thetaOwl

HYG

iShares iBoxx High Yield Corporate Bond ETFClose $80.13EOD only
Max Pain
$79.50
Next expiry May 29, 2026
Expected Move
±$0.30
0.4% from close
Price Gap
-0.63
Distance to max pain
IV Rank
6
Low premium
P/C OI
3.91
Slightly put-heavy
Consensus
9.0/10
Bearish tilt
Published snapshot: May 27, 2026 close
End-of-day snapshot

This page reflects HYG options positioning from the latest published market-close snapshot. Intraday price and contract changes are not displayed.

Published Snapshot
May 27, 2026 close
HYG Theta Report
Analysis based on market close April 10, 2026

Historical consensus-supported lens with full content, report chain context, and metric rail.

You are viewing an older report from April 10, 2026. A newer theta report is available for May 26, 2026.

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Theta Verdict

Attractiveness6 / 10
Sizing: Moderate
Primary: Defined-risk put spreads (sell near $77–$79 put wall) — collect theta with limited downside
Invalidation: Close below gamma flip ~$79 (if price trades and closes below $79 with accelerating flow)
Confidence:
7 / 10
base 8.0; -1 for Low IV (avg IV 9.7%, ATM 6.3% 7d) reducing edge; keep +1 for strong OI/pin structure

IV Environment

IV Regime
Low
IV vs VIX
Avg IV 9.7% (ATM 7d 6.3%) — IV is low for a bond ETF; no VIX provided
Favorable?
No

Term structure: Very flat/low near-term (7d 6.3%, 14d 9.1%, 35d 6.9%) with slight lift 21-35d — little term premium to harvest; calendars offer limited edge

⚠️Avg IV 9.7% / very low ATM vols — poor tail protection for naked premium sellers
📌Max pain pinned at $80 across near expirations — concentrated OI around $79/$80 provides level to work around

Pin Risk Assessment

Spot vs MP: At (pre-computed: Spot vs MP: At; MP levels $79.50-$80.00 near-term)

GEX regime: Trending (GEX -$2.5B) — dealers are net short gamma, which tends to amplify moves rather than gently pin

Gamma flip: ~$79.00Gamma flip ≈ $79. Below this level dealers' hedging will amplify moves (trend acceleration risk).

OI concentrations: Large put walls: $79 (543,301 OI), $77 (423,635), $74 (368,381). Call OI concentrated at $81 (246,639). Put-heavy flow net (Top premium flow shows heavy puts at $79/$76/$75).

Verdict: Mixed — heavy put OI and max-pain near $80 create a support/pin magnet, but strongly negative GEX (trending) increases risk of directional moves and makes naked short strikes vulnerable; prefer defined-risk structures.

Premium Opportunities

#1
put spread
Sell 2026-05-15 77/74 put spread (35 DTE)
Defined-risk short put spread positioned at the large OI put wall ($77 OI 423,635) and inside structural put floor ($74-$75). Low IV means small credit but limited risk; works because dealers and OI concentration make $77–$74 an area with buying support while avoiding naked exposure below gamma flip.
Credit: $0.35-$0.55
Max loss: $2.65
BE: $76.65
Mgmt: Take profits at 50–65% of max credit; roll down-and-out if price closes below $76.50 or widen to 77/72 only if paid to do so; cut losses if spread trades at >70% of max loss or price closes below $74 with heavy follow-through.
#2
put spread (shorter DTE)
Sell 2026-05-01 78/76 put spread (21 DTE)
Closer-term defined-risk spread that sits on top of the concentrated $79/$78 put interest; higher theta decay in near term while keeping risk limited given low IV and narrow expected move for next 2–3 weeks.
Credit: $0.25-$0.45
Max loss: $1.75
BE: $77.75
Mgmt: Close at 60% of max profit; roll down 1–2 strikes if short strike is tested and you receive >= current extrinsic value; cut losses if spread reaches 60–70% of max loss or if price closes below $76 with volume.
#3
iron condor
Sell 2026-05-01 80/81 call spread and 77/75 put spread (21 DTE) — defined-risk two-wing condor
Short both sides while keeping defined risk; uses call OI magnet at $81 and massive put OI on the downside to create a range. Low IV reduces total credit, so use tight wings and smaller position size.
Credit: $0.40-$0.70
Max loss: $3.60
BE: 75.60 / 80.60
Mgmt: Take profits at 40–50% of max credit; close if either short strike is tested intra-day or if GEX-driven acceleration occurs (price closes beyond gamma flip $79 to the downside or >$81 to the upside).
#4
cash-secured put (CSP)
Sell 2026-05-15 76 put (35 DTE) cash-secured
If comfortable owning HYG, selling the 76P collects a modest premium anchored by large put activity at 77/74. Lower IV means lower premium but put-heavy flow suggests support in the 74–77 area. Prefer cash-secured to avoid assignment stress.
Credit: $0.40-$0.70
Max loss: Spot - strike minus credit (approx $79.96 - 76 - credit)
BE: $75.60
Mgmt: Close at 60–75% of max profit; roll out-and-down if assigned risk is acceptable and you get paid; close before any structural break below $74 or if HYG trades and closes below gamma flip ~$79 with momentum.
#5
short weekly call spread (defined-risk)
Sell 2026-04-17 81/82 call spread (7 DTE) — use weekly only for defined risk
Short weeklies are cheap (7d ATM IV 6.3%) but GEX shows call magnet at $81 with substantial OI — a small defined-risk call spread can capture quick theta if you want a very short-duration trade. Only use very small size because credits are minimal.
Credit: $0.03-$0.08
Max loss: $0.97
BE: $81.08
Mgmt: Close at 50–70% of max profit by mid-week; kill position if HYG trades >$81 intraday with volume or if unusual call flow accelerates; do not hold through sudden macro events.

Risk Alerts

!Gamma flip ≈ $79 — below this, dealer short-gamma hedging can accelerate downside; exit or hedge credit positions if HYG closes < $79 with momentum.
!Low IV environment (Avg IV 9.7%, 7d ATM 6.3%) — premiums are thin; avoid large naked short positions and prefer defined-risk spreads.
!Total GEX negative (-$2.5B) and net premium flow negative (Net Premium -$11.9M) — flow is put-heavy and bearish, increasing chance of directional moves.
!Concentrated put OI at $79/$77/$74 (543k / 423k / 368k) — while this provides support, it also creates pin risk and potential pin/unpin moves around those strikes.
!Unusual activity in longer-dated puts/calls (several large OTM/ITM trades in Jul-Nov 2026) — monitor multi-week flows for directional positioning by institutions.
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This theta reflects the market close on April 10, 2026.
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