HYG Options History — December 2023

In December 2023, HYG traded between $75.75 and $77.95. ATM implied volatility averaged 6.4%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.6% (HV 20d: 5.8%). Max pain ranged from $74.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.84.

Notable Days

  • 2023-12-14: Highest Volume — 1,157,972 contracts
  • 2023-12-12: Largest IV drop — 11.0% change
  • 2023-12-29: Highest IV Rank — 14.6%
  • 2023-12-01: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.77$75.75$77.95$75.93$77.47
Max Pain$74.90$74.00$75.00$75.00$75.00
ATM IV6.4%5.8%6.9%6.3%6.9%
Expected Move1.8%1.6%2.2%2.2%1.8%
HV 20d5.8%5.4%7.1%7.1%5.8%
HV 60d7.2%6.5%7.6%7.2%6.5%
IV Rank10.3%4.4%14.6%8.9%14.6%
IV Percentile11.5%2.0%21.8%7.9%21.8%
Term Structure0.2%-0.6%1.2%-0.1%0.7%
VWIV7.0%5.9%8.4%8.0%7.3%
Skew 25d1.2%0.6%1.8%1.4%1.5%
Skew 10d2.7%1.4%3.6%2.9%3.3%
Call IV 25d5.9%5.4%6.2%5.7%5.9%
Put IV 25d7.1%6.3%8.0%7.2%7.4%
Bid-Ask Spread %7.173.5312.774.743.53
Gamma HHI0.140.100.310.130.10
Net GEX444.7M92.4M1.52B384.4M172.8M
Net DEX-4.02B-7.53B-2.23B-2.38B-4.00B
Net VEX-31.3M-34.8M-21.3M-30.3M-34.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.840.3815.060.993.26
Total Volume384,314.7134,0921,157,972248,663135,222
Total OI8,124,5587,189,2298,922,6798,069,9338,083,123

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$75.93$75.006.3%2.2%7.1%8.9%8.0%1.4%-0.1%384.4M-2.38B-30.3M0.994.74124,853123,8101,571,8856,498,048
2023-12-04$75.80$74.006.7%2.2%6.4%13.3%7.5%1.8%0.2%431.6M-2.75B-29.4M2.0311.96117,706239,1331,653,5646,436,835
2023-12-05$75.88$74.006.7%1.9%6.0%13.0%6.8%1.4%0.2%599.3M-3.17B-29.3M1.379.23157,215216,1511,643,0046,486,903
2023-12-06$75.88$75.006.3%1.9%6.0%9.1%6.9%0.6%0.4%593.0M-2.95B-31.4M0.9010.42126,621113,5141,716,5256,697,979
2023-12-07$76.02$75.006.7%2.0%6.0%12.7%7.0%1.1%0.3%628.4M-3.49B-29.5M2.8512.2345,526129,9491,720,3666,746,866
2023-12-08$75.85$75.006.4%1.8%5.6%10.0%7.1%0.9%0.3%563.1M-2.71B-31.1M2.3512.7740,07794,0151,728,4426,808,781
2023-12-11$75.75$75.006.8%1.8%5.5%13.6%6.6%0.9%-0.6%438.3M-2.23B-31.5M2.1711.1589,266193,4401,725,9666,818,228
2023-12-12$75.98$75.006.0%1.6%5.5%6.2%6.0%0.9%-0.3%872.5M-3.30B-28.8M1.3010.32147,630191,2251,766,0516,911,358
2023-12-13$77.00$75.005.8%1.6%5.9%4.4%6.6%0.7%0.0%1.52B-7.53B-21.3M0.3810.82720,722276,7021,838,9356,937,722
2023-12-14$77.09$75.006.3%1.8%5.4%9.3%6.5%0.7%-0.1%660.4M-5.27B-28.4M3.365.07265,649892,3231,626,6617,104,491
2023-12-15$76.93$75.005.9%1.7%5.6%5.5%5.9%1.1%-0.4%746.2M-3.88B-32.8M2.024.12191,208385,9891,642,4587,280,221
2023-12-18$76.95$75.006.2%1.8%5.6%7.7%7.6%1.5%0.3%127.6M-3.57B-34.6M2.114.50100,433212,2601,514,0745,675,155
2023-12-19$77.19$75.006.1%1.7%5.6%6.7%6.1%1.0%0.4%174.9M-4.14B-33.8M2.784.9673,562204,6001,543,5415,827,018
2023-12-20$77.34$75.006.6%1.9%5.6%11.9%6.9%1.1%-0.3%119.2M-4.30B-33.8M3.136.04116,661365,4791,541,2505,886,336
2023-12-21$77.56$75.006.4%1.8%5.6%10.5%6.9%1.1%0.4%243.9M-5.21B-32.0M3.184.98115,666367,7631,584,4426,021,819
2023-12-22$77.48$75.006.4%1.8%5.6%10.3%7.0%1.3%0.3%123.8M-4.47B-34.3M2.594.5993,891242,7971,585,7376,167,168
2023-12-26$77.59$75.006.6%1.9%5.6%12.4%8.4%1.5%1.1%92.4M-4.44B-34.5M2.003.8974,436148,6761,599,2046,184,479
2023-12-27$77.95$75.006.5%1.8%5.7%11.1%6.8%1.5%1.2%260.8M-5.78B-32.3M3.074.2479,594244,4001,646,1746,294,166
2023-12-28$77.70$75.006.8%1.9%5.8%14.5%7.5%1.6%1.0%140.0M-4.86B-31.8M15.063.9014,207213,9231,600,2566,375,929
2023-12-29$77.47$75.006.9%1.8%5.8%14.6%7.3%1.5%0.7%172.8M-4.00B-34.8M3.263.5331,749103,4731,622,5326,460,591