HYG Options History — July 2024 In July 2024, HYG traded between $76.72 and $78.56. ATM implied volatility averaged 5.6%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.4% (HV 20d: 4.3%). Max pain ranged from $77.00 to $77.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 4.37.
Notable Days 2024-07-31 : Highest Volume — 583,846 contracts2024-07-24 : Largest IV spike — 165.1% change2024-07-24 : Highest IV Rank — 98.4%2024-07-30 : Largest Expected Move — 1.6%Monthly Statistics Metric Avg Min Max Open Close Price $77.85 $76.72 $78.56 $76.72 $78.56 Max Pain $77.09 $77.00 $77.50 $77.00 $77.50 ATM IV 5.6% 4.1% 15.1% 5.8% 4.8% Expected Move 1.3% 1.0% 1.6% 1.3% 1.1% HV 20d 4.3% 3.6% 4.5% 4.1% 3.7% HV 60d 4.3% 3.9% 4.8% 4.7% 3.9% IV Rank 19.8% 7.2% 98.4% 21.6% 13.1% IV Percentile 19.2% 0.8% 99.6% 20.6% 9.9% Term Structure 0.8% -1.6% 6.1% -0.8% 1.0% VWIV 4.8% 3.4% 5.7% 4.3% 4.1% Skew 25d 1.0% -2.5% 6.2% 1.9% 1.9% Skew 10d 2.5% -2.1% 17.4% 0.6% -0.5% Call IV 25d 4.6% 2.7% 11.7% 3.6% 3.2% Put IV 25d 5.5% 3.7% 9.2% 5.5% 5.1% Bid-Ask Spread % 18.08 3.66 94.62 6.60 6.50 Gamma HHI 0.21 0.16 0.34 0.20 0.17 Net GEX -377.0M -1.51B 885.0M -1.51B -439.4M Net DEX -947.2M -3.74B 2.84B 2.84B -2.25B Net VEX -17.3M -24.8M -11.3M -24.8M -13.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.37 0.81 11.30 2.21 1.17 Total Volume 248,270.591 83,678 583,846 120,468 583,846 Total OI 5,130,888.727 4,300,000 6,047,242 4,885,907 5,078,664
Daily Data (22 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 2024-07-01 $76.72 $77.00 5.8% 1.3% 4.1% 21.6% 4.3% 1.9% -0.8% -1.51B 2.84B -24.8M 2.21 6.60 37,490 82,978 890,815 3,995,092 2024-07-02 $76.91 $77.00 4.7% 1.1% 4.2% 12.1% 3.9% 6.2% -0.3% -1.24B 1.87B -21.9M 4.72 6.13 63,451 299,773 895,647 4,026,885 2024-07-03 $77.16 $77.00 4.5% 1.0% 4.3% 10.5% 3.4% -0.6% -0.0% -1.03B 830.0M -21.3M 7.43 6.19 9,930 73,748 884,722 4,230,142 2024-07-05 $77.44 $77.00 5.1% 1.3% 4.4% 15.5% 4.8% -0.4% -1.6% -348.4M -121.8M -19.9M 2.93 8.17 27,506 80,483 879,537 4,269,267 2024-07-08 $77.40 $77.00 5.3% 1.4% 4.4% 17.0% 5.0% 0.8% -0.3% -655.6M 40.4M -19.5M 11.30 94.42 11,564 130,680 875,670 4,256,046 2024-07-09 $77.31 $77.00 4.1% 1.3% 4.3% 7.2% 4.8% 0.4% 1.1% -1.08B 377.8M -19.0M 2.00 94.62 89,941 180,224 869,470 4,335,577 2024-07-10 $77.47 $77.00 5.0% 1.5% 4.3% 14.6% 5.5% 2.0% 0.8% -707.6M 35.2M -20.1M 5.92 45.38 50,985 301,667 926,509 4,430,919 2024-07-11 $77.78 $77.00 4.2% 1.3% 4.5% 7.9% 4.8% 2.0% 0.5% -35.9M -998.8M -19.1M 3.14 7.14 41,383 129,808 936,960 4,502,895 2024-07-12 $78.00 $77.00 5.0% 1.3% 4.3% 14.8% 4.6% 0.4% -0.5% 469.0M -2.74B -14.0M 0.81 4.65 155,449 125,758 990,716 4,594,472 2024-07-15 $77.95 $77.00 4.5% 1.3% 4.3% 10.1% 4.8% 2.1% -0.1% 319.1M -2.39B -15.3M 1.85 5.19 51,449 95,107 1,041,671 4,552,678 2024-07-16 $78.31 $77.00 4.5% 1.3% 4.2% 10.6% 4.8% 1.1% -0.4% 573.8M -3.74B -11.3M 2.32 3.66 79,473 184,190 1,044,935 4,538,597 2024-07-17 $78.18 $77.00 4.7% 1.3% 4.2% 11.9% 4.7% 0.6% 0.1% 687.0M -3.15B -14.2M 4.45 4.26 35,928 160,039 1,098,912 4,577,935 2024-07-18 $78.00 $77.00 4.8% 1.4% 4.3% 13.0% 5.5% 2.5% 0.2% 618.5M -2.36B -16.7M 2.30 4.37 157,814 363,631 1,117,254 4,674,344 2024-07-19 $77.97 $77.00 4.7% 1.3% 4.2% 11.7% 5.1% 1.2% 0.3% 885.0M -1.80B -17.3M 4.65 4.17 34,191 158,972 1,141,861 4,905,381 2024-07-22 $78.25 $77.00 6.3% 1.3% 4.4% 25.8% 4.9% -0.5% 5.1% -197.8M -1.45B -15.0M 5.37 7.10 28,192 151,364 806,206 3,493,794 2024-07-23 $78.32 $77.00 5.7% 1.3% 4.3% 20.3% 4.7% -0.8% 5.8% -206.6M -1.96B -13.6M 5.57 5.70 68,938 384,195 823,721 3,565,650 2024-07-24 $78.09 $77.00 15.1% 1.4% 4.5% 98.4% 5.4% -2.5% -0.7% -660.9M -679.2M -17.1M 7.44 59.18 29,364 218,351 853,469 3,632,229 2024-07-25 $78.16 $77.00 7.8% 1.5% 4.4% 37.8% 5.4% -0.5% 6.1% -914.1M -622.6M -16.8M 7.27 5.92 12,442 90,433 891,297 3,781,649 2024-07-26 $78.30 $77.50 5.7% 1.3% 4.4% 20.0% 4.6% 1.4% 0.7% -716.2M -789.1M -18.1M 8.62 6.95 22,158 190,964 888,955 3,838,646 2024-07-29 $78.23 $77.50 5.5% 1.5% 4.5% 18.7% 5.7% 0.3% 0.8% -1.08B -926.3M -15.5M 1.23 5.36 72,714 89,257 871,154 3,964,797 2024-07-30 $78.25 $77.50 6.1% 1.6% 3.6% 24.0% 5.7% 1.4% -0.7% -1.02B -870.4M -15.7M 3.39 6.00 69,682 236,441 916,369 3,988,043 2024-07-31 $78.56 $77.50 4.8% 1.1% 3.7% 13.1% 4.1% 1.9% 1.0% -439.4M -2.25B -13.5M 1.17 6.50 268,483 315,363 951,403 4,127,261
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