HYD Options History — July 2012 In July 2012, HYD traded between $64.12 and $65.66. ATM implied volatility averaged 7.4%. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 4.0% (HV 20d: 3.3%). Max pain ranged from $66.00 to $68.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-07-02 : Highest Volume — 3 contracts2012-07-12 : Largest IV drop — 29.0% change2012-07-31 : Largest Expected Move — 2.4%Monthly Statistics Metric Avg Min Max Open Close Price $64.97 $64.12 $65.66 $64.24 $65.66 Max Pain $67.71 $66.00 $68.00 $66.00 $68.00 ATM IV 7.4% 6.6% 9.5% 7.2% 8.5% Expected Move 2.0% 1.9% 2.4% 2.1% 2.4% HV 20d 3.3% 2.9% 3.6% 3.0% 2.9% HV 60d 3.2% 3.0% 3.3% 3.2% 3.1% Term Structure -0.3% -1.6% 1.9% 0.1% -0.8% VWIV 8.1% 8.1% 8.1% 8.1% 8.1% Skew 25d 1.7% 0.0% 6.1% 2.3% 2.9% Skew 10d 1.8% -0.7% 3.7% 3.5% 3.2% Call IV 25d 7.1% 6.1% 8.2% 7.4% 8.1% Put IV 25d 8.8% 7.2% 14.3% 9.7% 11.0% Bid-Ask Spread % 121.37 111.72 172.46 119.88 120.26 Gamma HHI 0.75 0.62 0.87 0.66 0.62 Net GEX 11.1K 8.6K 13.1K 11.9K 12.4K Net DEX -58.5K -85.3K -34.0K -61.3K -85.3K Net VEX -469 -575 -407 -426 -574 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 0.333 0 3 3 0 Total OI 48.429 46 50 46 47
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 2012-07-02 $64.24 $66.00 7.2% 2.1% 3.0% 0.0% 0.0% 2.3% 0.1% 11.9K -61.3K -426 0.00 119.88 0 3 38 8 2012-07-03 $64.26 $66.00 7.0% 2.0% 3.0% 0.0% 0.0% 1.9% 0.1% 11.9K -45.1K -422 0.00 119.88 0 0 38 10 2012-07-05 $64.12 $66.00 7.4% 2.1% 3.1% 0.0% 0.0% 2.3% -0.0% 12.1K -34.0K -417 0.00 124.24 0 0 38 10 2012-07-06 $64.22 $68.00 7.7% 2.0% 3.1% 0.0% 0.0% 0.0% 0.7% 11.9K -43.1K -419 0.00 112.21 0 0 38 10 2012-07-09 $64.46 $68.00 8.4% 1.9% 3.2% 0.0% 0.0% 1.7% 1.3% 11.9K -46.8K -407 0.00 112.55 0 2 38 10 2012-07-10 $64.46 $68.00 8.7% 1.9% 3.1% 0.0% 0.0% 1.8% 1.3% 11.1K -41.1K -429 0.00 113.40 0 0 38 12 2012-07-11 $64.64 $68.00 9.5% 2.3% 3.1% 0.0% 8.1% 1.3% -0.0% 10.2K -44.4K -454 0.00 117.14 1 0 38 12 2012-07-12 $65.00 $68.00 6.8% 1.9% 3.6% 0.0% 0.0% 1.6% -0.5% 9.3K -52.1K -478 0.00 119.63 0 0 38 12 2012-07-13 $64.94 $68.00 6.6% 1.9% 3.6% 0.0% 0.0% 1.4% 1.9% 9.9K -44.3K -433 0.00 120.35 1 0 38 12 2012-07-16 $65.00 $68.00 6.8% 2.0% 3.6% 0.0% 0.0% 1.6% -0.3% 9.0K -47.7K -461 0.00 120.69 0 0 38 12 2012-07-17 $64.94 $68.00 7.0% 2.0% 3.6% 0.0% 0.0% 1.4% -0.4% 9.3K -44.8K -434 0.00 120.58 0 0 38 12 2012-07-18 $65.02 $68.00 7.1% 2.0% 3.5% 0.0% 0.0% 1.7% -1.0% 8.6K -47.8K -455 0.00 120.86 0 0 38 12 2012-07-19 $65.08 $68.00 7.0% 2.0% 3.5% 0.0% 0.0% 1.4% -1.0% 8.7K -63.7K -522 0.00 120.44 0 0 38 12 2012-07-20 $65.30 $68.00 6.6% 1.9% 3.5% 0.0% 0.0% 0.8% -1.0% 8.7K -56.4K -491 0.00 120.09 0 0 38 12 2012-07-23 $65.40 $68.00 6.7% 1.9% 3.5% 0.0% 0.0% 0.9% -0.9% 12.2K -75.8K -495 0.00 111.72 0 0 38 9 2012-07-24 $65.46 $68.00 7.3% 2.1% 3.4% 0.0% 0.0% 0.5% -1.6% 12.6K -74.4K -488 0.00 119.61 0 0 38 9 2012-07-25 $65.48 $68.00 7.0% 2.0% 3.3% 0.0% 0.0% 0.7% -1.6% 12.9K -79.0K -498 0.00 120.72 0 0 38 9 2012-07-26 $65.54 $68.00 6.9% 2.0% 3.3% 0.0% 0.0% 1.6% -0.8% 12.9K -78.9K -494 0.00 120.72 0 0 38 9 2012-07-27 $65.64 $68.00 7.1% 2.0% 3.3% 0.0% 0.0% 6.1% -1.6% 12.7K -84.2K -575 0.00 172.46 0 0 38 9 2012-07-30 $65.56 $68.00 7.1% 2.0% 3.4% 0.0% 0.0% 0.9% -1.2% 13.1K -78.2K -485 0.00 121.31 0 0 38 9 2012-07-31 $65.66 $68.00 8.5% 2.4% 2.9% 0.0% 0.0% 2.9% -0.8% 12.4K -85.3K -574 0.00 120.26 0 0 38 9
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