HYG Options History — November 2023

In November 2023, HYG traded between $72.81 and $75.81. ATM implied volatility averaged 7.1%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.7% (HV 20d: 7.9%). Max pain ranged from $73.00 to $74.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.66.

Notable Days

  • 2023-11-03: Highest Volume — 1,030,752 contracts
  • 2023-11-17: Largest IV drop — 9.4% change
  • 2023-11-01: Highest IV Rank — 29.4%
  • 2023-11-06: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.55$72.81$75.81$72.81$75.65
Max Pain$73.90$73.00$74.00$73.00$74.00
ATM IV7.1%5.4%8.9%8.9%5.7%
Expected Move2.1%1.7%2.4%2.4%2.0%
HV 20d7.9%5.5%8.6%5.5%8.1%
HV 60d7.2%6.4%7.7%6.4%7.2%
IV Rank14.6%0.0%29.4%29.4%3.3%
IV Percentile17.6%0.0%43.7%43.7%1.2%
Term Structure-0.1%-1.3%0.7%-0.3%-0.2%
VWIV7.4%5.8%9.0%9.0%7.0%
Skew 25d1.7%0.5%2.5%2.1%0.8%
Skew 10d3.2%1.4%6.8%4.2%2.9%
Call IV 25d6.2%4.9%8.3%8.3%5.6%
Put IV 25d7.9%5.8%10.4%10.4%6.5%
Bid-Ask Spread %30.052.6585.632.654.25
Gamma HHI0.190.110.310.110.21
Net GEX592.1M-1.07B1.90B-1.07B1.35B
Net DEX-3.19B-6.72B4.17B4.17B-5.59B
Net VEX-30.2M-41.0M-22.6M-41.0M-23.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.244.293.100.38
Total Volume415,003.61989,7471,030,752528,024969,425
Total OI9,117,564.5717,960,55810,409,0538,927,5228,235,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$72.81$73.008.9%2.4%5.5%29.4%9.0%2.1%-0.3%-1.07B4.17B-41.0M3.102.65128,763399,2612,199,2596,728,263
2023-11-02$73.72$73.008.5%2.3%7.0%25.1%8.1%1.8%-0.3%-163.3M-379.2M-38.4M1.165.78319,772370,4282,286,1986,891,695
2023-11-03$74.45$74.007.8%2.4%7.6%20.2%7.6%1.4%-0.5%652.2M-4.59B-31.3M0.6085.30642,287388,4652,375,9926,985,030
2023-11-06$74.06$74.008.1%2.4%7.8%23.3%8.6%2.1%0.2%24.4M-1.10B-38.4M1.5383.67165,789253,6732,374,1067,071,833
2023-11-07$74.13$74.007.9%2.4%7.8%22.0%8.4%2.0%0.1%126.9M-1.91B-35.5M2.6183.7685,304222,7422,416,4327,154,814
2023-11-08$74.18$74.007.9%2.4%7.8%21.8%8.4%2.2%0.2%130.0M-2.05B-35.6M2.0585.6386,558177,8162,449,3907,231,161
2023-11-09$73.73$74.008.0%2.3%7.8%22.8%7.9%2.1%-0.4%-490.3M456.1M-37.3M0.6583.87323,953211,7862,482,3527,347,592
2023-11-10$74.06$74.007.5%2.3%7.9%18.4%7.2%1.8%0.5%-103.7M-1.39B-34.8M0.2418.40135,92832,3082,572,8277,398,862
2023-11-13$73.95$74.007.9%2.3%7.9%22.8%8.0%2.5%-0.3%27.7M-1.34B-31.6M4.2985.1529,456126,4422,589,9797,343,638
2023-11-14$74.82$74.007.7%2.2%8.6%20.3%8.1%2.3%-0.3%1.07B-5.90B-29.4M1.4212.40194,161274,8342,571,8047,391,533
2023-11-15$74.47$74.008.1%2.3%8.5%24.4%8.0%1.6%-1.3%678.8M-4.18B-28.7M1.502.82130,900196,3832,560,5437,483,448
2023-11-16$74.57$74.007.5%2.2%8.4%18.2%7.7%1.6%-0.1%603.3M-4.19B-30.3M1.503.05142,962214,4512,592,5387,613,437
2023-11-17$74.72$74.006.8%1.9%8.4%10.9%7.3%2.0%0.7%520.4M-4.93B-30.1M2.502.89136,822342,2982,691,0947,717,959
2023-11-20$74.88$74.006.6%1.9%8.3%8.5%6.6%2.2%-0.0%836.1M-3.57B-26.3M1.484.36128,648190,8562,022,0775,938,481
2023-11-21$74.90$74.006.5%1.8%8.3%8.0%6.6%1.6%0.1%987.6M-3.74B-26.2M2.179.0892,856201,0382,079,5755,989,280
2023-11-22$75.10$74.006.2%1.8%7.9%4.4%5.8%1.6%0.1%1.13B-4.56B-24.2M1.519.1091,209137,5822,056,4786,019,477
2023-11-24$75.00$74.006.0%1.8%8.0%3.1%5.9%1.6%-0.2%1.23B-4.32B-23.7M1.3522.2840,42854,6132,085,2046,069,802
2023-11-27$75.18$74.005.5%1.8%7.9%0.0%6.0%1.2%0.0%1.41B-5.06B-22.6M1.387.9937,68052,0672,104,3766,024,996
2023-11-28$75.44$74.005.4%1.8%7.9%0.0%6.5%0.7%0.2%1.90B-6.09B-22.9M1.539.05143,039218,7412,118,8836,044,146
2023-11-29$75.81$74.005.5%1.7%7.9%1.0%6.2%0.5%0.1%1.59B-6.72B-23.0M1.839.43220,029403,3232,090,9026,068,182
2023-11-30$75.65$74.005.7%2.0%8.1%3.3%7.0%0.8%-0.2%1.35B-5.59B-23.1M0.384.25700,080269,3452,037,8936,197,325