HYG Options History — September 2024

In September 2024, HYG traded between $78.66 and $80.34. ATM implied volatility averaged 5.1%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.7% (HV 20d: 4.4%). Max pain ranged from $78.00 to $79.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 3.57.

Notable Days

  • 2024-09-20: Highest Volume — 655,835 contracts
  • 2024-09-04: Largest IV spike — 16.4% change
  • 2024-09-04: Highest IV Rank — 25.7%
  • 2024-09-12: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.70$78.66$80.34$78.66$80.31
Max Pain$78.92$78.00$79.50$79.00$79.50
ATM IV5.1%4.3%6.3%5.4%4.8%
Expected Move1.4%0.9%1.9%1.7%1.1%
HV 20d4.4%4.1%4.7%4.7%4.2%
HV 60d4.7%4.4%4.8%4.8%4.4%
IV Rank15.5%9.1%25.7%18.3%12.7%
IV Percentile19.4%4.4%46.8%24.6%14.7%
Term Structure0.3%-2.5%2.8%1.1%1.3%
VWIV5.7%3.7%7.6%6.2%3.7%
Skew 25d1.0%-1.1%2.9%0.6%2.5%
Skew 10d2.5%-2.7%16.5%-1.2%0.2%
Call IV 25d5.0%3.9%7.0%5.6%4.5%
Put IV 25d6.0%4.5%8.6%6.2%7.1%
Bid-Ask Spread %17.055.6535.776.1428.17
Gamma HHI0.230.150.410.160.18
Net GEX346.3M-693.6M1.30B-693.6M117.3M
Net DEX-2.14B-5.81B1.29B1.29B-1.48B
Net VEX-15.7M-20.5M-10.6M-20.5M-17.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.570.9812.341.202.17
Total Volume312,215.95102,369655,835397,348185,694
Total OI5,976,721.254,430,9097,523,3645,408,9184,882,138

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$78.66$79.005.4%1.7%4.7%18.3%6.2%0.6%1.1%-693.6M1.29B-20.5M1.206.14180,436216,912871,8794,537,039
2024-09-04$79.00$79.006.3%1.6%4.6%25.7%6.2%1.9%1.8%-229.5M104.3M-18.5M0.987.10125,537123,4201,035,1364,638,808
2024-09-05$79.23$78.006.0%1.9%4.6%23.1%6.6%0.3%-0.0%254.7M-939.5M-17.1M4.3114.3485,009366,5881,149,1894,675,554
2024-09-06$79.15$78.005.2%1.6%4.6%16.6%7.3%2.0%-1.5%-148.8M-309.0M-19.9M4.7712.6359,581284,1851,193,9504,849,856
2024-09-09$79.32$79.005.2%1.7%4.6%16.2%7.6%1.6%1.4%132.7M-1.20B-18.8M3.209.1724,36878,0011,245,4424,980,242
2024-09-10$79.19$79.005.6%1.7%4.7%19.6%6.6%2.1%-0.3%-64.8M-737.3M-17.7M1.3611.9495,142129,4541,264,2324,959,906
2024-09-11$79.25$79.005.7%1.4%4.5%20.6%5.8%1.2%-2.5%29.7M-1.14B-19.1M3.3213.3794,225313,0821,345,2735,053,012
2024-09-12$79.41$79.005.5%1.9%4.5%18.4%6.5%2.9%2.8%565.3M-1.99B-17.0M9.7610.8739,714387,7501,376,2575,320,104
2024-09-13$79.66$79.004.7%1.3%4.6%11.7%5.6%-0.7%-0.3%1.00B-3.33B-13.7M1.987.77110,229217,9821,388,9495,518,460
2024-09-16$79.87$79.004.8%1.4%4.5%13.3%5.1%0.7%-0.7%1.30B-4.68B-10.6M1.305.6597,085125,8871,429,1105,613,813
2024-09-17$79.87$79.005.3%1.5%4.5%17.3%5.7%1.6%0.1%656.2M-3.58B-14.1M1.107.14179,441196,9531,422,9425,703,528
2024-09-18$79.91$79.005.0%1.4%4.5%14.3%6.3%0.5%1.8%1.01B-3.86B-16.7M2.689.0440,273107,9061,468,5965,831,011
2024-09-19$80.15$79.004.5%1.3%4.5%10.0%5.6%0.6%-0.1%1.15B-5.13B-13.2M4.5822.7874,340340,3481,471,7765,885,041
2024-09-20$80.23$79.004.5%1.3%4.4%10.1%5.0%1.6%0.2%879.0M-5.81B-11.3M2.5415.56185,257470,5781,498,2966,025,068
2024-09-23$80.10$79.005.0%1.1%4.2%14.6%4.6%0.5%-0.3%332.4M-2.36B-12.2M12.3435.7720,549253,563907,0243,523,885
2024-09-24$80.12$79.004.8%1.3%4.1%12.7%5.0%-1.1%0.5%237.2M-1.93B-13.8M7.3630.4838,568283,770916,3003,634,668
2024-09-25$80.03$79.005.1%1.1%4.2%15.6%4.7%1.1%0.1%38.1M-1.35B-15.1M1.8833.2538,78673,036923,2083,667,897
2024-09-26$80.12$79.004.4%1.2%4.1%9.9%4.5%0.2%2.1%-38.0M-2.03B-13.8M3.4031.8338,060129,296942,0593,702,234
2024-09-27$80.34$79.004.3%0.9%4.2%9.1%5.0%-0.2%-0.9%395.0M-2.27B-12.8M1.1127.94205,060228,254937,8903,744,653
2024-09-30$80.31$79.504.8%1.1%4.2%12.7%3.7%2.5%1.3%117.3M-1.48B-17.3M2.1728.1758,546127,1481,054,9373,827,201