HYG Options History — January 2024

In January 2024, HYG traded between $76.68 and $77.72. ATM implied volatility averaged 7.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.5% (HV 20d: 5.5%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.46.

Notable Days

  • 2024-01-31: Highest Volume — 829,729 contracts
  • 2024-01-25: Largest IV spike — 13.1% change
  • 2024-01-03: Highest IV Rank — 24.6%
  • 2024-01-08: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.24$76.68$77.72$77.12$77.48
Max Pain$75.90$75.00$76.00$75.00$76.00
ATM IV7.0%5.5%7.8%7.8%7.3%
Expected Move1.9%1.7%2.1%2.0%1.8%
HV 20d5.5%4.4%6.5%6.1%4.7%
HV 60d6.5%6.0%6.7%6.6%6.0%
IV Rank15.8%1.1%24.6%23.9%18.8%
IV Percentile24.5%0.8%38.9%37.7%33.7%
Term Structure-0.0%-1.3%1.9%-0.7%-0.3%
VWIV6.9%5.6%8.9%7.0%6.5%
Skew 25d1.6%1.1%2.5%1.7%1.2%
Skew 10d3.2%1.9%4.1%4.1%2.2%
Call IV 25d6.1%5.4%6.9%6.8%6.6%
Put IV 25d7.7%6.8%8.8%8.5%7.8%
Bid-Ask Spread %6.643.6312.793.634.84
Gamma HHI0.140.090.330.100.15
Net GEX-90.4M-586.2M1.33B-168.5M-54.0M
Net DEX-3.14B-6.19B-1.11B-3.04B-2.92B
Net VEX-28.4M-36.0M-22.1M-35.3M-22.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.255.703.650.25
Total Volume290,179113,049829,729207,379829,729
Total OI7,852,881.816,131,9499,422,1768,046,4396,782,034

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$77.12$75.007.8%2.0%6.1%23.9%7.0%1.7%-0.7%-168.5M-3.04B-35.3M3.653.6344,589162,7901,629,6426,416,797
2024-01-03$76.91$75.007.8%2.0%6.2%24.6%7.0%1.9%-0.1%-314.4M-2.12B-36.0M4.544.1250,550229,4681,629,9756,461,029
2024-01-04$76.68$76.007.8%1.9%6.3%23.9%8.3%1.7%-0.0%-576.8M-1.11B-36.0M3.305.1279,671263,0151,639,9636,552,867
2024-01-05$76.70$76.007.8%1.9%6.3%24.1%6.9%2.5%1.9%-527.2M-1.88B-35.3M1.885.7356,097105,3711,718,7066,697,737
2024-01-08$77.09$76.007.4%2.1%6.5%19.7%7.2%1.8%-0.0%-215.1M-3.69B-30.0M1.544.79108,300166,8111,721,1416,708,736
2024-01-09$77.20$76.007.7%2.0%6.4%23.6%7.1%1.1%-0.7%-188.9M-3.87B-31.7M4.244.0822,70996,3271,793,8606,792,195
2024-01-10$77.32$76.007.0%2.0%6.4%16.2%7.7%1.7%-0.2%-40.5M-4.72B-28.7M2.025.72111,113224,0791,809,1676,834,131
2024-01-11$77.55$76.006.8%1.8%6.3%13.7%6.2%1.6%-1.1%113.1M-5.36B-28.4M1.536.66102,904157,7331,844,1976,933,529
2024-01-12$77.70$76.006.5%1.8%4.4%11.2%6.2%2.0%-0.5%278.3M-6.19B-28.3M1.397.33141,819197,2801,895,6606,957,901
2024-01-16$77.22$76.007.0%2.0%5.0%16.3%7.3%1.7%0.2%-74.2M-4.27B-28.4M1.055.59188,254197,2731,990,0806,991,031
2024-01-17$76.91$76.006.9%2.0%5.1%15.4%7.8%1.8%0.1%-467.3M-2.81B-29.9M3.736.1380,792301,2652,084,0127,128,024
2024-01-18$77.00$76.006.8%1.9%5.2%13.8%8.9%1.5%-0.1%-227.1M-3.51B-27.5M1.427.51172,163244,2702,104,4047,230,245
2024-01-19$77.02$76.006.6%1.9%5.0%11.8%7.4%1.9%0.3%1.33B-3.41B-27.5M3.9310.9467,195264,0512,100,3567,321,820
2024-01-22$77.22$76.007.1%1.8%5.1%17.0%5.6%1.5%-1.3%-471.1M-1.21B-27.6M1.248.9378,60397,3311,446,1644,685,785
2024-01-23$77.16$76.006.3%1.8%5.0%9.0%7.1%1.6%0.4%-378.5M-1.53B-24.7M4.587.2053,437244,9731,508,3804,766,763
2024-01-24$77.13$76.005.5%1.8%4.9%1.1%6.1%1.6%1.3%-586.2M-1.16B-26.1M5.709.9533,219189,5001,509,4044,892,978
2024-01-25$77.62$76.006.2%1.7%5.4%8.3%6.0%1.3%0.5%30.5M-3.22B-22.1M1.0812.7954,39058,6591,522,4094,946,862
2024-01-26$77.63$76.006.3%1.7%5.2%8.8%6.1%1.1%0.3%75.4M-3.31B-23.1M1.849.5095,795176,4141,567,1725,012,425
2024-01-29$77.72$76.007.0%1.8%5.1%16.0%6.1%1.4%-0.0%347.5M-3.51B-23.5M0.724.80132,17994,5281,585,6664,980,494
2024-01-30$77.65$76.006.8%1.8%5.0%14.0%6.4%1.3%-0.2%216.2M-3.09B-24.3M1.954.0940,35578,7581,684,5885,032,189
2024-01-31$77.48$76.007.3%1.8%4.7%18.8%6.5%1.2%-0.3%-54.0M-2.92B-22.7M0.254.84664,363165,3661,693,9195,088,115