859.694.62
Total Volume460,458166,840827,503416,406499,125
Total OI8,170,640.1367,331,5099,024,7057,331,5098,634,976

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$72.91$75.008.6%2.4%6.0%20.4%8.9%3.1%-0.3%-2.34B9.48B-36.8M9.694.1838,963377,4431,422,5145,908,995
2023-10-03$72.18$75.0011.1%3.2%6.7%37.5%11.4%3.7%-0.5%-2.40B12.20B-41.1M9.854.9276,299751,2041,444,7265,990,180
2023-10-04$72.59$75.0010.0%2.8%7.1%29.9%11.0%3.3%-0.3%-2.42B10.84B-40.8M5.704.31117,019666,9891,469,5246,231,265
2023-10-05$72.56$74.009.9%2.6%6.9%29.2%10.7%3.5%-0.4%-2.47B10.31B-38.9M3.923.46118,963466,0851,503,4946,314,658
2023-10-06$72.77$74.009.2%2.6%7.1%24.4%10.0%3.1%-0.3%-2.38B8.99B-36.1M1.504.09129,428193,4931,572,6416,382,642
2023-10-09$73.19$74.009.3%2.6%7.5%25.4%10.1%3.0%-0.2%-2.06B6.65B-33.5M1.663.2297,176161,5561,599,4606,368,539
2023-10-10$73.25$74.009.2%2.6%7.5%24.4%8.8%2.8%-0.0%-1.91B6.49B-34.4M0.603.17161,61396,5531,664,9296,365,726
2023-10-11$73.20$74.008.9%2.5%7.4%22.1%9.3%2.7%-0.0%-2.07B6.69B-32.8M2.314.00127,708295,0901,758,8936,439,646
2023-10-12$72.81$74.008.4%2.4%7.5%18.8%8.3%2.7%-0.2%-2.29B8.34B-34.3M1.605.71138,403221,9771,864,8306,475,027
2023-10-13$72.70$74.009.2%2.5%7.5%24.4%9.3%2.9%-1.0%-2.26B8.42B-35.2M2.213.9595,795211,7961,923,9356,550,983
2023-10-16$72.72$74.008.3%2.3%7.5%19.8%8.4%2.1%0.5%-2.32B7.74B-32.5M1.723.46150,489258,5601,965,7156,578,903
2023-10-17$72.41$74.009.1%2.6%7.6%26.1%8.9%2.1%-0.7%-2.42B8.98B-34.6M2.542.61153,269390,0602,069,8306,610,592
2023-10-18$72.03$74.009.2%2.6%7.7%28.1%9.7%2.4%0.2%-2.44B10.72B-35.7M4.663.12109,944512,5142,143,1686,762,363
2023-10-19$71.84$73.009.5%2.7%7.5%32.3%10.4%2.9%-0.3%-2.45B11.29B-38.1M5.373.9773,721395,9872,201,0826,747,653
2023-10-20$71.95$73.008.9%2.6%7.5%27.5%9.5%2.3%0.4%-2.79B10.12B-34.1M2.843.29141,270401,2452,241,8346,782,871
2023-10-23$72.25$73.008.2%2.3%7.8%21.4%8.0%1.6%0.5%-1.77B6.27B-27.9M3.344.38116,056387,2171,679,5745,879,264
2023-10-24$72.59$73.008.0%2.4%7.9%19.9%8.2%1.8%0.5%-1.53B5.21B-28.0M2.133.39127,998272,8311,720,2365,980,289
2023-10-25$72.23$73.008.7%2.4%8.1%27.0%8.9%1.8%0.6%-1.77B6.58B-29.8M0.434.13431,504184,8731,739,8846,043,906
2023-10-26$72.43$73.008.5%2.4%8.0%25.4%9.0%1.7%0.7%-1.52B5.31B-30.8M3.143.1540,347126,4932,071,0146,109,332
2023-10-27$72.28$73.008.6%2.4%7.9%26.2%9.1%1.8%0.9%-1.63B6.13B-31.1M4.074.2281,581331,6712,100,3016,144,667
2023-10-30$72.40$73.009.1%2.5%6.7%30.9%8.8%1.5%-0.5%-1.51B5.26B-27.8M1.412.96165,701234,0672,069,3686,224,654
2023-10-31$72.65$73.009.0%2.4%5.8%30.3%8.7%1.2%-0.4%-1.29B4.03B-28.2M4.622.7888,746410,3792,191,7726,443,204