HYG Options History — June 2024

In June 2024, HYG traded between $76.88 and $77.38. ATM implied volatility averaged 5.8%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.7% (HV 20d: 4.1%). Max pain ranged from $77.00 to $77.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 5.99.

Notable Days

  • 2024-06-12: Highest Volume — 660,563 contracts
  • 2024-06-12: Largest IV spike — 187.3% change
  • 2024-06-13: Highest IV Rank — 52.4%
  • 2024-06-05: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.17$76.88$77.38$76.94$77.22
Max Pain$77.00$77.00$77.00$77.00$77.00
ATM IV5.8%3.2%9.5%5.2%4.6%
Expected Move1.4%1.0%1.6%1.5%1.0%
HV 20d4.1%3.6%4.5%3.8%3.6%
HV 60d4.9%4.5%5.0%4.9%4.5%
IV Rank20.6%0.0%52.4%13.6%11.2%
IV Percentile24.7%0.0%95.2%6.0%4.4%
Term Structure-0.1%-7.2%7.0%0.2%2.7%
VWIV5.2%4.6%6.0%5.6%5.5%
Skew 25d1.5%-3.9%5.5%2.9%5.5%
Skew 10d4.1%-1.2%21.4%0.3%21.4%
Call IV 25d5.1%3.4%12.6%3.8%5.7%
Put IV 25d6.6%3.5%13.4%6.7%11.2%
Bid-Ask Spread %29.443.7494.635.106.55
Gamma HHI0.200.170.280.200.28
Net GEX-855.2M-1.46B-112.9M-936.3M-1.23B
Net DEX193.1M-1.81B1.32B1.06B840.3M
Net VEX-20.7M-23.9M-16.4M-22.8M-18.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.991.9339.832.912.08
Total Volume218,263.05387,290660,56387,290246,714
Total OI5,814,025.8954,314,3926,893,6115,714,3544,825,111

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-06-03$76.94$77.005.2%1.5%3.8%13.6%5.6%2.9%0.2%-936.3M1.06B-22.8M2.915.1022,34964,9411,157,2324,557,122
2024-06-04$76.97$77.005.7%1.6%3.8%18.1%6.0%2.7%2.8%-936.5M969.0M-22.9M4.474.5330,731137,2991,152,5024,583,763
2024-06-05$77.19$77.005.9%1.6%3.9%19.8%5.7%0.8%-3.4%-657.0M132.1M-21.9M2.155.1093,764201,1361,170,9304,641,017
2024-06-06$77.07$77.005.3%1.4%4.0%14.5%4.9%2.1%-1.4%-714.9M367.3M-23.1M1.9313.1649,29294,8871,252,8514,626,914
2024-06-07$76.88$77.008.6%1.2%4.1%42.7%5.9%3.4%7.0%-978.9M708.3M-23.1M2.5093.7034,52386,3901,296,2874,713,463
2024-06-10$76.91$77.008.0%1.3%4.0%37.5%5.0%-3.9%-7.2%-1.13B867.3M-22.0M2.0894.6373,912153,7441,309,6314,716,901
2024-06-11$77.03$77.003.2%1.5%4.0%0.0%5.0%3.6%2.3%-1.07B916.0M-22.4M3.209.5637,222119,2351,314,8414,764,327
2024-06-12$77.38$77.009.3%1.3%4.3%50.5%5.8%0.8%-0.2%-112.9M-1.26B-18.6M4.7691.88114,688545,8751,345,9484,917,775
2024-06-13$77.32$77.009.5%1.0%3.9%52.4%4.6%-0.4%-3.4%-130.4M-293.9M-22.6M3.6092.2450,022180,2671,386,7925,138,312
2024-06-14$76.98$77.004.9%1.6%4.2%13.5%5.5%2.8%3.1%-1.46B1.22B-23.9M2.3892.39104,852249,3731,414,8455,194,824
2024-06-17$77.13$77.004.7%1.4%4.3%12.5%5.5%1.6%0.3%-865.9M-282.3M-19.8M8.513.7412,625107,3961,429,7655,186,569
2024-06-18$77.38$77.005.0%1.5%4.4%14.9%5.0%1.3%-1.7%-273.3M-1.81B-16.4M4.104.9940,271164,9991,434,2925,260,584
2024-06-20$77.28$77.004.6%1.3%4.5%11.5%4.9%1.1%-0.4%-615.7M-1.09B-17.2M3.275.3448,001156,7641,432,3325,325,379
2024-06-21$77.38$77.004.6%1.4%4.3%11.4%4.8%1.8%-1.1%-653.6M-1.22B-18.8M2.635.0447,548125,0461,442,4805,451,131
2024-06-24$77.35$77.005.5%1.1%4.2%19.1%4.7%1.3%-0.2%-873.7M428.4M-20.3M12.857.3418,263234,749887,1093,427,283
2024-06-25$77.38$77.005.4%1.3%4.1%18.2%5.0%0.1%-0.7%-920.9M195.8M-18.6M4.747.3634,252162,252887,6703,549,478
2024-06-26$77.22$77.005.8%1.5%3.9%20.9%5.7%1.6%-1.5%-1.31B603.2M-18.1M39.838.345,024200,090896,4053,695,697
2024-06-27$77.25$77.004.3%1.3%3.7%9.0%4.7%0.0%1.4%-1.39B1.32B-21.4M5.868.2914,35184,151901,0113,777,919
2024-06-28$77.22$77.004.6%1.0%3.6%11.2%5.5%5.5%2.7%-1.23B840.3M-18.8M2.086.5580,124166,590912,7633,912,348