HYG Options History — December 2024

In December 2024, HYG traded between $78.16 and $79.88. ATM implied volatility averaged 4.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded below realized volatility by 0.5% (HV 20d: 4.9%). Max pain ranged from $79.00 to $80.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 9.16.

Notable Days

  • 2024-12-20: Highest Volume — 587,348 contracts
  • 2024-12-26: Largest IV spike — 103.0% change
  • 2024-12-26: Highest IV Rank — 54.8%
  • 2024-12-19: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.19$78.16$79.88$79.72$78.66
Max Pain$79.67$79.00$80.00$80.00$79.00
ATM IV4.4%2.4%9.4%5.0%4.5%
Expected Move1.3%0.8%2.0%1.5%1.6%
HV 20d4.9%3.0%6.9%3.9%6.7%
HV 60d4.2%3.6%5.0%3.7%5.0%
IV Rank15.2%0.0%54.8%15.0%16.3%
IV Percentile21.5%0.0%95.2%28.6%15.1%
Term Structure0.5%-11.5%19.6%-0.7%1.7%
VWIV5.2%3.6%8.2%4.8%5.1%
Skew 25d2.2%-1.6%12.4%0.2%0.9%
Skew 10d7.2%-1.4%27.0%1.5%1.8%
Call IV 25d3.9%2.2%12.3%2.7%4.2%
Put IV 25d6.1%2.0%15.2%2.9%5.1%
Bid-Ask Spread %7.024.1012.557.186.31
Gamma HHI0.240.170.290.290.19
Net GEX-1.69B-3.89B38.9M-550.0M-2.18B
Net DEX2.88B-304.0M9.32B539.1M4.24B
Net VEX-22.9M-31.1M-16.2M-16.2M-26.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.161.1576.843.112.48
Total Volume252,211.33351,500587,348253,831154,982
Total OI5,692,462.8575,019,6856,563,3455,261,1975,219,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-12-02$79.72$80.005.0%1.5%3.9%15.0%4.8%0.2%-0.7%-550.0M539.1M-16.2M3.117.1861,785192,0461,011,0604,250,137
2024-12-03$79.63$80.003.9%1.5%3.9%5.3%5.1%-0.1%-1.3%-966.5M1.13B-20.4M3.537.1784,183296,7721,055,6974,325,314
2024-12-04$79.78$80.002.4%1.4%3.8%0.0%5.0%12.4%0.8%-553.5M343.3M-20.9M16.436.1813,337219,0941,130,7354,448,284
2024-12-05$79.80$80.002.6%1.1%3.7%1.8%5.0%12.1%0.5%-956.4M371.0M-19.0M4.268.8155,749237,5001,129,1804,560,210
2024-12-06$79.88$80.002.9%1.1%3.5%4.0%4.4%1.5%-0.0%-443.7M114.9M-19.7M2.288.9653,316121,4311,137,6294,599,162
2024-12-09$79.81$80.003.4%1.1%3.5%8.1%6.5%-1.6%-1.5%-706.1M570.7M-21.3M76.847.212,330179,0411,126,7894,586,191
2024-12-10$79.81$80.002.9%1.0%3.4%4.1%4.7%1.1%1.2%-612.8M545.3M-18.4M7.216.5943,225311,8201,120,8214,628,865
2024-12-11$79.84$80.003.5%0.9%3.0%8.2%4.3%-1.3%0.1%38.9M-304.0M-17.0M5.127.1029,210149,6981,143,5624,811,653
2024-12-12$79.69$80.002.4%0.8%3.1%0.0%5.1%-1.3%0.5%-1.40B1.66B-21.4M3.436.0839,721136,0961,163,5054,895,818
2024-12-13$79.43$80.003.0%1.2%3.3%4.9%4.4%-1.2%1.4%-2.00B2.44B-20.0M3.936.5430,327119,1901,180,4014,925,395
2024-12-16$79.56$80.004.0%1.1%3.3%12.4%4.9%1.2%-0.8%-2.19B2.16B-21.2M4.445.3411,79552,4221,192,4534,964,293
2024-12-17$79.43$80.004.2%1.2%3.3%14.4%4.5%1.0%-1.1%-2.27B2.74B-19.6M2.394.10125,759300,3061,190,2604,984,802
2024-12-18$78.16$80.005.5%1.6%6.5%24.2%5.2%3.1%0.4%-3.89B9.32B-29.1M6.3012.5574,558469,6841,288,5415,189,765
2024-12-19$78.19$80.006.7%2.0%6.6%33.5%8.2%3.2%1.5%-3.66B8.46B-31.1M8.176.1856,451461,0681,329,9955,092,854
2024-12-20$78.62$79.003.8%1.0%6.9%11.5%6.5%1.7%0.2%-2.27B5.30B-27.9M8.655.1360,849526,4991,374,8995,188,446
2024-12-23$78.43$79.004.0%1.4%6.9%12.9%3.6%9.4%2.3%-2.19B4.94B-30.0M1.384.9921,60029,900958,8904,078,609
2024-12-24$78.56$79.004.6%1.3%6.8%17.7%6.0%0.3%-2.1%-2.37B4.36B-25.9M14.599.406,80299,235944,3704,075,315
2024-12-26$78.77$79.009.4%0.8%6.9%54.8%3.7%2.9%-11.5%-1.91B3.16B-24.7M15.177.496,758102,546968,8954,076,371
2024-12-27$78.56$79.008.5%1.4%6.8%47.6%5.2%0.5%19.6%-2.34B4.49B-24.8M1.546.8649,88376,761969,1844,108,133
2024-12-30$78.70$79.005.2%1.6%6.8%22.1%6.6%0.5%-0.8%-2.14B3.99B-25.0M1.157.25108,330124,379978,1864,137,666
2024-12-31$78.66$79.004.5%1.6%6.7%16.3%5.1%0.9%1.7%-2.18B4.24B-26.2M2.486.3144,590110,3921,028,3594,191,026