HYD Options History — June 2012 In June 2012, HYD traded between $64.02 and $64.50. ATM implied volatility averaged 11.5%. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 8.3% (HV 20d: 3.2%). Max pain ranged from $64.00 to $66.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-06-18 : Highest Volume — 30 contracts2012-06-22 : Largest IV spike — 836.4% change2012-06-22 : Largest Expected Move — 19.6%Monthly Statistics Metric Avg Min Max Open Close Price $64.23 $64.02 $64.50 $64.04 $64.50 Max Pain $65.85 $64.00 $66.00 $64.00 $66.00 ATM IV 11.5% 6.6% 68.4% 7.3% 6.6% Expected Move 3.1% 1.9% 19.6% 2.1% 1.9% HV 20d 3.2% 2.7% 3.6% 3.3% 2.8% HV 60d 3.2% 3.1% 3.3% 3.2% 3.1% Term Structure -3.6% -63.7% 3.0% 3.0% 0.1% VWIV 8.2% 8.2% 8.2% 8.2% 8.2% Skew 25d 2.2% 0.7% 5.6% 4.0% 3.3% Skew 10d 2.9% 1.3% 5.6% 5.5% 2.5% Call IV 25d 10.6% 6.4% 79.0% 9.1% 7.1% Put IV 25d 12.8% 7.8% 84.6% 13.1% 10.4% Bid-Ask Spread % 114.24 92.23 200.00 112.77 120.22 Gamma HHI 0.72 0.35 1.00 0.35 0.64 Net GEX 5.3K 1.1K 12.4K 3.1K 12.4K Net DEX -35.2K -85.5K -10.7K -14.8K -59.6K Net VEX -224 -711 -9 -130 -412 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 1.81 0 30 0 0 Total OI 26.333 11 46 11 46
Daily Data (21 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 2012-06-01 $64.04 $64.00 7.3% 2.1% 3.3% 0.0% 0.0% 4.0% 3.0% 3.1K -14.8K -130 0.00 112.77 0 0 6 5 2012-06-04 $64.20 $0.00 9.1% 2.8% 3.3% 0.0% 0.0% 4.8% -1.5% 2.3K -16.6K -123 0.00 92.23 2 0 6 5 2012-06-05 $64.14 $0.00 9.6% 2.7% 3.3% 0.0% 0.0% 4.2% -1.2% 1.2K -16.1K -118 0.00 92.83 0 0 6 5 2012-06-06 $64.04 $0.00 9.4% 2.8% 3.4% 0.0% 0.0% 3.8% -1.9% 1.2K -16.0K -119 0.00 94.20 0 0 6 5 2012-06-07 $64.16 $0.00 9.9% 2.7% 3.4% 0.0% 0.0% 1.4% -1.8% 2.6K -32.3K -14 0.00 99.96 0 0 6 5 2012-06-08 $64.30 $0.00 10.4% 2.8% 3.5% 0.0% 0.0% 1.8% -1.6% 2.3K -32.9K -12 0.00 99.57 0 0 6 5 2012-06-11 $64.16 $0.00 12.5% 2.8% 3.6% 0.0% 0.0% 1.1% -1.9% 2.4K -32.8K -11 0.00 99.43 0 0 6 5 2012-06-12 $64.02 $0.00 12.1% 2.6% 3.6% 0.0% 0.0% 0.8% -1.1% 2.5K -24.2K -63 0.00 102.04 0 0 6 5 2012-06-13 $64.08 $0.00 14.0% 2.3% 3.5% 0.0% 8.2% 0.9% -0.4% 2.5K -33.0K -9 0.00 106.30 0 3 6 5 2012-06-14 $64.14 $66.00 7.7% 2.2% 3.1% 0.0% 0.0% 0.7% 0.3% 1.6K -18.0K -15 0.00 107.68 0 0 6 8 2012-06-15 $64.22 $66.00 7.3% 2.1% 2.9% 0.0% 0.0% 1.0% 0.5% 1.2K -18.7K -11 0.00 109.23 0 0 6 8 2012-06-18 $64.18 $66.00 6.8% 2.0% 2.9% 0.0% 0.0% 2.1% -0.5% 1.1K -10.7K -67 0.00 132.21 30 0 6 8 2012-06-19 $64.06 $66.00 6.9% 2.0% 2.9% 0.0% 0.0% 1.7% -1.7% 10.6K -50.4K -469 0.00 132.75 3 0 36 8 2012-06-20 $64.08 $66.00 7.0% 2.0% 2.7% 0.0% 0.0% 2.2% 1.2% 10.0K -52.9K -375 0.00 113.71 0 0 38 8 2012-06-21 $64.34 $66.00 7.3% 2.1% 3.0% 0.0% 0.0% 0.8% -0.0% 9.8K -36.6K -392 0.00 111.35 0 0 38 8 2012-06-22 $64.34 $66.00 68.4% 19.6% 3.0% 0.0% 0.0% 5.6% -63.7% 4.9K -85.5K -711 0.00 200.00 0 0 38 8 2012-06-25 $64.48 $66.00 7.4% 2.1% 3.0% 0.0% 0.0% 1.7% -1.9% 10.0K -37.1K -381 0.00 111.46 0 0 38 8 2012-06-26 $64.40 $66.00 7.1% 2.0% 3.0% 0.0% 0.0% 1.8% -2.5% 9.0K -74.8K -473 0.00 130.25 0 0 38 8 2012-06-27 $64.40 $66.00 6.9% 2.0% 3.0% 0.0% 0.0% 1.4% 0.4% 10.1K -36.1K -383 0.00 114.12 0 0 38 8 2012-06-28 $64.50 $66.00 7.0% 2.0% 3.0% 0.0% 0.0% 1.8% 0.2% 10.0K -40.3K -406 0.00 116.63 0 0 38 8 2012-06-29 $64.50 $66.00 6.6% 1.9% 2.8% 0.0% 0.0% 3.3% 0.1% 12.4K -59.6K -412 0.00 120.22 0 0 38 8
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