Options/HYG

HYGiShares iBoxx $ High Yield Corporate Bond ETF

Options Analysis Report

AUM $16.4B|ARCX

● 2026-08-28$79.74

BEARISH

Analysis: 2026-08-27 EOD data

1Y -1.4%YTD -1.2%7D +0.2%

Options Vol

376,557

30D

Implied Move

±2.6%

IV Rank

12%

HYG Options Overview

IV is low with bearish flow and unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

Loading score history...

HYG Gamma Walls

Loading gamma walls...

HYG Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where HYG sits on protection cost vs. fragility today.

Protection is priced in the fair band (5.2) — options are pricing vol 150% above what the stock has actually been realizing, and near-dated vol is priced 98% above far-dated, measured against this name's own rolling 21-trading-day realized moves (483 overlapping windows). Fragility reads neutral (4.72): it is trading 1% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

5.20/ 10fair

Basis: cross_sectional

Fragility

4.72/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

7.0

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 1.6% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 2.86x — IV premium over HV

Sector Relative≤50%

Sector percentile 3% — below sector median

Term Structure

<1.1x

Front/Back 1.91x — backwardation

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 7.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 17.9% (ATM 7.2% + spread 5.4% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 12.61% (spread 5.36% + slippage 7.25%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.00 (vega 0.000 / spread 5.36%) — spread drag

Sentiment

Bullish or bearish?

4.4

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +27%, Raw: +32%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +27% (bullish) — Raw: +32%

OI Skew Magnitude

≥15%

|OI skew| 54.2% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -59.4%, OI skew -54.2% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 1%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -18%, ATM: +15%, OTM: +77% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 96% — very bearish vs sector

Activity

Unusual activity?

5.1

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 1.2x avg — normal

Turnover Rate

≥15%

Vol/OI 4.5% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change -15.3% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 65% — active vs sector

Trade Quality

≥30%

Large trade volume 93% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 54% — patient

Flow Conviction

≥30

Conviction +27 (bullish) — mixed

Liquidity

Can I trade efficiently?

7.1

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks5/8 checks passed

Tradeable Spread

≤5.0%

Spread 5.4% — wide

Adequate OI

≥10,000

OI 8,411,489 — deep

Active Volume

≥500

Volume 376,557/day — active

Reasonable Cost

≤$0.50

$0.27 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 27% — tighter than sector

Order Book Depth

≥100 contracts

Depth 917.5 contracts (bid:347.2 ask:570.3) — deep

Execution Quality

<1.0%

Avg slippage 7.25% — poor

Timing

Is now a good time?

7.2

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +91.0% — backwardation

IV Percentile Clarity

<30 or >70

IV percentile 2% — buyer opportunity

Event Detection

≥10pts kink

IV kink 5.8pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1.00 — favors mixed

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No earnings detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +27% @ 63% consistency — moderate (bullish)

Smart Money Timing

≥40 composite score

Score 123 (ITM 20% + inst 93%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls6.2

bullishIV cheap, mixed flow

Long Puts6.6

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.9

bullishIV too cheap, mixed flow

Covered Call5.3

bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.