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HYG

iShares iBoxx High Yield Corporate Bond ETFClose $79.61EOD only
Max Pain
$79.50
Next expiry Aug 14, 2026
Expected Move
±$0.30
0.4% from close
Price Gap
-0.11
Distance to max pain
IV Rank
2
Low premium
P/C OI
2.91
Slightly put-heavy
Consensus
4.5/10
Bearish tilt
Published snapshot: Aug 7, 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
Aug 7, 2026 close
HYG Theta Report
Analysis based on market close June 24, 2026
DirectionalTheta GangFlowEarningsConsensus

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

You are viewing an older report from June 24, 2026. A newer theta report is available for June 29, 2026.

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Theta Verdict

Attractiveness6 / 10
Sizing: Moderate
Primary: Credit Spread
Invalidation: Break below gamma flip support at $79.0
Confidence:
6.5 / 10
base 5; -1 GEX/flow contradict; +1 GEX positive (pinning); +1 spot 0.4% from MP; +0.5 VIX 19

IV Environment

IV Regime
Low
IV vs VIX
Avg IV 5.6% vs VIX 18.6% — very low implied vol for HYG, likely due to bond ETF nature.
Favorable?
No

Term structure: Term structure: relatively flat beyond 16d, with notable spike at 30d (13.5% ATM IV) then elevated in longer-dated expiries.

📌Strong put OI concentration at $80, max pain for multiple expiries.
📉Low avg IV of 5.6%; term structure spike at 30d may offer premium opportunities.
🏦Positive GEX $233.5M, put/call OI ratio 3.28 — dealer hedging supports pinning.

Pin Risk Assessment

Spot vs MP: At

GEX regime: Pinning ($+233.5M)

Gamma flip: ~$79.00 — Approx — based on put OI concentration of 300,822 (1.1% below spot)

OI concentrations: Put OI heavy at $80 across all expiries; gamma flip at $79.0 based on 300,822 put OI (1.1% below spot).

Verdict: High pin risk at $80 due to max pain and put concentration. Spot near $79.9, within support/resistance. Gamma flip at $79.0 is key downside risk.

Premium Opportunities

#1
Put diagonal
Sell 2026-07-24 $78.50 put / buy 2026-08-21 $79.00 put
Sell near-term put, buy further-out put to profit from time decay and volatility skew while limiting downside risk.
Debit: $0.16-$0.19
Max loss: $0.19
BE: Path-dependent
Mgmt: Monitor $80 support; exit if spot breaks below $79.50 to limit losses. Liquidity warning: Liquidity constraints: short_put: Open interest below 25.; long_put: Wide spread (53%).

Risk Alerts

!High put volume ratio 3.62 indicates bearish sentiment.
!Impending 2-day expiry may cause gamma squeeze near $80.
How to Use These Reports
This theta reflects the market close on June 24, 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.