HYD Options History — May 2012 In May 2012, HYD traded between $63.28 and $64.24. ATM implied volatility averaged 8.0%. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 4.9% (HV 20d: 3.1%). Max pain ranged from $64.00 to $64.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2012-05-08 : Highest Volume — 1 contracts2012-05-21 : Largest IV spike — 37.7% change2012-05-29 : Largest Expected Move — 2.9%Monthly Statistics Metric Avg Min Max Open Close Price $63.84 $63.28 $64.24 $63.28 $64.24 Max Pain $64.00 $64.00 $64.00 $64.00 $64.00 ATM IV 8.0% 6.2% 10.2% 7.5% 9.4% Expected Move 2.3% 1.9% 2.9% 2.2% 2.7% HV 20d 3.1% 2.1% 3.4% 3.3% 3.1% Term Structure -0.2% -2.0% 1.3% -1.5% 0.2% VWIV 5.4% 5.4% 5.4% 5.4% 5.4% Skew 25d 1.8% -0.1% 3.9% 3.4% 3.4% Skew 10d 2.1% -0.5% 5.2% 0.2% 5.2% Call IV 25d 8.3% 6.0% 10.6% 10.5% 10.0% Put IV 25d 10.2% 8.0% 14.1% 13.9% 13.4% Bid-Ask Spread % 111.77 106.50 118.29 113.34 111.79 Gamma HHI 0.48 0.34 0.68 0.57 0.39 Net GEX 2.2K 691 3.9K 1.2K 3.5K Net DEX -16.5K -32.8K -7.9K -15.7K -31.0K Net VEX -107 -147 -12 -86 -28 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.045 0 1 0 0 Total OI 10.727 10 11 10 11
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2012-05-01 $63.28 $0.00 7.5% 2.2% 3.3% 0.0% 0.0% 3.4% -1.5% 1.2K -15.7K -86 0.00 113.34 0 0 5 5 2012-05-02 $63.46 $0.00 7.0% 2.0% 3.3% 0.0% 0.0% 3.5% -0.8% 1.7K -17.2K -82 0.00 114.61 0 0 5 5 2012-05-03 $63.56 $0.00 6.8% 2.0% 3.2% 0.0% 0.0% 1.2% -0.8% 691 -7.9K -146 0.00 115.55 0 0 5 5 2012-05-04 $63.68 $0.00 6.2% 1.9% 3.2% 0.0% 0.0% 2.1% 1.3% 917 -9.1K -143 0.00 112.61 0 0 5 5 2012-05-07 $63.78 $0.00 6.4% 1.9% 3.2% 0.0% 0.0% 1.9% 1.2% 1.1K -9.4K -140 0.00 112.80 0 0 5 5 2012-05-08 $63.84 $0.00 7.3% 2.1% 3.2% 0.0% 5.4% 1.8% 0.8% 1.0K -10.1K -140 0.00 112.61 1 0 5 5 2012-05-09 $63.90 $64.00 8.3% 2.0% 2.6% 0.0% 0.0% 2.1% 0.9% 2.0K -12.8K -147 0.00 112.67 0 0 6 5 2012-05-10 $63.90 $64.00 7.3% 2.1% 2.5% 0.0% 0.0% 1.8% 0.2% 2.0K -12.9K -147 0.00 112.67 0 0 6 5 2012-05-11 $63.92 $64.00 7.1% 2.0% 2.1% 0.0% 0.0% 1.4% -1.3% 2.8K -22.5K -82 0.00 118.29 0 0 6 5 2012-05-14 $64.08 $64.00 7.1% 2.0% 2.2% 0.0% 0.0% 2.8% 1.1% 3.0K -21.4K -80 0.00 113.64 0 0 6 5 2012-05-15 $63.92 $64.00 7.4% 2.1% 2.5% 0.0% 0.0% -0.1% -2.0% 3.2K -32.8K -14 0.00 106.85 0 0 6 5 2012-05-16 $63.64 $64.00 8.4% 2.4% 3.1% 0.0% 0.0% 3.9% -1.8% 2.1K -10.5K -146 0.00 106.50 0 0 6 5 2012-05-17 $63.86 $64.00 7.2% 2.1% 3.2% 0.0% 0.0% 2.5% 0.3% 2.8K -9.1K -147 0.00 108.92 0 0 6 5 2012-05-18 $63.82 $64.00 7.0% 2.0% 3.1% 0.0% 0.0% 2.6% -1.1% 3.9K -32.2K -12 0.00 108.64 0 0 6 5 2012-05-21 $63.72 $64.00 9.6% 2.8% 3.2% 0.0% 0.0% 2.1% 0.8% 2.0K -10.9K -144 0.00 112.49 0 0 6 5 2012-05-22 $63.94 $64.00 10.0% 2.9% 3.4% 0.0% 0.0% 0.6% -1.0% 2.2K -12.2K -142 0.00 111.30 0 0 6 5 2012-05-23 $63.88 $64.00 7.8% 2.2% 3.4% 0.0% 0.0% -0.1% 0.9% 2.3K -12.1K -141 0.00 109.77 0 0 6 5 2012-05-24 $63.92 $64.00 10.2% 2.9% 3.4% 0.0% 0.0% 0.2% -1.1% 2.2K -12.1K -141 0.00 110.30 0 0 6 5 2012-05-25 $64.04 $64.00 9.4% 2.7% 3.4% 0.0% 0.0% 0.3% -0.7% 1.2K -11.3K -138 0.00 110.97 0 0 6 5 2012-05-29 $64.06 $64.00 10.2% 2.9% 3.4% 0.0% 0.0% -0.1% -1.2% 2.7K -20.9K -75 0.00 110.94 0 0 6 5 2012-05-30 $64.14 $64.00 8.3% 2.4% 3.1% 0.0% 0.0% 3.0% 1.0% 3.2K -29.9K -32 0.00 111.59 0 0 6 5 2012-05-31 $64.24 $64.00 9.4% 2.7% 3.1% 0.0% 0.0% 3.4% 0.2% 3.5K -31.0K -28 0.00 111.79 0 0 6 5
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