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HYG

iShares iBoxx High Yield Corporate Bond ETFClose $78.62EOD only
Max Pain
$79.00
Next expiry Sep 11, 2026
Expected Move
±$0.09
0.1% from close
Price Gap
+0.38
Distance to max pain
IV Rank
23
Low premium
P/C OI
3.57
Slightly put-heavy
Consensus
4.5/10
Bearish tilt
Published snapshot: Sep 10, 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
Sep 10, 2026 close
HYG Theta Report
Analysis based on market close June 11, 2026
DirectionalTheta GangFlowEarningsConsensus

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

You are viewing an older report from June 11, 2026. A newer theta report is available for June 29, 2026.

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Theta Verdict

Attractiveness4 / 10
Sizing: Conservative
Primary: Bear Put Spread
Invalidation: Break below $79 gamma flip
Confidence:
8.5 / 10
base 5; +2 GEX/flow strongly aligned; +1 spot 0.6% from MP; +0.5 VIX 19

IV Environment

IV Regime
Low
IV vs VIX
Avg IV 7.8% well below VIX 19.4, indicating low implied vol relative to market fear.
Favorable?
No

Term structure: Near-term backwardation (1d 11.6% vs 7d 6.3%) suggests event risk; longer-dated flat to contango.

🔥Put skew extreme: put/call OI ratio 3.8, high hedging demand.
📉GEX -$1.4B negative dealer gamma, potential for acceleration.

Pin Risk Assessment

Spot vs MP: At

GEX regime: Trending ($-1.4B)

Gamma flip: ~$79.00 — Approx — based on put OI concentration of 451,310 (1.2% below spot)

OI concentrations: Max pain $80 across three expiries; deep put OI at $75 acts as floor.

Verdict: Low pin risk near max pain $80, but gamma flip at $79 requires monitoring.

Premium Opportunities

#1
Put calendar
Sell 2026-07-17 $79.00 put / buy 2026-08-21 $79.00 put
Sells short-dated put, buys long-dated put to capture time decay and term structure.
Debit: $0.28-$0.34
Max loss: $0.34
BE: Path-dependent
Mgmt: Manage near front expiration; roll if challenged. Liquidity warning: Liquidity constraints: long_put: Wide spread (56%).
#2
PMCC / LEAPS diagonal
Buy 2026-11-20 $81.00 call + sell 2026-07-17 $81.00 call
Long LEAPS call financed by short front-month call.
Debit: $0.16-$0.20
Max loss: $0.20
BE: Path-dependent
Mgmt: Monitor short call; adjust or close if trend reverses. Liquidity warning: Liquidity constraints: long_call: Wide spread (190%).; short_call: Wide spread (120%).

Risk Alerts

!Negative dealer gamma (-$1.4B) may amplify moves.
!High put IV (23.4%) on 1d expiry elevates pin risk near $80.
How to Use These Reports
This theta reflects the market close on June 11, 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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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.