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HYG

iShares iBoxx High Yield Corporate Bond ETFClose $79.75EOD only
Max Pain
$79.50
Next expiry Jul 10, 2026
Expected Move
±$0.43
0.6% from close
Price Gap
-0.25
Distance to max pain
IV Rank
14
Low premium
P/C OI
3.65
Slightly put-heavy
Consensus
4.5/10
Bearish tilt
Published snapshot: Jul 9, 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
Jul 9, 2026 close
HYG Theta Report
Analysis based on market close May 26, 2026
DirectionalTheta GangFlowEarningsConsensus

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

You are viewing an older report from May 26, 2026. A newer theta report is available for June 29, 2026.

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Theta Verdict

Attractiveness8 / 10
Sizing: Moderate
Primary: Bear Put Spread
Invalidation: Break below $79 or above $80.56
Confidence:
9 / 10
base 5; +2 GEX/flow strongly aligned; +1 spot 0.9% from MP; +1 VIX 17

IV Environment

IV Regime
Low
IV vs VIX
IV 7% vs VIX 17% — significantly lower
Favorable?
No

Term structure: Put IV elevated (10-18%) across front months; skew extreme

📉Put IV 10-18% dominates calls; bearish skew extreme
⚠️Overall IV 7% vs VIX 17; potential mispricing but risky

Pin Risk Assessment

Spot vs MP: At

GEX regime: Trending ($-220.1M)

Gamma flip: ~$79.00 — Approx — based on put OI concentration of 520,928 (1.5% below spot)

OI concentrations: Heavy put OI at $79 and $80; max pain $80 across 3 expirations

Verdict: Elevated pin risk near $79-$80 due to massive put OI; spot close

Premium Opportunities

#1
Put diagonal
Sell 2026-06-26 $78.50 put / buy 2026-09-18 $77.00 put
Sell 2026-06-26 $78.50 put / buy 2026-09-18 $77.00 put
Debit: $0.30-$0.36
Max loss: $0.36
BE: Path-dependent
Mgmt: Exit if HYG breaks below $79 or above $80.56; monitor dealer gamma. Liquidity warning: Liquidity constraints: short_put: Open interest below 25.; long_put: Wide spread (52%).

Risk Alerts

!Dealer short gamma (-$220M) amplifies spot moves
!Put/call OI ratio 3.9 signals extreme bearish positioning
!IV low relative to VIX — potential volatility expansion
How to Use These Reports
This theta reflects the market close on May 26, 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.

How traders use them

Reports are most useful for narrowing the playbook, surfacing entry and risk context, and deciding which raw data page to inspect next.

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.