HYG Options History — May 2024

In May 2024, HYG traded between $76.44 and $77.41. ATM implied volatility averaged 5.4%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.7% (HV 20d: 4.7%). Max pain ranged from $76.00 to $77.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.65.

Notable Days

  • 2024-05-14: Highest Volume — 663,906 contracts
  • 2024-05-29: Largest IV spike — 98.6% change
  • 2024-05-13: Highest IV Rank — 33.9%
  • 2024-05-02: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.00$76.44$77.41$76.44$77.09
Max Pain$76.59$76.00$77.00$77.00$77.00
ATM IV5.4%3.6%7.9%4.3%4.3%
Expected Move1.5%1.2%1.9%1.8%1.2%
HV 20d4.7%4.0%6.1%5.7%4.2%
HV 60d4.9%4.6%5.1%5.1%4.9%
IV Rank12.3%0.0%33.9%1.0%5.7%
IV Percentile13.7%0.0%71.4%0.4%1.2%
Term Structure0.5%-1.7%6.0%1.8%1.2%
VWIV5.6%4.5%7.5%7.5%4.5%
Skew 25d1.9%-0.7%7.2%2.1%0.6%
Skew 10d3.3%-3.3%29.5%1.1%29.5%
Call IV 25d4.2%2.9%5.3%4.5%4.7%
Put IV 25d6.1%4.6%10.1%6.5%5.3%
Bid-Ask Spread %24.585.4790.648.939.68
Gamma HHI0.190.130.290.130.25
Net GEX-868.4M-2.29B129.0M-940.5M-1.78B
Net DEX-77.2M-3.30B3.47B2.01B278.8M
Net VEX-24.7M-32.3M-18.2M-32.3M-18.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.650.4814.854.793.52
Total Volume275,863.63692,239663,906564,889136,084
Total OI6,492,563.9555,429,5077,666,1206,333,7116,071,473

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$76.44$77.004.3%1.8%5.7%1.0%7.5%2.1%1.8%-940.5M2.01B-32.3M4.798.9397,643467,2461,712,9594,620,752
2024-05-02$76.66$76.506.3%1.9%5.8%19.0%6.6%3.4%0.8%-494.3M332.1M-30.1M2.168.3741,93190,7361,767,3434,863,041
2024-05-03$77.07$76.505.2%1.6%6.1%9.0%5.7%1.7%-1.0%17.5M-1.40B-28.8M1.489.11114,140168,3821,773,3954,942,845
2024-05-06$77.13$76.006.3%1.7%6.1%19.1%6.5%2.9%-0.1%-32.7M-1.37B-27.7M1.888.69134,687253,6881,749,8774,759,799
2024-05-07$77.09$76.005.5%1.7%6.0%12.3%6.3%0.9%-0.2%-103.7M-1.53B-24.3M5.548.5669,329383,8201,742,1924,864,717
2024-05-08$77.00$76.005.8%1.6%5.0%14.5%6.2%2.0%0.0%-505.2M-743.9M-24.4M2.705.5859,604161,0451,769,2005,126,410
2024-05-09$77.00$76.005.6%1.8%5.0%12.9%6.1%3.0%0.4%-673.1M-357.4M-27.2M3.4690.6461,634213,2141,772,8645,136,892
2024-05-10$76.87$76.005.7%1.7%5.0%13.7%5.3%2.4%0.0%-848.5M617.7M-29.8M0.4858.20162,29178,6351,799,5365,216,157
2024-05-13$76.90$76.007.9%1.8%4.3%33.9%6.2%4.7%-0.4%-714.2M-6.5M-25.6M2.565.7480,000204,5641,849,7875,252,783
2024-05-14$77.02$76.006.5%1.7%4.2%20.6%5.9%1.1%-1.7%-554.7M-682.0M-25.1M5.355.47104,592559,3141,869,5645,343,406
2024-05-15$77.41$76.006.7%1.5%4.5%22.9%5.4%0.3%0.6%129.0M-3.30B-22.6M1.1714.73143,958168,8431,888,8355,711,754
2024-05-16$77.28$77.005.3%1.4%4.6%10.6%5.2%1.5%0.2%-379.5M-2.58B-22.2M3.086.1238,615119,0481,879,0115,776,791
2024-05-17$77.27$77.005.2%1.4%4.6%9.5%5.2%0.8%0.0%-494.4M-2.81B-20.2M1.566.19106,740166,4571,876,5805,789,540
2024-05-20$77.27$77.004.5%1.3%4.2%2.8%5.2%0.7%6.0%-639.6M-291.7M-22.1M3.559.3159,452211,3311,175,0984,254,409
2024-05-21$77.28$77.004.5%1.3%4.0%2.9%4.8%1.0%0.1%-626.4M-832.1M-18.8M1.327.3290,499119,0821,175,2154,273,788
2024-05-22$77.06$77.004.7%1.4%4.1%5.1%5.4%1.3%0.1%-1.18B483.3M-21.9M3.4980.1648,880170,4911,204,4114,354,986
2024-05-23$76.84$77.005.2%1.3%4.1%9.6%5.3%1.5%3.3%-1.67B2.25B-25.5M9.3189.8430,469283,8161,233,4024,461,888
2024-05-24$77.09$77.004.2%1.2%4.1%0.6%4.7%1.0%-0.2%-1.37B494.9M-22.6M14.856.8912,570186,6881,244,9974,565,024
2024-05-28$76.81$77.003.6%1.3%4.2%0.0%4.7%-0.7%0.3%-1.91B2.40B-24.7M0.857.13115,91298,1791,242,5504,670,266
2024-05-29$76.59$77.007.1%1.4%4.0%30.4%5.2%7.2%0.3%-2.29B3.47B-25.6M3.8286.2233,874129,2781,298,0754,698,482
2024-05-30$76.81$77.005.2%1.3%4.1%13.9%5.3%2.4%-0.3%-2.04B1.87B-23.4M3.317.9821,40470,8351,304,4674,751,846
2024-05-31$77.09$77.004.3%1.2%4.2%5.7%4.5%0.6%1.2%-1.78B278.8M-18.2M3.529.6830,074106,0101,298,5684,772,905