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HYG

iShares iBoxx High Yield Corporate Bond ETFClose $79.84EOD only
Max Pain
$80.00
Next expiry Jun 5, 2026
Expected Move
±$0.29
0.4% from close
Price Gap
+0.16
Distance to max pain
IV Rank
6
Low premium
P/C OI
3.85
Slightly put-heavy
Consensus
9.0/10
Bearish tilt
Published snapshot: Jun 1, 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
Jun 1, 2026 close
HYG Theta Report
Analysis based on market close April 17, 2026
DirectionalTheta GangFlowEarningsConsensus

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

You are viewing an older report from April 17, 2026. A newer theta report is available for May 26, 2026.

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Theta Verdict

Attractiveness4 / 10
Sizing: Conservative
Primary: Avoid naked short-dated puts; prefer hedged or long-dated credit structures
Invalidation: VIX > 25, sustained IV compression with spot > $83 (reduces put concentration), or dealers rebuild liquidity reducing GEX stress
Confidence:
7 / 10
base 5; -1 GEX/flow contradict; +1 GEX positive (pinning); +1 spot 0.8% from MP; +1 VIX 17

IV Environment

IV Regime
Low
IV vs VIX
Avg IV ~7.8 vs VIX 17 — IV below realized; however heavy front-week put skew raises short-dated tail cost
Favorable?
No

Term structure: 0–35d: steep put skew and elevated IV (front-week IV 30–55%); 2–6m expiries materially flatter

📌Max-pain pinned at $80; spot ~0.8% from MP
⚠️Front-week put IV >> ATM IV, signaling expensive tail and poor short-dated selling economics

Pin Risk Assessment

Spot vs MP: At

GEX regime: Pinning ($+760.3M)

Gamma flip: ~$79.00 — Approx — based on put OI concentration of 520,376 (2.0% below spot)

OI concentrations: Concentrated put OI centered at $80 strikes (~520,376 contracts), ~18% of put OI in the 0–35d expiries

Verdict: High pin risk — concentrated OI plus dealer GEX (~+$760M) supports pinning but makes tail fragile; forced dealer unwind would amplify moves

Premium Opportunities

#1
PMCC / LEAPS diagonal
Buy 2026-09-18 $82.00 call + sell 2026-06-18 $81.00 call
Carry trade: LEAP call long hedges short-dated sold call, benefits if IV compresses modestly.
Credit: $0.11-$0.13
Max loss: $0.01
BE: Path-dependent
Mgmt: Close or roll short call if spot <79 or IV spikes; trim on >+4% move. Liquidity warning: Liquidity constraints: long_call: Wide spread (86%).; short_call: Wide spread (138%).
#2
Call calendar
Sell 2026-06-18 $81.00 call / buy 2026-08-21 $81.00 call
Monetize short-term call premium while preserving longer-call exposure to rallies.
Debit: $0.14-$0.18
Max loss: $0.18
BE: Path-dependent
Mgmt: Roll short forward if decay slows or IV term flattens; cut if breach 79. Liquidity warning: Liquidity constraints: short_call: Wide spread (138%).
#3
Call diagonal
Sell 2026-05-22 $81.00 call / buy 2026-08-21 $92.00 call
Sell short ATM/near-ATM call, buy richer later call to capture skew and tail hedging.
Debit: $0.04-$0.04
Max loss: $0.04
BE: Path-dependent
Mgmt: Close/roll on IV surge or spot <79; monitor bid-offer and liquidity. Liquidity warning: Liquidity constraints: short_call: Open interest below 25.; long_call: Open interest below 25.

Risk Alerts

!Breach of gamma_flip ~$79 could trigger fast downside and rapid IV surge
!Dealer unwind or large directional put buys would sharply widen IV and stress cheap liquidity (wide bid-asks, slippage)
!Worst-case: concentrated put sellers/ dealers delever -> >10% spot gap, IV doubling intraday, and orderbook thinning
How to Use These Reports
This theta reflects the market close on April 17, 2026.
What the reports do

Each report translates the same market-close options snapshot into a specific lens such as directional bias, premium-selling posture, flow quality, or earnings setup.

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What to remember

These are interpretation layers, not execution guarantees. Validate the setup against chain liquidity, expected move, and exposure before sizing risk.

If the report conviction and the raw data disagree, slow down and resolve the mismatch before sizing risk.