HYG Options History — March 2024

In March 2024, HYG traded between $77.09 and $77.85. ATM implied volatility averaged 5.7%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.8% (HV 20d: 3.8%). Max pain ranged from $77.00 to $77.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.66.

Notable Days

2024-03-15: Highest Volume — 473,113 contracts
2024-03-27: Largest IV spike — 46.9% change
2024-03-27: Highest IV Rank — 19.2%
2024-03-11: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.44	$77.09	$77.85	$77.15	$77.78
Max Pain	$77.00	$77.00	$77.00	$77.00	$77.00
ATM IV	5.7%	4.2%	7.2%	6.7%	4.5%
Expected Move	1.5%	1.1%	1.8%	1.5%	1.4%
HV 20d	3.8%	2.9%	5.3%	5.3%	3.3%
HV 60d	4.8%	4.4%	5.3%	5.3%	4.4%
IV Rank	6.8%	0.0%	19.2%	13.0%	2.9%
IV Percentile	8.3%	0.0%	38.5%	23.8%	0.8%
Term Structure	0.3%	-1.7%	3.0%	1.3%	0.6%
VWIV	5.7%	4.7%	6.5%	5.4%	5.0%
Skew 25d	1.0%	-1.5%	2.1%	0.5%	0.4%
Skew 10d	3.1%	-1.0%	5.5%	1.8%	4.7%
Call IV 25d	5.4%	4.4%	6.7%	6.1%	5.4%
Put IV 25d	6.4%	3.3%	8.2%	6.6%	5.8%
Bid-Ask Spread %	11.37	7.57	30.69	7.57	13.64
Gamma HHI	0.17	0.15	0.19	0.19	0.18
Net GEX	-7.6M	-681.2M	693.3M	144.8M	-484.9M
Net DEX	-1.38B	-2.67B	345.5M	-1.05B	-1.71B
Net VEX	-27.4M	-30.2M	-24.1M	-25.6M	-26.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.66	0.64	5.39	1.88	5.19
Total Volume	274,017.85	106,968	473,113	158,315	179,211
Total OI	6,676,494.45	5,698,488	7,843,363	6,564,282	6,440,188

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2024-03-01	$77.15	$77.00	6.7%	1.5%	5.3%	13.0%	5.4%	0.5%	1.3%	144.8M	-1.05B	-25.6M	1.88	7.57	54,974	103,341	1,723,473	4,840,809
2024-03-04	$77.18	$77.00	7.0%	1.6%	5.0%	16.5%	6.4%	1.2%	0.3%	54.8M	-948.2M	-26.4M	4.61	8.37	19,061	87,907	1,740,404	4,828,082
2024-03-05	$77.13	$77.00	7.2%	1.7%	4.7%	18.6%	5.9%	2.1%	-0.4%	475.1K	-582.3M	-28.1M	0.73	9.82	253,627	185,093	1,756,831	4,879,265
2024-03-06	$77.23	$77.00	6.4%	1.6%	4.6%	10.0%	6.3%	1.7%	-1.1%	176.5M	-999.6M	-30.2M	0.64	8.49	122,802	78,355	1,931,031	4,984,278
2024-03-07	$77.38	$77.00	5.7%	1.7%	4.6%	2.6%	5.9%	1.0%	-0.6%	309.1M	-1.44B	-29.3M	1.18	8.62	159,024	187,059	1,977,707	5,043,131
2024-03-08	$77.41	$77.00	5.8%	1.8%	4.6%	4.2%	6.0%	0.7%	0.0%	473.3M	-1.86B	-27.3M	2.93	30.69	92,768	271,901	2,010,030	5,118,742
2024-03-11	$77.41	$77.00	6.0%	1.8%	4.5%	6.6%	6.0%	1.5%	0.3%	337.0M	-1.64B	-28.1M	1.34	8.55	116,214	156,107	2,016,857	5,223,481
2024-03-12	$77.40	$77.00	5.2%	1.7%	4.5%	0.0%	6.5%	1.5%	0.7%	481.3M	-1.62B	-27.2M	1.82	9.16	121,382	220,671	2,144,742	5,281,194
2024-03-13	$77.48	$77.00	6.3%	1.7%	3.4%	10.2%	6.0%	1.1%	-0.2%	693.3M	-2.12B	-29.1M	4.45	12.21	52,065	231,588	2,205,270	5,459,613
2024-03-14	$77.09	$77.00	5.6%	1.6%	3.7%	3.6%	6.2%	1.1%	0.0%	-663.1M	345.5M	-27.6M	2.99	11.62	99,736	297,967	2,197,667	5,571,496
2024-03-15	$77.15	$77.00	5.2%	1.5%	3.5%	0.0%	5.5%	1.0%	-0.0%	-515.9M	-387.4M	-28.7M	0.88	7.79	251,713	221,400	2,194,688	5,648,675
2024-03-18	$77.27	$77.00	5.5%	1.5%	3.2%	3.3%	6.0%	1.1%	-0.0%	-158.8M	-646.1M	-28.0M	2.46	9.86	72,280	177,618	1,744,536	3,953,952
2024-03-19	$77.53	$77.00	5.2%	1.5%	3.3%	0.0%	5.1%	1.0%	0.6%	21.0M	-1.73B	-25.9M	1.79	10.72	152,511	273,352	1,749,272	4,035,033
2024-03-20	$77.81	$77.00	4.9%	1.4%	3.4%	0.0%	5.6%	1.1%	0.8%	192.2M	-2.67B	-26.6M	3.20	10.98	52,111	166,948	1,691,987	4,230,764
2024-03-21	$77.77	$77.00	4.4%	1.2%	3.1%	0.0%	4.8%	0.8%	0.5%	190.8M	-2.52B	-25.9M	5.39	10.62	30,073	162,061	1,687,415	4,298,482
2024-03-22	$77.72	$77.00	5.3%	1.4%	3.0%	8.8%	5.3%	1.2%	1.2%	-157.8M	-1.86B	-27.4M	1.63	11.24	84,221	137,277	1,698,764	4,416,444
2024-03-25	$77.63	$77.00	6.0%	1.4%	2.9%	16.5%	5.6%	1.4%	0.1%	-466.4M	-1.19B	-28.2M	3.87	11.68	43,738	169,399	1,738,041	4,454,124
2024-03-26	$77.53	$77.00	4.2%	1.1%	2.9%	0.0%	5.3%	0.2%	3.0%	-681.2M	-698.7M	-26.9M	3.20	13.36	48,798	156,135	1,751,415	4,530,969
2024-03-27	$77.85	$77.00	6.1%	1.2%	3.2%	19.2%	4.7%	-1.5%	-1.7%	-98.0M	-2.19B	-24.1M	3.04	12.36	46,958	142,911	1,755,766	4,575,271
2024-03-28	$77.78	$77.00	4.5%	1.4%	3.3%	2.9%	5.0%	0.4%	0.6%	-484.9M	-1.71B	-26.7M	5.19	13.64	28,934	150,277	1,761,689	4,678,499